加 Telegram 通知,并修好一道死掉的闸
接 Telegram 时查出 Guard.realized() 定义了但全仓库没有调用点——pnl_day 恒为 0,MAX_DAY_LOSS 完全不生效。三条硬约束里最重要的一条是死的。 根因是止损与止盈都挂在交易所侧成交,本进程收不到通知,而 sweep 只在 48 分钟到点才查持仓。连带第二个后果:execs 条目不清,MAX_OPEN 把已出场的 仓位继续算在场,新信号被白挡到截止时刻。 补 watch() 循环(10s):持仓消失即判出场,去 history-position 取 netProfit(= pnl + 资金费 + 开平手续费)记回闸并释放名额。盈亏取交易所的 数而不自己按标记价估——估会漏掉费用且方向总偏乐观。历史未落库时留到下轮, 不会漏记。字段名按文档与官方 TS 类型的差异同时兼容 ctime/cTime。 Telegram(live/tg.py,stdlib + aiohttp):推开仓、平仓带已实现盈亏、被硬 约束挡住、报错、对账平仓、跨日结算、启动与停机。不推信号过期跳过(常态, 搬运重连会重放旧信号)与心跳,否则真事会被淹掉。启动那条兼作通道自检。 研究侧 tg_notify.send 改为复用生产的传输层,方向与 signal_bus 一致。 status.sh 增加一条判读:开过仓但 pnl 仍为 0 就是 watch() 出了问题。 实测:8 类消息渲染、_match_hist 的过早/方向不符/币不符/驼峰字段/取最近 五种情形、100 USDT 下 SOL 与 ADA 的端到端空跑(两腿等量,50/50 精确)。 Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
@@ -99,6 +99,26 @@ class Bitget:
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"marginCoin": MARGIN_COIN})
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return [p for p in (d or []) if float(p.get("total") or 0) != 0]
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async def history_positions(self, start_ms: int | None = None,
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limit: int = 100) -> list:
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"""已平仓位,用来取**已实现盈亏**。
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为什么必须问交易所而不是自己算:止损与止盈都挂在交易所侧成交,本进程
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看不到成交价;而且要算准还得含手续费与资金费。这个端点的 `netProfit`
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已经是 `pnl + totalFunding + openFee + closeFee`,正是日亏损上限该用
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的数。自己按标记价估会把费用漏掉,方向还总是偏乐观。
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返回形状按文档是 `data.list`,但也见过直接给数组的写法,两种都收。
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时间字段文档写 `ctime/utime`,官方 TS 类型写 `cTime/uTime`,同样都读。
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"""
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p: dict = {"productType": PRODUCT, "limit": str(limit)}
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if start_ms:
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p["startTime"] = str(int(start_ms))
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d = await self._req("GET", "/api/v2/mix/position/history-position", p)
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if isinstance(d, dict):
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return list(d.get("list") or [])
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return list(d or [])
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async def fee_rate(self, symbol: str) -> dict:
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"""账户在该合约上的**实际**费率档。
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@@ -111,6 +111,11 @@ journalctl -u chan-live-ship -f # 搬运日志
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重连次数。管道死了但进程还活着是这里最危险的状态——`ServerAliveInterval=15`
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负责让它变成一次可见的断开。
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**Telegram** 在 `live.env` 里填 `TG_TOKEN` / `TG_CHAT` 就开。启动时会推一条
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"执行器启动",兼作通道自检——配错了当场就知道,而不是等几小时后第一个真信号
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来时才发现。推开仓、平仓(带已实现盈亏)、被硬约束挡住、报错、对账平仓、跨日
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结算;不推信号过期跳过(常态)和心跳。约 30 条/天上限。
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## 停机与回滚
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```bash
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@@ -153,3 +158,9 @@ cd /opt/chan && sudo git reset --hard <sha> && sudo systemctl restart chan-live-
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staleness 闸挡掉。这是对的——参考成交价是次根开盘价,过了就不是回测那个价。
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- **重启时会平掉交易所上已有的仓位**(`reconcile`)。接管要重建入场价、ATR、
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剩余半仓状态和已过根数,任一项猜错就跑成另一个收益结构,所以选择平掉。
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- **日亏损上限依赖 `watch()` 循环**。止损与止盈在交易所侧成交,本进程收不到
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通知,所以有个 10s 轮询去 `history-position` 取 `netProfit`(含手续费与资金
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费)记回闸。这个循环停了,`pnl_day` 会恒为 0,`MAX_DAY_LOSS` 静默失效。
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心跳里会打 `当日 PnL x/-20`,值一直是 0.00 而又确实有平仓,就是它出了问题。
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- **平仓后 `MAX_OPEN` 名额由 `watch()` 释放**,不是立刻。最坏延迟 10s。若
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历史记录还没落库,会等下一轮,日志里打"历史未就绪,下轮再结算"。
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@@ -48,3 +48,21 @@ LIVE_STALE_S=20
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# 交易的币池。要与采集机一致,否则会收到不做的币的信号(会被忽略但徒增噪声)
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SYMS=BTC,ETH,SOL,BNB,XRP,DOGE,ADA,AVAX,LINK,LTC
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# 盯交易所侧出场的轮询间隔(秒)。**别关掉这个循环**:止损与止盈在交易所侧
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# 成交,本进程收不到通知,缺了它 pnl_day 恒为 0,MAX_DAY_LOSS 就是死的
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LIVE_WATCH_S=10
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# ── Telegram 通知 ─────────────────────────────────────────────────
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# 拿 token:Telegram 里找 @BotFather → /newbot
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# 拿 chat id:给 bot 随便发一句,再开
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# https://api.telegram.org/bot<TOKEN>/getUpdates 看 result[0].message.chat.id
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#
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# 留空则完全不推(不报错)。推的内容:开仓、平仓(带已实现盈亏)、被硬约束
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# 挡住、报错、对账平仓、跨日结算、启动与停机。
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# **不推**信号过期跳过(常态,搬运重连会重放旧信号)和心跳(日志里有)。
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# 量级约 30 条/天上限。
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TG_TOKEN=
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TG_CHAT=
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# 前缀,用来和采集机推的手工信号区分开——两边可以共用同一个 bot 和对话
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TG_TAG=实盘
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@@ -54,7 +54,10 @@ today = time.strftime("%Y-%m-%d")
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day = d.get("day", "?")
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stale = "" if day == today else f" ⚠ 是 {day} 的,跨日后首次开仓时才归零"
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print(f" 当日 {day}{stale}")
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print(f" 已开 {d.get('n_day', 0)} 笔 · 盈亏 {d.get('pnl_day', 0.0):+.2f} USDT")
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pnl, n = d.get("pnl_day", 0.0), d.get("n_day", 0)
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# pnl 恒为 0 而又确实开过仓,说明 watch() 没在记账 → MAX_DAY_LOSS 是死的
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warn = " ⚠ 开过仓但盈亏仍为 0,查 watch() 是否在跑" if n and pnl == 0 else ""
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print(f" 已开 {n} 笔 · 盈亏 {pnl:+.2f} USDT{warn}")
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print(f" 已处理信号键 {len(d.get('done', []))} 个(幂等去重用,留最近 5000)")
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PY
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else
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+113
-4
@@ -78,6 +78,7 @@ sys.path.insert(0, str(HERE.parent))
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import signal_bus # noqa: E402
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from bitget_rest import Bitget # noqa: E402
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import tg # noqa: E402
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from exit_params import MAXB, RUNNER, RUNNER_STOP, SCALE_AT, SL # noqa: E402
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# 生产状态的根目录。默认放 ~/chan-live,**不落在仓库里**:仓库会被 git
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@@ -99,6 +100,9 @@ MAX_DAY = int(os.environ.get("LIVE_MAX_DAY", "15"))
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MAX_DAY_LOSS = float(os.environ.get("LIVE_MAX_DAY_LOSS", "20"))
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# 信号超过这么久就不做了。参考成交价是次根开盘价,过期后跑的不是回测那个价
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STALE_S = float(os.environ.get("LIVE_STALE_S", "20"))
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# 盯交易所侧出场的轮询间隔。10s 足够:出场后要做的只是记账与放开 MAX_OPEN
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# 名额,不涉及下单时效。太密会白耗 API 配额
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WATCH_S = float(os.environ.get("LIVE_WATCH_S", "10"))
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STATE = Path(os.environ.get("LIVE_STATE", LIVE_HOME / "state" / "live_state.json"))
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TRADES = Path(os.environ.get("LIVE_TRADES", LIVE_HOME / "state" / "live_trades.jsonl"))
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@@ -135,6 +139,7 @@ class Guard:
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self.n_day = 0
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self.pnl_day = 0.0
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self.done: set = set()
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self.pending_roll: tuple | None = None
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self._load()
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def _load(self) -> None:
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@@ -165,6 +170,8 @@ class Guard:
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print(f" [guard] 跨日 {self.day} → {today},"
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f"当日 {self.n_day} 笔 / PnL {self.pnl_day:+.2f} USDT",
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flush=True)
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# roll() 是同步的,推送要 await,所以只留个待发件,由心跳取走
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self.pending_roll = (self.day, self.n_day, self.pnl_day)
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self.day, self.n_day, self.pnl_day = today, 0, 0.0
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self.save()
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@@ -248,6 +255,9 @@ class Exec:
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self.api = Bitget(dry=self.dry)
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self.rules = await self.api.contracts()
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print(f" 合约规则 {len(self.rules)} 个", flush=True)
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# 启动推送兼作"通道通不通"的自检:配错了这里就收不到,而不是等到
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# 几小时后第一个真信号来时才发现
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await tg.started(NOTIONAL, LEVERAGE, len(SYMS), self.dry)
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if self.dry:
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print(" ⚠ 空跑模式:不下真单", flush=True)
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return
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@@ -294,6 +304,9 @@ class Exec:
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return
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print(f" ⚠ 对账:发现 {len(pos)} 个遗留持仓,撤挂单后市价平掉",
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flush=True)
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await tg.error(f"对账:发现 {len(pos)} 个遗留持仓,撤挂单后市价平掉",
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"、".join(f"{p['symbol']} {p['holdSide']} {p['total']}"
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for p in pos))
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for p in pos:
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sym, hs, sz = p["symbol"], p["holdSide"], p["total"]
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print(f" {sym} {hs} {sz} @ {p.get('openPriceAvg')}",
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@@ -339,6 +352,10 @@ class Exec:
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print(f" ⊘ {r['key']} 跳过:{why}", flush=True)
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log_trade({"ev": "skip", "key": r["key"], "why": why,
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"age_s": round(age, 2)})
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# 只有被硬约束挡住才推。过期跳过是常态(搬运重连会重放旧信号),
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# 推了会把真事淹掉
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if "过期" not in why and "已做过" not in why:
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await tg.blocked(r["key"], why)
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return
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self.guard.took(r["key"])
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@@ -428,12 +445,95 @@ class Exec:
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print(f" {x['tag']:<7}{half} 币 · 止损 {stop_px} · "
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f"止盈 {tp_px}", flush=True)
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log_trade({"ev": "opened", "key": r["key"], "legs": opened,
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"stop_px": stop_px})
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if opened:
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self.execs[r["key"]] = {
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"sym": sym, "pair": pair, "hold": hold,
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"deadline": time.time() + MAXB * 60, "legs": opened}
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log_trade({"ev": "opened", "key": r["key"], "legs": opened,
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"stop_px": stop_px})
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"deadline": time.time() + MAXB * 60, "legs": opened,
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# watch() 靠这个时间戳去 history-position 里认领对应的平仓记录
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"opened_ms": int(time.time() * 1000),
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"side": "LONG" if d > 0 else "SHORT"}
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await tg.opened(sym, self.execs[r["key"]]["side"], entry,
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r["atr_pct"], NOTIONAL, LEVERAGE, stop_px,
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opened, time.time() - r["emit_ms"] / 1000.0)
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async def watch(self) -> None:
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"""盯交易所侧的出场,把已实现盈亏记回闸。
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为什么必须有这个循环:止损与止盈都挂在交易所侧,成交时本进程收不到
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任何通知。缺了它有两个后果,都是静默的:
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1. `Guard.realized()` 没人调用 → `pnl_day` 恒为 0 →
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**MAX_DAY_LOSS 这道闸完全不生效**。三条硬约束里最重要的一条。
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2. `self.execs` 的条目要挂到 48 分钟截止才清 → `MAX_OPEN` 把已经
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出场的仓位继续算在场 → 新信号被白挡掉。方向保守但不是本意。
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盈亏取交易所的 `netProfit`(= pnl + 资金费 + 开平手续费),不自己按
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标记价估——估会漏掉费用,而且方向总是偏乐观。
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"""
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while True:
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await asyncio.sleep(WATCH_S)
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if self.dry or not self.execs:
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continue
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try:
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live = {p["symbol"] for p in await self.api.positions()}
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except Exception as e: # noqa: BLE001
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print(f" ⚠ 盯仓读持仓失败 {type(e).__name__}: {e}", flush=True)
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continue
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gone = [k for k, st in self.execs.items()
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if st["pair"] not in live]
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if not gone:
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continue
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# 两个半仓在同一 symbol 上会被交易所净成一个仓位,所以一个 key
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# 对应一条历史记录。按最早的入场时间取一次历史,够覆盖全部
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since = min(self.execs[k]["opened_ms"] for k in gone) - 60_000
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try:
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hist = await self.api.history_positions(start_ms=since)
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except Exception as e: # noqa: BLE001
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print(f" ⚠ 读历史持仓失败 {type(e).__name__}: {e},"
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f"本轮不结算(下轮重试,不会漏)", flush=True)
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continue
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for key in gone:
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st = self.execs[key]
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rec = self._match_hist(hist, st)
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if rec is None:
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# 常见于刚平掉、历史还没落库。留着下轮再试;真丢了也有
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# 48 分钟截止那条路兜住 execs 的清理
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print(f" … {key} 已出场但历史未就绪,下轮再结算",
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flush=True)
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continue
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pnl = float(rec.get("netProfit") or 0.0)
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self.guard.realized(pnl)
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self.guard.save()
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self.execs.pop(key, None)
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print(f" ◀ {key} 交易所侧出场 · 已实现 {pnl:+.2f} USDT "
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f"· 当日累计 {self.guard.pnl_day:+.2f}", flush=True)
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log_trade({"ev": "closed", "key": key, "net_profit": pnl,
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"open_px": rec.get("openAvgPrice"),
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"close_px": rec.get("closeAvgPrice")})
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await tg.closed(st["sym"], st["side"], pnl,
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float(rec.get("openAvgPrice") or 0),
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float(rec.get("closeAvgPrice") or 0),
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self.guard.pnl_day, self.guard.n_day)
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@staticmethod
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def _match_hist(hist: list, st: dict) -> dict | None:
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"""在历史持仓里认领属于这一笔的记录。
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按 symbol + holdSide 匹配,并要求收盘时间不早于入场时间(减 60s 容差,
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两边时钟与落库都有抖动)。同一 symbol 有多条时取最近的一条。
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"""
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best, best_t = None, -1.0
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for r in hist:
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if r.get("symbol") != st["pair"] or r.get("holdSide") != st["hold"]:
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continue
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t = float(r.get("utime") or r.get("uTime") or 0)
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if t < st["opened_ms"] - 60_000:
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continue
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if t > best_t:
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best, best_t = r, t
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return best
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async def sweep(self) -> None:
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"""超时腿:48 分钟到点市价平。
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@@ -472,6 +572,11 @@ class Exec:
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async def heartbeat(self) -> None:
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while True:
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await asyncio.sleep(300)
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# 跨日结算是 roll() 里同步留下的,在这里发出去
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self.guard.roll()
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if self.guard.pending_roll:
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await tg.day_rolled(*self.guard.pending_roll)
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self.guard.pending_roll = None
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n_open = sum(1 for v in self.execs.values() if v)
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print(f" [心跳] 见信号 {self.n_seen} · 已做 {self.n_took} · "
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f"跳过 {self.n_skip} · 在场 {n_open}/{MAX_OPEN} · "
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@@ -490,6 +595,7 @@ class Exec:
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直接复用 reconcile:它做的正是"撤挂单 + 市价平掉一切"。
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"""
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print("\n 收到停机信号,撤挂单并平掉在场仓位", flush=True)
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await tg.stopping(len(self.execs))
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try:
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if self.dry:
|
||||
print(" 空跑模式,无仓位可平", flush=True)
|
||||
@@ -519,7 +625,8 @@ class Exec:
|
||||
for sig in (signal.SIGTERM, signal.SIGINT):
|
||||
loop.add_signal_handler(sig, stop.set)
|
||||
work = [asyncio.create_task(c)
|
||||
for c in (self.poll(), self.sweep(), self.heartbeat())]
|
||||
for c in (self.poll(), self.watch(), self.sweep(),
|
||||
self.heartbeat())]
|
||||
done, _ = await asyncio.wait(
|
||||
[*work, asyncio.create_task(stop.wait())],
|
||||
return_when=asyncio.FIRST_COMPLETED)
|
||||
@@ -531,6 +638,8 @@ class Exec:
|
||||
if t in work and (exc := t.exception()) is not None:
|
||||
print(f" ⛔ 主循环异常退出 {type(exc).__name__}: {exc}",
|
||||
flush=True)
|
||||
await tg.error("主循环异常退出,正在平仓并退出",
|
||||
f"{type(exc).__name__}: {exc}")
|
||||
await self.shutdown()
|
||||
|
||||
|
||||
|
||||
+112
@@ -0,0 +1,112 @@
|
||||
"""生产侧 Telegram 通知。只用标准库 + aiohttp。
|
||||
|
||||
## 推什么、不推什么
|
||||
|
||||
推送的价值在于**你会因此做点什么**。按这个标准筛:
|
||||
|
||||
推 开仓 能立刻眼看一遍方向/价位对不对
|
||||
推 平仓 带已实现盈亏(含手续费与资金费),这是唯一的真账
|
||||
推 闸拦截 仅 MAX_OPEN / MAX_DAY / MAX_DAY_LOSS —— 说明有 bug 或策略在流血
|
||||
推 报错、对账平仓、跨日结算
|
||||
不推 信号过期跳过 这是常态(重连重放会带上旧信号),推了就淹掉真事
|
||||
不推 心跳 日志里有,推了每天 288 条
|
||||
|
||||
量级:信号 6.8 个/天、日开仓上限 15,所以最多约 30 条/天。
|
||||
|
||||
## 失败一律只打日志
|
||||
|
||||
推送挂了不能连坐交易。所有异常在这里吞掉——上层不该因为 Telegram 抽风而
|
||||
影响下单或平仓。
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import os
|
||||
import time
|
||||
|
||||
TOKEN = os.environ.get("TG_TOKEN", "")
|
||||
CHAT = os.environ.get("TG_CHAT", "")
|
||||
ENABLED = bool(TOKEN and CHAT)
|
||||
# 生产机上给这条推送打个前缀,免得和采集机推的手工信号混在一个对话里分不清
|
||||
TAG = os.environ.get("TG_TAG", "实盘")
|
||||
|
||||
|
||||
async def send(text: str) -> None:
|
||||
"""推一条。任何失败都只打日志——推送挂了不能连坐交易。"""
|
||||
if not ENABLED:
|
||||
return
|
||||
try:
|
||||
import aiohttp
|
||||
url = f"https://api.telegram.org/bot{TOKEN}/sendMessage"
|
||||
async with aiohttp.ClientSession() as s:
|
||||
async with s.post(url,
|
||||
json={"chat_id": CHAT, "text": text},
|
||||
timeout=aiohttp.ClientTimeout(total=10)) as r:
|
||||
if r.status != 200:
|
||||
body = (await r.text())[:200]
|
||||
print(f" [TG] 推送失败 HTTP {r.status} {body}", flush=True)
|
||||
except Exception as e: # noqa: BLE001
|
||||
print(f" [TG] 推送异常 {type(e).__name__}: {e}", flush=True)
|
||||
|
||||
|
||||
def _fmt(px: float) -> str:
|
||||
"""按量级选小数位。跨币种从 79000 到 0.087,固定位数会难读或丢精度。"""
|
||||
a = abs(px)
|
||||
if a >= 1000:
|
||||
return f"{px:.1f}"
|
||||
if a >= 10:
|
||||
return f"{px:.3f}"
|
||||
if a >= 1:
|
||||
return f"{px:.4f}"
|
||||
return f"{px:.6f}"
|
||||
|
||||
|
||||
async def opened(sym: str, side: str, entry: float, atr_pct: float,
|
||||
notional: float, leverage: int, stop_px: str,
|
||||
legs: list[dict], age_s: float) -> None:
|
||||
arrow = "多" if side == "LONG" else "空"
|
||||
lines = [f"[{TAG}] 开仓 {sym} {arrow}",
|
||||
f"参考价 {_fmt(entry)} · ATR {atr_pct * 1e4:.1f}bp",
|
||||
f"名义 {notional:.0f} USDT · {leverage}x · "
|
||||
f"保证金 {notional / leverage:.0f} USDT",
|
||||
f"止损 {stop_px}(两腿共用,不移动)"]
|
||||
for lg in legs:
|
||||
lines.append(f" {lg['tag']:<6} {lg['size']} 币 · 止盈 {lg['tp_px']}")
|
||||
lines.append(f"距参考价成立 {age_s:.1f}s")
|
||||
await send("\n".join(lines))
|
||||
|
||||
|
||||
async def closed(sym: str, side: str, pnl: float, open_px: float,
|
||||
close_px: float, day_pnl: float, day_n: int,
|
||||
reason: str = "") -> None:
|
||||
arrow = "多" if side == "LONG" else "空"
|
||||
mark = "盈" if pnl > 0 else ("亏" if pnl < 0 else "平")
|
||||
tail = f" · {reason}" if reason else ""
|
||||
await send(f"[{TAG}] 平仓 {sym} {arrow} {mark} {pnl:+.2f} USDT{tail}\n"
|
||||
f"开 {_fmt(open_px)} → 平 {_fmt(close_px)}\n"
|
||||
f"当日 {day_n} 笔 · 累计 {day_pnl:+.2f} USDT")
|
||||
|
||||
|
||||
async def blocked(key: str, why: str) -> None:
|
||||
"""只在被硬约束挡住时推。过期跳过属于常态,不走这里。"""
|
||||
await send(f"[{TAG}] ⛔ 信号被挡 {key}\n{why}")
|
||||
|
||||
|
||||
async def error(what: str, detail: str) -> None:
|
||||
await send(f"[{TAG}] ⛔ {what}\n{detail[:500]}")
|
||||
|
||||
|
||||
async def started(notional: float, leverage: int, syms: int,
|
||||
dry: bool) -> None:
|
||||
mode = "空跑(不下真单)" if dry else "真跑"
|
||||
await send(f"[{TAG}] 执行器启动 · {mode}\n"
|
||||
f"名义 {notional:.0f} USDT · {leverage}x · {syms} 币")
|
||||
|
||||
|
||||
async def day_rolled(day: str, n: int, pnl: float) -> None:
|
||||
await send(f"[{TAG}] {day} 结算 · {n} 笔 · {pnl:+.2f} USDT")
|
||||
|
||||
|
||||
async def stopping(n_open: int) -> None:
|
||||
await send(f"[{TAG}] 收到停机信号,平掉在场 {n_open} 笔后退出。"
|
||||
f"\n注意:停机后不再有超时平仓与新开仓。"
|
||||
f"发生时间 {time.strftime('%H:%M:%S')}")
|
||||
+12
-14
@@ -185,20 +185,18 @@ def build(sym: str, direction: int, entry: float, atr_pct: float,
|
||||
|
||||
|
||||
async def send(text: str) -> None:
|
||||
"""推一条。任何失败都只打日志——推送挂了不能连坐采集。"""
|
||||
if not ENABLED:
|
||||
return
|
||||
try:
|
||||
import aiohttp
|
||||
url = f"https://api.telegram.org/bot{TOKEN}/sendMessage"
|
||||
async with aiohttp.ClientSession() as s:
|
||||
async with s.post(url, json={"chat_id": CHAT, "text": text},
|
||||
timeout=aiohttp.ClientTimeout(total=10)) as r:
|
||||
if r.status != 200:
|
||||
print(f" [TG] 推送失败 HTTP {r.status} "
|
||||
f"{(await r.text())[:200]}", flush=True)
|
||||
except Exception as e:
|
||||
print(f" [TG] 推送异常 {type(e).__name__}: {e}", flush=True)
|
||||
"""推一条。传输层复用生产侧的 `live/tg.py`,这里不再维护第二份。
|
||||
|
||||
方向与 `signal_bus` 一致:**生产持有实现,研究侧反过来 import**。反过来
|
||||
写成生产 import 研究侧,就等于把研究侧的依赖树绑到实盘进程上。
|
||||
"""
|
||||
from pathlib import Path
|
||||
import sys
|
||||
p = str(Path(__file__).resolve().parents[2] / "live")
|
||||
if p not in sys.path:
|
||||
sys.path.insert(0, p)
|
||||
import tg
|
||||
await tg.send(text)
|
||||
|
||||
|
||||
async def push_signal(sym: str, direction: int, entry: float, atr_pct: float,
|
||||
|
||||
Reference in New Issue
Block a user