feat(ECR-007): Wyckoff Live Structure with Confirmed/Live isolation
Add live.py lifecycle and event candidates; assemble confirmed vs live in engine; Summary partition; execution_signal source=confirmed only. Keep strategies untouched; do not lower Confirmed thresholds for Live. Co-authored-by: Cursor <cursoragent@cursor.com>
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jackyu66git
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"""威科夫 Live / Developing 层（WYCKOFF-LIVE-STRUCTURE-001）。
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独立于 Confirmed Engine：不修改 events 确认条件，不写入 confirmed.events。
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Execution 不得消费本模块输出。
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"""
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from __future__ import annotations
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from typing import Any, Dict, List, Optional, Set
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import numpy as np
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import pandas as pd
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def _avg_vol(df: pd.DataFrame, i: int, win: int = 20) -> float:
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a = max(0, i - win + 1)
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v = df["volume"].astype(float).iloc[a : i + 1]
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m = float(v.mean()) if len(v) else 0.0
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return m if m > 0 else 1.0
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def _empty_live() -> Dict[str, Any]:
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return {
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"lifecycle": "UNKNOWN",
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"range_formation": None,
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"phase_candidate": None,
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"event_candidates": [],
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"next_expected": None,
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"confidence": {
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"cycle": 0.0,
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"phase": 0.0,
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"event": 0.0,
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"structure": 0.0,
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"volume": 0.0,
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"overall": 0.0,
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},
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"note": "",
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}
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def analyze_live_structure(
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df: pd.DataFrame,
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tr: Optional[Dict[str, Any]],
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confirmed_events: Optional[List[Dict[str, Any]]] = None,
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confirmed_phases: Optional[List[Dict[str, Any]]] = None,
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bias: str = "unknown",
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) -> Dict[str, Any]:
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"""
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基于当前 TradingRange 与已确认事件，推演 Live candidates。
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confirmed_* 只读，用于避免重复提示已确认事件，不修改之。
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"""
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out = _empty_live()
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if df is None or len(df) < 20 or tr is None:
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out["note"] = "insufficient structure"
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return out
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confirmed_events = confirmed_events or []
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confirmed_phases = confirmed_phases or []
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confirmed_types: Set[str] = {str(e.get("type")) for e in confirmed_events if e.get("type")}
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s = int(tr["abs_start_idx"])
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e = int(tr["abs_end_idx"])
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scan_end = int(tr.get("abs_scan_end_idx", len(df) - 1))
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scan_end = min(len(df) - 1, max(scan_end, e))
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hi = float(tr["high"])
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lo = float(tr["low"])
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mid = float(tr["mid"])
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tol = float(tr.get("tol") or (hi - lo) * 0.05)
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atr = float(tr.get("atr") or max((hi - lo) * 0.2, 1e-9))
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seg = df.iloc[s : e + 1]
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if len(seg) < 8:
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out["note"] = "range too short"
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return out
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# —— Range Formation（横盘 / 波动收敛）——
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closes = seg["close"].astype(float)
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highs = seg["high"].astype(float)
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lows = seg["low"].astype(float)
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vols = seg["volume"].astype(float) if "volume" in seg.columns else pd.Series([1.0] * len(seg))
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half = max(4, len(seg) // 2)
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vol_early = float(np.std(closes.iloc[:half])) if half > 1 else 0.0
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vol_late = float(np.std(closes.iloc[-half:])) if half > 1 else 0.0
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width = hi - lo
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width_atr = width / atr if atr > 0 else 99.0
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converging = vol_early > 1e-12 and vol_late < vol_early * 0.85
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range_ok = 1.2 <= width_atr <= 10.0 and len(seg) >= 16
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structure_score = 0.35
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if range_ok:
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structure_score += 0.25
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if converging:
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structure_score += 0.2
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if width_atr <= 6.0:
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structure_score += 0.1
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structure_score = float(min(0.95, structure_score))
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out["range_formation"] = {
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"potential_trading_range": bool(range_ok),
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"converging": bool(converging),
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"width_atr": round(width_atr, 3),
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"bars": int(len(seg)),
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}
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# —— 最近 K 形态（Phase C / Event candidates）——
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i = scan_end
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row = df.iloc[i]
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o = float(row["open"])
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h = float(row["high"])
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l = float(row["low"])
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c = float(row["close"])
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rng = max(h - l, 1e-9)
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lower_wick = min(o, c) - l
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upper_wick = h - max(o, c)
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avg_v = _avg_vol(df, i)
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vol = float(row["volume"]) if "volume" in df.columns else avg_v
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vol_ratio = vol / avg_v if avg_v else 1.0
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volume_score = float(np.clip(1.1 - abs(vol_ratio - 1.0) * 0.35, 0.2, 0.95))
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phase_candidate = None
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phase_conf = 0.0
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# Phase C：测低 + 下影 + 缩量（吸筹语境）
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near_lo = l <= lo + tol * 1.2
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test_low = l < mid and lower_wick >= rng * 0.35
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vol_contract = vol_ratio <= 1.05
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if bias != "distribution" and near_lo and test_low and vol_contract:
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phase_candidate = "C"
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phase_conf = 0.55 + (0.1 if lower_wick >= rng * 0.5 else 0) + (0.08 if vol_ratio < 0.9 else 0)
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# Phase D 候选：价格在箱上半、有上破意图但未确认 SOS
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elif c >= mid and (h >= hi - tol or c > hi - tol * 0.5):
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phase_candidate = "D"
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phase_conf = 0.5 + (0.1 if c > mid else 0)
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elif c < mid and (l <= lo + tol):
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phase_candidate = "B"
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phase_conf = 0.45
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# 已有 confirmed phase 时，candidate 取「下一阶段」提示，不覆盖事实
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confirmed_phase_set = {str(p.get("phase")) for p in confirmed_phases}
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if "E" in confirmed_phase_set:
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phase_candidate = phase_candidate or "E"
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phase_conf = max(phase_conf, 0.7)
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elif "D" in confirmed_phase_set and phase_candidate is None:
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phase_candidate = "D"
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phase_conf = max(phase_conf, 0.65)
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out["phase_candidate"] = phase_candidate
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phase_conf = float(min(0.92, phase_conf))
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# —— Event candidates（仅 Spring / SOS / LPS / UTAD）——
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candidates: List[Dict[str, Any]] = []
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def _add(typ: str, conf: float, note: str) -> None:
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if typ in confirmed_types:
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return # 已确认则不再作为 candidate
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candidates.append(
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{
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"type": typ,
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"confidence": round(float(min(0.9, conf)), 3),
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"confirmed": False,
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"note": note,
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}
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)
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# Spring candidate：刺破或贴近下沿，收盘收回，但未达 Confirmed 规则（或不在 confirmed）
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pierce_lo = l < lo - tol * 0.15
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close_back = c >= lo - tol * 0.5
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if pierce_lo and close_back:
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_add("Spring", 0.5 + (0.12 if vol_ratio <= 1.2 else 0) + (0.08 if close_back else 0), "假破下沿收回（未确认）")
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elif l <= lo + tol * 0.35 and close_back and lower_wick >= rng * 0.4:
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_add("Spring", 0.45 + (0.1 if vol_contract else 0), "测下沿长下影（未确认）")
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# UTAD candidate
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pierce_hi = h > hi + tol * 0.15
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close_back_dn = c <= hi + tol * 0.5
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if pierce_hi and close_back_dn:
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_add("UTAD", 0.5 + (0.1 if vol_ratio >= 0.9 else 0), "假破上沿跌回（未确认）")
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# SOS candidate：接近/轻破上沿，量能一般，未确认
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if c > hi - tol * 0.4 or h >= hi:
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sos_conf = 0.48 + (0.12 if c > hi else 0) + (0.1 if vol_ratio >= 1.05 else 0)
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_add("SOS", sos_conf, "上破/逼近箱顶（未确认）")
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# LPS candidate：站上 mid/上沿带后回踩
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if c >= mid and l >= mid - tol * 1.5 and l > lo + (hi - lo) * 0.25:
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_add("LPS", 0.46 + (0.1 if vol_ratio <= 1.0 else 0), "箱内上沿带回踩（未确认）")
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candidates.sort(key=lambda x: x["confidence"], reverse=True)
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out["event_candidates"] = candidates[:4]
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event_score = float(candidates[0]["confidence"]) if candidates else 0.25
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# next_expected（简规则）
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next_exp = None
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if "Spring" in confirmed_types and "SOS" not in confirmed_types:
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next_exp = "SOS"
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elif "SOS" in confirmed_types and "LPS" not in confirmed_types:
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next_exp = "LPS"
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elif "UTAD" in confirmed_types and "SOW" not in confirmed_types:
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next_exp = "SOW"
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elif any(c["type"] == "Spring" for c in candidates):
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next_exp = "Test"
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elif any(c["type"] == "SOS" for c in candidates):
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next_exp = "LPS"
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out["next_expected"] = next_exp
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# —— lifecycle ——
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key_confirmed = confirmed_types & {"Spring", "SOS", "UTAD", "SOW", "LPS", "LPSY"}
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if key_confirmed:
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lifecycle = "CONFIRMED"
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elif range_ok or phase_candidate or candidates:
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lifecycle = "FORMING"
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else:
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lifecycle = "UNKNOWN"
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out["lifecycle"] = lifecycle
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cycle_c = structure_score
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overall = 0.35 * cycle_c + 0.25 * phase_conf + 0.25 * event_score + 0.15 * volume_score
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out["confidence"] = {
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"cycle": round(cycle_c, 3),
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"phase": round(phase_conf, 3),
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"event": round(event_score, 3),
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"structure": round(structure_score, 3),
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"volume": round(volume_score, 3),
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"overall": round(float(overall), 3),
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}
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parts = []
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if out["range_formation"]["potential_trading_range"]:
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parts.append("Potential TR")
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if phase_candidate:
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parts.append(f"Phase {phase_candidate} candidate")
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if candidates:
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parts.append(f"{candidates[0]['type']} candidate")
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out["note"] = "; ".join(parts) if parts else "observing"
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return out
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def execution_signal_from_wyckoff(payload: Dict[str, Any]) -> Optional[Dict[str, Any]]:
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"""
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Execution 边界：只允许 Confirmed。
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返回 source='confirmed' 的信号描述；Live-only 时返回 None。
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"""
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if not payload:
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return None
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cycles = payload.get("cycles") or []
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active = cycles[0] if cycles else None
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events = []
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if active and isinstance(active.get("confirmed"), dict):
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events = list(active["confirmed"].get("events") or [])
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if not events:
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# 兼容旧顶层 events（均为 confirmed 镜像）
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events = list(payload.get("events") or [])
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if not events:
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return None
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last = events[-1]
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return {
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"source": "confirmed",
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"type": last.get("type"),
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"time": last.get("time"),
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"lifecycle": (active or {}).get("lifecycle") or "CONFIRMED",
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}
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