jackandCursor
15f4aa088e
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>
214 lines
10 KiB
Python
214 lines
10 KiB
Python
"""Bitget v2 合约 REST 的最小客户端，只覆盖实盘执行要用的几个端点。
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## 为什么不用 Hummingbot 下单
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Hummingbot 的 Bitget 连接器只暴露 LIMIT / LIMIT_MAKER / MARKET，没有触发单。
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于是 `PositionExecutor` 的止损只能在本地控制循环里盯价、触发时才发市价单——
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**进程一死仓位就是裸的**。
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而交易所本身完全支持：`place-order` 有 `presetStopLossPrice`，下单时就把止损
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挂到服务端。所以整个结构变成两个调用，止损从入场那一刻起就不依赖我们的进程
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存活。绕过连接器不是图省事，是为了消掉一整类故障。
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## 止盈为什么不用 presetStopSurplusPrice
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它触发后按**市价**执行。而成本模型里止盈是 maker——那 60% 的出场不吃滑点、
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按 maker 费率计（见 `lib/shadow_budget.LEG_IS_TAKER`）。用 preset 会让这部分
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变成 taker，预算模型就不成立了。所以止盈单独挂 `post_only` 的 reduce-only
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限价单。
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止损反过来：必须是市价。stop-limit 在急跌里可能不成交，损失远大于省下的费。
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"""
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from __future__ import annotations
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import base64
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import hashlib
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import hmac
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import json
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import os
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import time
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BASE = "https://api.bitget.com"
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PRODUCT = "usdt-futures"
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MARGIN_COIN = "USDT"
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class BitgetError(RuntimeError):
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def __init__(self, code: str, msg: str, path: str):
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super().__init__(f"{path} → [{code}] {msg}")
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self.code, self.msg = code, msg
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class Bitget:
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def __init__(self, key: str = "", secret: str = "", passphrase: str = "",
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dry: bool = False):
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self.key = key or os.environ.get("BITGET_API_KEY", "")
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self.secret = secret or os.environ.get("BITGET_API_SECRET", "")
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self.passphrase = passphrase or os.environ.get("BITGET_PASSPHRASE", "")
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self.dry = dry
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self._sess = None
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def _sign(self, ts: str, method: str, path: str, body: str) -> str:
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msg = f"{ts}{method.upper()}{path}{body}"
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return base64.b64encode(hmac.new(
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self.secret.encode(), msg.encode(), hashlib.sha256).digest()
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).decode()
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async def _req(self, method: str, path: str, params: dict | None = None,
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body: dict | None = None) -> dict:
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import aiohttp
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if self._sess is None:
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self._sess = aiohttp.ClientSession(
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timeout=aiohttp.ClientTimeout(total=15))
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qs = ""
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if params:
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qs = "?" + "&".join(f"{k}={v}" for k, v in sorted(params.items()))
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payload = json.dumps(body) if body else ""
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ts = str(int(time.time() * 1000))
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headers = {
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"ACCESS-KEY": self.key,
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"ACCESS-SIGN": self._sign(ts, method, path + qs, payload),
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"ACCESS-PASSPHRASE": self.passphrase,
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"ACCESS-TIMESTAMP": ts,
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"Content-Type": "application/json",
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"locale": "en-US",
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}
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async with self._sess.request(method, BASE + path + qs,
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headers=headers,
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data=payload or None) as r:
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d = await r.json()
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if str(d.get("code")) != "00000":
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raise BitgetError(str(d.get("code")), str(d.get("msg")), path)
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return d.get("data")
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async def close(self) -> None:
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if self._sess is not None:
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await self._sess.close()
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self._sess = None
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# ── 只读 ──────────────────────────────────────────────────────
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async def contracts(self) -> dict:
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"""合约规则。用于数量步长与价格 tick。"""
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d = await self._req("GET", "/api/v2/mix/market/contracts",
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{"productType": PRODUCT})
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return {c["symbol"]: c for c in d}
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async def positions(self) -> list:
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d = await self._req("GET", "/api/v2/mix/position/all-position",
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{"productType": PRODUCT,
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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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这一项决定 ATR 门控阈值（约 5 + 1.1×taker_bp），进而决定可交易币池。
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接口的合约默认档是 VIP0，不是账户档，必须问这个端点。
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"""
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return await self._req("GET", "/api/v2/mix/market/query-position-lever",
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{"symbol": symbol, "productType": PRODUCT})
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async def account(self) -> dict:
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return await self._req("GET", "/api/v2/mix/account/account",
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{"symbol": "BTCUSDT", "productType": PRODUCT,
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"marginCoin": MARGIN_COIN})
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# ── 写 ────────────────────────────────────────────────────────
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async def set_leverage(self, symbol: str, lev: int,
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hold_side: str | None = None) -> dict:
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body = {"symbol": symbol, "productType": PRODUCT,
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"marginCoin": MARGIN_COIN, "leverage": str(lev)}
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if hold_side:
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body["holdSide"] = hold_side
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return await self._req("POST", "/api/v2/mix/account/set-leverage",
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body=body)
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async def set_margin_mode(self, symbol: str,
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mode: str = "isolated") -> dict:
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return await self._req("POST", "/api/v2/mix/account/set-margin-mode",
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body={"symbol": symbol, "productType": PRODUCT,
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"marginCoin": MARGIN_COIN,
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"marginMode": mode})
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async def entry_with_stop(self, symbol: str, side: str, size: str,
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stop_px: str, client_oid: str) -> dict:
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"""市价入场，**同时**把止损挂到服务端。
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`presetStopLossPrice` 触发后按市价执行，这正是成本模型要的（止损是
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taker）。`clientOid` 给交易所级幂等——重发同一个 oid 会被拒，比本地
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去重可靠，因为「已发出但没收到回复」这种情况本地判不了。
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"""
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body = {"symbol": symbol, "productType": PRODUCT,
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"marginMode": "isolated", "marginCoin": MARGIN_COIN,
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"size": size, "side": side, "tradeSide": "open",
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"orderType": "market", "clientOid": client_oid,
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"presetStopLossPrice": stop_px}
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if self.dry:
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print(f" [dry] 入场+止损 {body}", flush=True)
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return {"orderId": "dry", "clientOid": client_oid}
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return await self._req("POST", "/api/v2/mix/order/place-order",
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body=body)
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async def tp_limit(self, symbol: str, side: str, size: str, px: str,
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client_oid: str) -> dict:
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"""挂 maker 止盈。
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`side` 传的是**平仓方向**（多头止盈是 sell）。`post_only` 保证是 maker：
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成本模型里止盈那 60% 按 maker 费率计且不吃滑点，用 taker 会破坏预算。
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`reduceOnly` 防止在单向模式下反手开出一个反向仓。
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"""
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body = {"symbol": symbol, "productType": PRODUCT,
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"marginMode": "isolated", "marginCoin": MARGIN_COIN,
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"size": size, "side": side, "tradeSide": "close",
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"orderType": "limit", "price": px, "force": "post_only",
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"reduceOnly": "YES", "clientOid": client_oid}
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if self.dry:
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print(f" [dry] 止盈限价 {body}", flush=True)
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return {"orderId": "dry", "clientOid": client_oid}
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return await self._req("POST", "/api/v2/mix/order/place-order",
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body=body)
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async def close_market(self, symbol: str, hold_side: str,
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size: str, client_oid: str) -> dict:
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"""市价平（超时腿与对账用）。"""
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side = "sell" if hold_side == "long" else "buy"
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body = {"symbol": symbol, "productType": PRODUCT,
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"marginMode": "isolated", "marginCoin": MARGIN_COIN,
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"size": size, "side": side, "tradeSide": "close",
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"orderType": "market", "reduceOnly": "YES",
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"clientOid": client_oid}
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if self.dry:
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print(f" [dry] 市价平 {body}", flush=True)
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return {"orderId": "dry"}
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return await self._req("POST", "/api/v2/mix/order/place-order",
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body=body)
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async def cancel_all(self, symbol: str) -> dict:
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body = {"symbol": symbol, "productType": PRODUCT,
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"marginCoin": MARGIN_COIN}
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if self.dry:
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print(f" [dry] 撤全部挂单 {symbol}", flush=True)
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return {}
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return await self._req("POST", "/api/v2/mix/order/cancel-all-orders",
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body=body)
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