openfund-core 1.0.1__tar.gz → 1.0.5__tar.gz

{openfund_core-1.0.1 → openfund_core-1.0.5}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: openfund-core
-Version: 1.0.1
+Version: 1.0.5
 Summary: Openfund-core.
 Requires-Python: >=3.9,<4.0
 Classifier: Programming Language :: Python :: 3

{openfund_core-1.0.1 → openfund_core-1.0.5}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "openfund-core"
-version = "1.0.1"
+version = "1.0.5"
 description = "Openfund-core."
 authors = []
 readme = "README.md"

openfund_core-1.0.5/src/core/Exchange.py

@@ -0,0 +1,533 @@
+import logging
+import time
+import ccxt
+import pandas as pd
+
+
+from decimal import Decimal
+from core.utils.OPTools import OPTools
+from ccxt.base.exchange import ConstructorArgs
+
+
+class Exchange:
+    BUY_SIDE = 'buy'
+    SELL_SIDE = 'sell'
+    LONG_KEY = 'long'
+    SHORT_KEY = 'short'
+    SIDE_KEY = 'side'
+    SYMBOL_KEY = 'symbol'
+    ENTRY_PRICE_KEY = 'entryPrice'
+    MARK_PRICE_KEY = 'markPrice'
+    CONTRACTS_KEY = 'contracts'
+    def __init__(self, config:ConstructorArgs, exchangeKey:str = "okx",) :
+        # 配置交易所
+        self.exchange = getattr(ccxt, exchangeKey)(config)
+        self.logger = logging.getLogger(__name__)
+
+
+
+    def getMarket(self, symbol:str):
+        # 配置交易对
+        self.exchange.load_markets()
+        
+        return self.exchange.market(symbol)
+
+    def get_tick_size(self,symbol) -> Decimal:     
+        
+        market = self.getMarket(symbol)
+        if market and 'precision' in market and 'price' in market['precision']:            
+            return OPTools.toDecimal(market['precision']['price'])
+        else:
+            raise ValueError(f"{symbol}: 无法从市场数据中获取价格精度")
+
+    def amount_to_precision(self,symbol, contract_size):
+        return self.exchange.amount_to_precision(symbol, contract_size)
+    
+    def get_position_mode(self):
+    
+        try:
+            # 假设获取账户持仓模式的 API
+            response = self.exchange.private_get_account_config()
+            data = response.get('data', [])
+            if data and isinstance(data, list):
+                # 取列表的第一个元素（假设它是一个字典），然后获取 'posMode'
+                position_mode = data[0].get('posMode', 'single')  # 默认值为单向
+                
+                return position_mode
+            else:
+               
+                return 'single'  # 返回默认值
+        except Exception as e:        
+            error_message = f"Error fetching position mode: {e}"
+            self.logger.error(error_message)        
+            raise Exception(error_message)  
+    
+    def set_leverage(self,symbol, leverage, mgnMode='isolated',posSide=None):
+        try:
+            # 设置杠杆
+            params = {
+                # 'instId': instId,
+                'leverage': leverage,
+                'marginMode': mgnMode
+            }
+            if posSide:
+                params['side'] = posSide
+                
+            self.exchange.set_leverage(leverage, symbol=symbol, params=params)
+            self.logger.info(f"{symbol} Successfully set leverage to {leverage}x")
+        except Exception as e:
+            error_message = f"{symbol} Error setting leverage: {e}"
+            self.logger.error(error_message)        
+            raise Exception(error_message)  
+    # 获取价格精度
+    def get_precision_length(self,symbol) -> int:
+        tick_size = self.get_tick_size(symbol)
+        return len(f"{tick_size:.15f}".rstrip('0').split('.')[1]) if '.' in f"{tick_size:.15f}" else 0
+
+    def format_price(self, symbol, price:Decimal) -> str:
+        precision = self.get_precision_length(symbol)
+        return f"{price:.{precision}f}"
+    
+    def convert_contract(self, symbol, amount, price:Decimal, direction='cost_to_contract'):
+        """
+        进行合约与币的转换
+        :param symbol: 交易对符号，如 'BTC/USDT:USDT'
+        :param amount: 输入的数量，可以是合约数量或币的数量
+        :param direction: 转换方向，'amount_to_contract' 表示从数量转换为合约，'cost_to_contract' 表示从金额转换为合约
+        :return: 转换后的数量
+        """
+
+        # 获取合约规模
+        market_contractSize = OPTools.toDecimal(self.getMarket(symbol)['contractSize'])
+        amount = OPTools.toDecimal(amount)
+        if direction == 'amount_to_contract':
+            contract_size = amount / market_contractSize
+        elif direction == 'cost_to_contract':
+            contract_size = amount / price / market_contractSize
+        else:
+            raise Exception(f"{symbol}:{direction} 是无效的转换方向，请输入 'amount_to_contract' 或 'cost_to_contract'。")
+        
+        return self.amount_to_precision(symbol, contract_size)
+   
+     
+    def cancel_all_orders(self, symbol):
+        max_retries = 3
+        retry_count = 0
+        
+        while retry_count < max_retries:
+            try:
+                # 获取所有未完成订单
+                params = {
+                    # 'instId': instId
+                }
+                open_orders = self.exchange.fetch_open_orders(symbol=symbol, params=params)
+                
+                # 批量取消所有订单
+                if open_orders:
+                    order_ids = [order['id'] for order in open_orders]
+                    self.exchange.cancel_orders(order_ids, symbol, params=params)
+                    
+                    self.logger.debug(f"{symbol}: {order_ids} 挂单取消成功.")
+                else:
+                    self.logger.debug(f"{symbol}: 无挂单.")
+                return True
+                
+            except Exception as e:
+                retry_count += 1
+                if retry_count == max_retries:
+                    error_message = f"{symbol} 取消挂单失败(重试{retry_count}次): {str(e)}"
+                    self.logger.error(error_message)
+                    raise Exception(error_message)                
+                else:
+                    self.logger.warning(f"{symbol} 取消挂单失败，正在进行第{retry_count}次重试: {str(e)}")
+                    time.sleep(0.1)  # 重试前等待0.1秒
+
+    def cancel_all_algo_orders(self, symbol, attachType=None) -> bool:
+        """_summary_
+
+        Args:
+            symbol (_type_): _description_
+            attachType (_type_, optional): "TP"|"SL". Defaults to None.
+        """
+        
+        params = {
+            "ordType": "conditional",
+        }
+        try:
+            orders = self.fetch_open_orders(symbol=symbol,params=params)
+        except Exception as e:
+            error_message = f"!!{symbol} : Error fetching open orders: {e}"
+            self.logger.error(error_message)
+            raise Exception(error_message)
+       
+        
+        if len(orders) == 0:           
+            self.logger.debug(f"{symbol} 未设置策略订单列表。")
+            return True
+     
+        algo_ids = []
+        if attachType and attachType == 'SL':
+            algo_ids = [order['id'] for order in orders if order['stopLossPrice'] and order['stopLossPrice'] > 0.0 ]
+        elif attachType and attachType == 'TP':
+            algo_ids = [order['id'] for order in orders if order['takeProfitPrice'] and order['takeProfitPrice'] > 0.0]
+        else :
+            algo_ids = [order['id'] for order in orders ]
+            
+        if len(algo_ids) == 0 :         
+            self.logger.debug(f"{symbol} 未设置策略订单列表。")
+            return True
+        
+        max_retries = 3
+        retry_count = 0
+        
+        while retry_count < max_retries:
+            try:
+                params = {
+                    "algoId": algo_ids,
+                    "trigger": 'trigger'
+                }
+                rs = self.exchange.cancel_orders(ids=algo_ids, symbol=symbol, params=params)
+                
+                return len(rs) > 0
+       
+            except Exception as e:
+                retry_count += 1
+                if retry_count == max_retries:
+                    error_message = f"!!{symbol} : Error cancelling order {algo_ids}: {e}"
+                    self.logger.error(error_message)
+                    raise Exception(error_message) 
+                   
+                self.logger.warning(f"{symbol} : Error cancelling order {algo_ids}: {str(e)}")
+                time.sleep(0.1)  # 重试前等待0.1秒 
+    def place_algo_orders(self, symbol, position, price: Decimal, order_type, sl_or_tp='SL', params={}) -> bool:
+        """
+        下单
+        Args:
+            symbol: 交易对
+            position: 仓位
+            price: 下单价格
+            order_type: 订单类型
+        """
+        # 计算下单数量
+        amount = abs(position[self.CONTRACTS_KEY])
+    
+        if amount <= 0:
+            self.logger.warning(f"{symbol}: amount is 0 for {symbol}")
+            return
+
+        # 止损单逻辑 
+        adjusted_price = self.format_price(symbol, price)
+        
+        # 默认市价止损，委托价格为-1时，执行市价止损。
+        sl_params = {
+            **params,
+            'slTriggerPx':adjusted_price , 
+            'slOrdPx':'-1', # 委托价格为-1时，执行市价止损
+            # 'slOrdPx' : adjusted_price,
+            'slTriggerPxType':'last',
+            'tdMode':position['marginMode'],
+            'sz': str(amount),        
+            'cxlOnClosePos': True,
+            'reduceOnly':True,            
+        }
+        
+        tp_params = {  
+            **params,
+            'tpTriggerPx':adjusted_price,
+            'tpOrdPx' : adjusted_price,
+            'tpOrdKind': 'condition',
+            'tpTriggerPxType':'last',            
+            'tdMode':position['marginMode'],
+            'sz': str(amount),          
+            'cxlOnClosePos': True,
+            'reduceOnly':True
+        }
+        
+        order_params = sl_params if sl_or_tp == 'SL' else tp_params
+        # order_params.update(params)
+        
+        if order_type == 'limit' and sl_or_tp =='SL':
+            order_params['slOrdPx'] = adjusted_price
+        
+        orderSide = self.BUY_SIDE if position[self.SIDE_KEY] == self.SHORT_KEY else self.SELL_SIDE # 和持仓反向相反下单
+        
+        order = {
+            'symbol': symbol,
+            'side': orderSide,
+            'type': order_type,
+            'amount': amount,
+            'price': adjusted_price,
+            'params': order_params
+        }
+        
+        max_retries = 3
+        retry_count = 0
+        self.logger.debug(f"{symbol} : Pre Algo Order placed:  {order} ")
+        while retry_count < max_retries:
+            try:
+                
+                self.exchange.create_order(
+                    **order
+                    # symbol=symbol,
+                    # type=order_type,
+                    # price=adjusted_price,
+                    # side=orderSide,
+                    # amount=amount,
+                    # params=order_params
+                )             
+                
+                break               
+               
+            except ccxt.NetworkError as e:
+                # 处理网络相关错误
+                retry_count += 1
+                self.logger.warning(f"{symbol} : 设置止盈止损时发生网络错误,正在进行第{retry_count}次重试: {str(e)}")
+                time.sleep(0.1)  # 重试前等待1秒
+                continue
+            except ccxt.ExchangeError as e:
+                # 处理交易所API相关错误
+                retry_count += 1
+                self.logger.warning(f"{symbol} : 设置止盈止损单时发生交易所错误,正在进行第{retry_count}次重试: {str(e)}")
+                time.sleep(0.1)
+                continue
+            except Exception as e:
+                # 处理其他未预期的错误
+                retry_count += 1
+                self.logger.warning(f"{symbol} : 设置止盈止损单时发生未知错误,正在进行第{retry_count}次重试: {str(e)}")
+                time.sleep(0.1)
+                continue
+            
+        if retry_count >= max_retries:
+            # 重试次数用完仍未成功设置止损单
+            error_message = f"!! {symbol}: 设置止盈止损单时重试次数用完仍未成功设置成功。 "
+            self.logger.error(error_message)
+            raise Exception(error_message)
+        self.logger.debug(f"{symbol} : --------- ++ Order placed done. --------")
+        return True
+        
+
+    def place_order(self, symbol, price: Decimal, amount_usdt, side, leverage=20, order_type='limit', params={}) -> bool: 
+        """
+        下单
+        Args:
+            symbol: 交易对
+            price: 下单价格
+            amount_usdt: 下单金额
+            side: 下单方向
+            order_type: 订单类型
+        """       
+        # 格式化价格
+        adjusted_price = self.format_price(symbol, price)
+
+        if amount_usdt <= 0:
+            self.logger.warning(f"{symbol}: amount_usdt must be greater than 0")
+            return
+    
+        pos_side = self.LONG_KEY if side == self.BUY_SIDE else self.SHORT_KEY
+
+        # 设置杠杆 
+        self.set_leverage(symbol=symbol, leverage=leverage, mgnMode='isolated',posSide=pos_side)  
+        # 20250220 SWAP类型计算合约数量 
+        contract_size = self.convert_contract(symbol=symbol, price = OPTools.toDecimal(adjusted_price) ,amount=amount_usdt)
+
+        order_params = {
+            **params,
+            "tdMode": 'isolated',
+            "side": side,
+            "ordType": order_type,
+            "sz": contract_size,
+            "px": adjusted_price
+        } 
+        
+        # # 模拟盘(demo_trading)需要 posSide
+        # if self.is_demo_trading == 1 :
+        #     params["posSide"] = pos_side
+            
+        order = {
+            'symbol': symbol,
+            'side': side,
+            'type': order_type,
+            'amount': contract_size,
+            'price': adjusted_price,
+            'params': order_params
+        }
+        
+        max_retries = 3
+        retry_count = 0
+
+        while retry_count < max_retries:
+            try:
+                # 使用ccxt创建订单
+                self.logger.debug(f"{symbol} : Pre Order placed:  {order} ")
+                order_result = self.exchange.create_order(
+                    **order
+                    # symbol=symbol,
+                    # type='limit',
+                    # side=side,
+                    # amount=amount_usdt,
+                    # price=float(adjusted_price),
+                    # params=params
+                )
+            except ccxt.NetworkError as e:
+                # 处理网络相关错误
+                retry_count += 1
+                self.logger.warning(f"{symbol} : 设置下单时发生网络错误,正在进行第{retry_count}次重试: {str(e)}")
+                time.sleep(0.1)  # 重试前等待1秒
+                continue
+            except ccxt.ExchangeError as e:
+                # 处理交易所API相关错误
+                retry_count += 1
+                self.logger.warning(f"{symbol} : 设置下单时发生交易所错误,正在进行第{retry_count}次重试: {str(e)}")
+                time.sleep(0.1)
+                continue
+            except Exception as e:
+                # 处理其他未预期的错误
+                retry_count += 1
+                self.logger.warning(f"{symbol} : 设置下单时发生未知错误,正在进行第{retry_count}次重试: {str(e)}")
+                time.sleep(0.1)
+                continue
+        if retry_count >= max_retries:
+            # 重试次数用完仍未成功设置止损单
+            error_message = f"!! {symbol}: 设置止盈止损单时重试次数用完仍未成功设置成功。 "
+            self.logger.error(error_message)
+            raise Exception(error_message)        
+        self.logger.debug(f"{symbol} : --------- ++ Order placed done. --------")  
+        return True
+      
+    def fetch_position(self, symbol):
+        """_summary_
+
+        Args:
+            symbol (_type_): _description_
+
+        Returns:
+            _type_: _description_
+        """
+        
+        max_retries = 3
+        retry_count = 0
+        
+        while retry_count < max_retries:
+            try:
+                position = self.exchange.fetch_position(symbol=symbol)
+                if position :
+                    # self.logger.debug(f"{symbol} 有持仓合约数: {position['contracts']}")
+                    return position
+                return None
+            except Exception as e:
+                retry_count += 1
+                if retry_count == max_retries:
+                    error_message = f"!!{symbol} 获取持仓失败(重试{retry_count}次): {str(e)}"
+                    self.logger.error(error_message)
+                    raise Exception(error_message)
+                   
+                self.logger.warning(f"{symbol} 检查持仓失败，正在进行第{retry_count}次重试: {str(e)}")
+                time.sleep(0.1)  # 重试前等待0.1秒
+    
+    def fetch_positions(self):
+        """_summary_
+        Returns:
+            _type_: _description_
+        """
+        max_retries = 3
+        retry_count = 0
+
+        while retry_count < max_retries:
+            try:
+                positions = self.exchange.fetch_positions()
+                return positions
+            except Exception as e:
+                retry_count += 1
+                if retry_count == max_retries:
+                    error_message = f"!! 获取持仓列表失败(重试{retry_count}次): {str(e)}"
+                    self.logger.error(error_message)
+                    raise Exception(error_message)
+
+                self.logger.warning(f"获取持仓列表失败，正在进行第{retry_count}次重试: {str(e)}")
+                time.sleep(0.1)  # 重试前等待0.1秒
+    
+    def fetch_open_orders(self,symbol,params={}):
+        max_retries = 3
+        retry_count = 0
+        
+        while retry_count < max_retries:
+            try:
+                orders = self.exchange.fetch_open_orders(symbol=symbol,params=params)
+                return orders
+            
+            except Exception as e:
+                retry_count += 1
+                if retry_count == max_retries:
+                    error_message = f"{symbol} : fetching open orders(retry {retry_count} times): {str(e)}"
+                    self.logger.error(error_message)
+                    raise Exception(error_message)
+                   
+                self.logger.warning(f"{symbol} : Error fetching open orders: {str(e)}")
+                time.sleep(0.1)  # 重试前等待0.1秒     
+    def get_market_price(self, symbol) -> Decimal:
+        """
+        获取最新价格
+        Args:
+            symbol: 交易对
+        """
+        max_retries = 3
+        retry_count = 0
+
+        while retry_count < max_retries:
+            try:
+                ticker = self.exchange.fetch_ticker(symbol)
+                if ticker and 'last' in ticker:
+                    return OPTools.toDecimal(ticker['last'])
+                else:
+                    raise Exception(f"{symbol} : Unexpected response structure or missing 'last' price")
+            except Exception as e:
+                retry_count += 1
+                if retry_count == max_retries:
+                    error_message = f"{symbol} 获取最新价格失败(重试{retry_count}次): {str(e)}"
+                    self.logger.error(error_message)
+                    raise Exception(error_message)
+            
+    def get_historical_klines(self, symbol, bar='15m', limit=300, after:str=None, params={}):
+        """
+        获取历史K线数据
+        Args:
+            symbol: 交易对
+            bar: K线周期
+            limit: 数据条数
+            after: 之后时间，格式为 "2025-05-21 23:00:00+08:00"
+        """
+           
+        params = {
+            **params,
+            # 'instId': instId,
+        }
+        since = None
+        if after:
+            since = self.exchange.parse8601(after)
+            limit = None
+            if since:
+                params['paginate'] = True
+            
+        klines = self.exchange.fetch_ohlcv(symbol, timeframe=bar,since=since, limit=limit, params=params)
+        # if 'data' in response and len(response['data']) > 0:
+        if klines :
+            # return response['data']
+            return klines
+        else:
+            raise Exception(f"{symbol} : Unexpected response structure or missing candlestick data")
+        
+    def get_historical_klines_df(self, symbol, bar='15m', limit=300, after:str=None, params={}) -> pd.DataFrame:
+        klines = self.get_historical_klines(symbol, bar=bar, limit=limit, after=after, params=params)
+        return self.format_klines(klines)
+
+    def format_klines(self, klines) -> pd.DataFrame:       
+        """_summary_
+            格式化K线数据
+        Args:
+            klines (_type_): _description_
+        """
+        klines_df = pd.DataFrame(klines, columns=['timestamp', 'open', 'high', 'low', 'close', 'volume']) 
+        # 转换时间戳为日期时间
+        klines_df['timestamp'] = pd.to_datetime(klines_df['timestamp'], unit='ms').dt.tz_localize('UTC').dt.tz_convert('Asia/Shanghai')
+  
+        return klines_df

{openfund_core-1.0.1 → openfund_core-1.0.5}/src/core/smc/SMCOrderBlock.py

@@ -54,7 +54,7 @@ class SMCOrderBlock(SMCStruct):
             ob_df = ob_df[ob_df[self.OB_DIRECTION_COL] == direction]
 
         # 检查OB是否被平衡过
-
+        ob_df = ob_df.copy() 
         ob_df.loc[:, self.OB_WAS_CROSSED] = ob_df.apply(
             lambda row: any(
                 df.loc[row.name + 1 :, self.LOW_COL] <= row[self.OB_LOW_COL]
@@ -64,25 +64,7 @@ class SMCOrderBlock(SMCStruct):
             axis=1,
         )
 
-        ob_df = ob_df[~ob_df[self.OB_WAS_CROSSED]]
-
-        # # 过滤出有效的OB
-        # if is_valid is not None and not ob_df.empty:
-        #     valid_mask = []
-        #     for _, row in ob_df.iterrows():
-        #         start_idx = row[self.OB_START_INDEX_COL] + 1
-        #         if start_idx >= len(df):
-        #             valid = False
-        #         else:
-        #             future_data = df.loc[start_idx:]
-        #             if row[self.OB_DIRECTION_COL] == "Bullish":
-        #                 valid = row[self.OB_LOW_COL] < future_data[self.LOW_COL].min()
-        #             else:  # Bearish
-        #                 valid = row[self.OB_HIGH_COL] > future_data[self.HIGH_COL].max()
-
-        #         valid_mask.append(valid if is_valid else not valid)
-
-        #     ob_df = ob_df[pd.Series(valid_mask, index=ob_df.index)]
+        ob_df = ob_df[~ob_df[self.OB_WAS_CROSSED]]      
 
         if if_combine:
             # 合并OB
@@ -91,7 +73,7 @@ class SMCOrderBlock(SMCStruct):
         return ob_df
 
     def build_struct_for_ob(
-        self, df, window=20, is_struct_body_break=True, atr_multiplier=0.6
+        self, df, is_struct_body_break=True, atr_multiplier=0.6
     ):
         """
         构建结构并检测Order Block
@@ -107,7 +89,7 @@ class SMCOrderBlock(SMCStruct):
             处理后的数据框,包含结构和Order Block相关列
         """
         # 首先构建基础结构
-        df = self.build_struct(df, window, is_struct_body_break)
+        df = self.build_struct(df, is_struct_body_break)
 
         check_columns = [self.HIGH_COL, self.LOW_COL, self.CLOSE_COL]
         self.check_columns(df, check_columns)
@@ -256,22 +238,30 @@ class SMCOrderBlock(SMCStruct):
         # df.at[i, self.OB_START_TS_COL] = df.loc[index, self.TIMESTAMP_COL]
         df.at[index, self.OB_ATR] = atr
 
-    def get_last_ob(self, df, prd=-1):
+    def get_lastest_OB(self, data, trend, start_index=-1):
         """
         获取最新的Order Block
 
         Args:
-            df: 包含OB信息的数据框
-            prd: 回溯周期，-1表示全部
+            df: 数据框
+            trend: 趋势，"Bullish" 或 "Bearish"
 
         Returns:
             最新的Order Block信息或None
         """
         # 获取prd范围内的数据
-        start_idx = max(0, len(df) - 1 - prd) if prd > 0 else 0
+        df = (
+            data.copy()
+            if start_index == -1
+            else data.copy().iloc[start_index :]
+        )
+
+        # 检查数据中是否包含必要的列
+        check_columns = [self.OB_DIRECTION_COL]
+        self.check_columns(df, check_columns)
 
         # 筛选有效OB且在prd范围内的数据
-        mask = df[self.OB_DIRECTION_COL].notna() & (df.index >= start_idx)
+        mask = df[self.OB_DIRECTION_COL] == trend
         valid_obs = df[mask]
 
         if not valid_obs.empty:
@@ -283,6 +273,8 @@ class SMCOrderBlock(SMCStruct):
                 self.OB_MID_COL: last_ob[self.OB_MID_COL],
                 self.OB_VOLUME_COL: last_ob[self.OB_VOLUME_COL],
                 self.OB_DIRECTION_COL: last_ob[self.OB_DIRECTION_COL],
+                self.OB_ATR: last_ob[self.OB_ATR],
+                self.OB_WAS_CROSSED: last_ob[self.OB_WAS_CROSSED],
             }
 
         return None

{openfund_core-1.0.1 → openfund_core-1.0.5}/src/core/smc/SMCPDArray.py

@@ -36,8 +36,6 @@ class SMCPDArray(SMCFVG,SMCOrderBlock):
             if start_index == -1
             else struct.copy().iloc[max(0, start_index - 1) :]
         )
-        # check_columns = [self.HIGH_COL, self.LOW_COL, self.CLOSE_COL]
-        # self.check_columns(df, check_columns)
 
         df_FVGs = self.find_FVGs(df, side)
         # self.logger.info(f"fvgs:\n{df_FVGs[['timestamp', self.FVG_SIDE, self.FVG_TOP, self.FVG_BOT, self.FVG_WAS_BALANCED]]}")

{openfund_core-1.0.1 → openfund_core-1.0.5}/src/core/smc/SMCStruct.py

@@ -4,9 +4,12 @@ from core.utils.OPTools import OPTools
 from core.smc.SMCBase import SMCBase
 
 class SMCStruct(SMCBase):
+    BULLISH_TREND = 'Bullish'
+    BEARISH_TREND = 'Bearish'
     STRUCT_COL = "struct"
     STRUCT_HIGH_COL = "struct_high"
     STRUCT_LOW_COL = "struct_low"
+    STRUCT_MID_COL = "struct_mid"
     STRUCT_HIGH_INDEX_COL = "struct_high_index"
     STRUCT_LOW_INDEX_COL = "struct_low_index"
     STRUCT_DIRECTION_COL = "struct_direction"
@@ -16,10 +19,9 @@ class SMCStruct(SMCBase):
     def __init__(self):  
         super().__init__()
         self.logger = logging.getLogger(__name__)
-
-        
+      
    
-    def build_struct(self, data, window=10, is_struct_body_break=True):
+    def build_struct(self, data, is_struct_body_break=True):
         """处理价格结构,识别高低点突破和结构方向
         
         Args:
@@ -30,7 +32,8 @@ class SMCStruct(SMCBase):
         Returns:
             处理后的数据框,包含结构相关列
         """
-        df = data.copy()
+        # 复制数据并去掉最后一条记录，因为最后一条记录不是完成状态的K线
+        df = data.copy().iloc[:-1]
         check_columns = [self.HIGH_COL, self.LOW_COL, self.CLOSE_COL]
         self.check_columns(df, check_columns)
         
@@ -46,7 +49,7 @@ class SMCStruct(SMCBase):
             self.STRUCT_LOW_COL: self.toDecimal('0.0'),  # 结构低点价格初始化为0
             self.STRUCT_HIGH_INDEX_COL: 0,  # 结构高点索引初始化为0 
             self.STRUCT_LOW_INDEX_COL: 0,  # 结构低点索引初始化为0
-            self.STRUCT_DIRECTION_COL: 0  # 结构方向初始化为0
+            self.STRUCT_DIRECTION_COL: None  # 结构方向初始化为0
         }
         
         # 为每个结构列赋默认值
@@ -103,7 +106,7 @@ class SMCStruct(SMCBase):
             if is_low_broken:
                 # 处理低点突破
                 structure = self._handle_structure_break(
-                    df, i, window, structure,
+                    df, i, structure,
                     break_type=self.LOW_COL,
                     struct_type='BOS' if structure['direction'] == 1 else 'CHOCH'
                 )
@@ -111,7 +114,7 @@ class SMCStruct(SMCBase):
             elif is_high_broken:
                 # 处理高点突破
                 structure = self._handle_structure_break(
-                    df, i, window, structure,
+                    df, i, structure,
                     break_type=self.HIGH_COL, 
                     struct_type='BOS' if structure['direction'] == 2 else 'CHOCH'
                 )
@@ -128,7 +131,7 @@ class SMCStruct(SMCBase):
 
         return df
 
-    def _get_structure_extreme_bar(self, df, bar_index,  struct_index, lookback=10, mode='high'):
+    def _get_structure_extreme_bar(self, df, bar_index,  struct_index, mode='high'):
         """
         获取结构最高点或最低点
         :param df: DataFrame数据
@@ -199,7 +202,7 @@ class SMCStruct(SMCBase):
         
         return basic_break or direction_break
 
-    def _handle_structure_break(self, df, i, window, structure, break_type, struct_type):
+    def _handle_structure_break(self, df, i, structure, break_type, struct_type):
         """处理结构突破"""
         is_high_break = break_type == self.HIGH_COL
         
@@ -207,7 +210,7 @@ class SMCStruct(SMCBase):
         
         # 获取新的极值点
         extreme_idx = self._get_structure_extreme_bar(
-            df, i, struct_start, window, 
+            df, i, struct_start,  
             mode=self.LOW_COL if is_high_break else self.HIGH_COL
         )
         
@@ -231,8 +234,9 @@ class SMCStruct(SMCBase):
             })
             
         # 更新DataFrame结构信息
-        df.at[i, 'struct_direction'] = new_structure['direction']
-        df.at[i, 'struct'] = f"{'Bullish' if is_high_break else 'Bearish'}_{struct_type}"
+        # df.at[i, self.STRUCT_DIRECTION_COL] = new_structure['direction'] 
+        df.at[i, self.STRUCT_DIRECTION_COL] = self.BULLISH_TREND if is_high_break else self.BEARISH_TREND
+        df.at[i, self.STRUCT_COL] = f"{self.BULLISH_TREND if is_high_break else self.BEARISH_TREND}_{struct_type}"
         
         return new_structure
 
@@ -261,18 +265,19 @@ class SMCStruct(SMCBase):
         df.at[i, self.STRUCT_HIGH_INDEX_COL] = structure[self.HIGH_START_COL]
         df.at[i, self.STRUCT_LOW_INDEX_COL] = structure[self.LOW_START_COL]
 
-    def get_last_struct(self, df, prd=-1):
+    def get_last_struct(self, df):
         """
         获取最新的结构
         """
-        data = self.build_struct(df=df, window=10)
-        # 筛选出有效的结构
+        check_columns = [self.STRUCT_COL]
+        if not self.check_columns(df, check_columns):
+            data = self.build_struct(df=df)
+        else:
+            data = df.copy()
        
-        # 获取prd范围内的数据
-        start_idx = max(0, len(data) - 1 - prd)
         # 筛选有效结构且在prd范围内的数据
         last_struct = None
-        mask = data[self.STRUCT_COL].notna() & (data.index >= start_idx) if prd > 0 else data[self.STRUCT_COL].notna()
+        mask = data[self.STRUCT_COL].notna()
         valid_structs = data[ mask ]
         if not valid_structs.empty:
             # 获取最近的结构
@@ -281,6 +286,7 @@ class SMCStruct(SMCBase):
                 self.STRUCT_COL: last_struct[self.STRUCT_COL],
                 self.STRUCT_HIGH_COL: last_struct[self.STRUCT_HIGH_COL],
                 self.STRUCT_LOW_COL: last_struct[self.STRUCT_LOW_COL], 
+                self.STRUCT_MID_COL: (last_struct[self.STRUCT_HIGH_COL] + last_struct[self.STRUCT_LOW_COL]) / 2,
                 self.STRUCT_HIGH_INDEX_COL: last_struct[self.STRUCT_HIGH_INDEX_COL],
                 self.STRUCT_LOW_INDEX_COL: last_struct[self.STRUCT_LOW_INDEX_COL],
                 self.STRUCT_DIRECTION_COL: last_struct[self.STRUCT_DIRECTION_COL]

openfund_core-1.0.1/src/core/Exchange.py

@@ -1,276 +0,0 @@
-import logging
-import time
-import ccxt
-import pandas as pd
-
-
-from decimal import Decimal
-from core.utils.OPTools import OPTools
-from ccxt.base.exchange import ConstructorArgs
-
-
-class Exchange:
-    def __init__(self, config:ConstructorArgs, exchangeKey:str = "okx",) :
-        # 配置交易所
-        self.exchange = getattr(ccxt, exchangeKey)(config)
-        self.logger = logging.getLogger(__name__)
-
-
-
-    def getMarket(self, symbol:str):
-        # 配置交易对
-        self.exchange.load_markets()
-        
-        return self.exchange.market(symbol)
-
-    def get_tick_size(self,symbol) -> Decimal:     
-        
-        market = self.getMarket(symbol)
-        if market and 'precision' in market and 'price' in market['precision']:            
-            return OPTools.toDecimal(market['precision']['price'])
-        else:
-            raise ValueError(f"{symbol}: 无法从市场数据中获取价格精度")
-
-    def amount_to_precision(self,symbol, contract_size):
-        return self.exchange.amount_to_precision(symbol, contract_size)
-    
-    def get_position_mode(self):
-    
-        try:
-            # 假设获取账户持仓模式的 API
-            response = self.exchange.private_get_account_config()
-            data = response.get('data', [])
-            if data and isinstance(data, list):
-                # 取列表的第一个元素（假设它是一个字典），然后获取 'posMode'
-                position_mode = data[0].get('posMode', 'single')  # 默认值为单向
-                
-                return position_mode
-            else:
-               
-                return 'single'  # 返回默认值
-        except Exception as e:        
-            error_message = f"Error fetching position mode: {e}"
-            self.logger.error(error_message)        
-            raise Exception(error_message)  
-    
-    def set_leverage(self,symbol, leverage, mgnMode='isolated',posSide=None):
-        try:
-            # 设置杠杆
-            params = {
-                # 'instId': instId,
-                'leverage': leverage,
-                'marginMode': mgnMode
-            }
-            if posSide:
-                params['side'] = posSide
-                
-            self.exchange.set_leverage(leverage, symbol=symbol, params=params)
-            self.logger.info(f"{symbol} Successfully set leverage to {leverage}x")
-        except Exception as e:
-            error_message = f"{symbol} Error setting leverage: {e}"
-            self.logger.error(error_message)        
-            raise Exception(error_message)  
-    # 获取价格精度
-    def get_precision_length(self,symbol) -> int:
-        tick_size = self.get_tick_size(symbol)
-        return len(f"{tick_size:.15f}".rstrip('0').split('.')[1]) if '.' in f"{tick_size:.15f}" else 0
-
-    def format_price(self, symbol, price:Decimal) -> str:
-        precision = self.get_precision_length(symbol)
-        return f"{price:.{precision}f}"
-    
-    def convert_contract(self, symbol, amount, price:Decimal, direction='cost_to_contract'):
-        """
-        进行合约与币的转换
-        :param symbol: 交易对符号，如 'BTC/USDT:USDT'
-        :param amount: 输入的数量，可以是合约数量或币的数量
-        :param direction: 转换方向，'amount_to_contract' 表示从数量转换为合约，'cost_to_contract' 表示从金额转换为合约
-        :return: 转换后的数量
-        """
-
-        # 获取合约规模
-        market_contractSize = OPTools.toDecimal(self.getMarket(symbol)['contractSize'])
-        amount = OPTools.toDecimal(amount)
-        if direction == 'amount_to_contract':
-            contract_size = amount / market_contractSize
-        elif direction == 'cost_to_contract':
-            contract_size = amount / price / market_contractSize
-        else:
-            raise Exception(f"{symbol}:{direction} 是无效的转换方向，请输入 'amount_to_contract' 或 'cost_to_contract'。")
-        
-        return self.amount_to_precision(symbol, contract_size)
-   
-     
-    def cancel_all_orders(self, symbol):
-        max_retries = 3
-        retry_count = 0
-        
-        while retry_count < max_retries:
-            try:
-                # 获取所有未完成订单
-                params = {
-                    # 'instId': instId
-                }
-                open_orders = self.exchange.fetch_open_orders(symbol=symbol, params=params)
-                
-                # 批量取消所有订单
-                if open_orders:
-                    order_ids = [order['id'] for order in open_orders]
-                    self.exchange.cancel_orders(order_ids, symbol, params=params)
-                    
-                    self.logger.debug(f"{symbol}: {order_ids} 挂单取消成功.")
-                else:
-                    self.logger.debug(f"{symbol}: 无挂单.")
-                return True
-                
-            except Exception as e:
-                retry_count += 1
-                if retry_count == max_retries:
-                    error_message = f"{symbol} 取消挂单失败(重试{retry_count}次): {str(e)}"
-                    self.logger.error(error_message)
-                    raise Exception(error_message)                
-                else:
-                    self.logger.warning(f"{symbol} 取消挂单失败，正在进行第{retry_count}次重试: {str(e)}")
-                    time.sleep(0.1)  # 重试前等待0.1秒
-
-
-    def place_order(self, symbol, price: Decimal, amount_usdt,  side, leverage=20, order_type='limit'): 
-        """
-        下单
-        Args:
-            symbol: 交易对
-            price: 下单价格
-            amount_usdt: 下单金额
-            side: 下单方向
-            order_type: 订单类型
-        """       
-        # 格式化价格
-        adjusted_price = self.format_price(symbol, price)
-
-        if amount_usdt > 0:
-            if side == 'buy':
-                pos_side = 'long' 
-            else:
-                pos_side = 'short'   
-            # 设置杠杆 
-            self.set_leverage(symbol=symbol, leverage=leverage, mgnMode='isolated',posSide=pos_side)  
-            # 20250220 SWAP类型计算合约数量 
-            contract_size = self.convert_contract(symbol=symbol, price = OPTools.toDecimal(adjusted_price) ,amount=amount_usdt)
-    
-            params = {
-                
-                "tdMode": 'isolated',
-                "side": side,
-                "ordType": order_type,
-                "sz": contract_size,
-                "px": adjusted_price
-            } 
-            
-            # # 模拟盘(demo_trading)需要 posSide
-            # if self.is_demo_trading == 1 :
-            #     params["posSide"] = pos_side
-                
-            # self.logger.debug(f"---- Order placed params: {params}")
-            try:
-                order = {
-                    'symbol': symbol,
-                    'side': side,
-                    'type': 'limit',
-                    'amount': contract_size,
-                    'price': adjusted_price,
-                    'params': params
-                }
-                # 使用ccxt创建订单
-                self.logger.debug(f"Pre Order placed:  {order} ")
-                order_result = self.exchange.create_order(
-                    **order
-                    # symbol=symbol,
-                    # type='limit',
-                    # side=side,
-                    # amount=amount_usdt,
-                    # price=float(adjusted_price),
-                    # params=params
-                )
-                # self.logger.debug(f"{symbol} ++ Order placed rs :  {order_result}")
-            except Exception as e:
-                error_message = f"{symbol} Failed to place order: {e}"
-                self.logger.error(error_message)
-                raise Exception(error_message)
-                
-        self.logger.debug(f"--------- ++ {symbol} Order placed done! --------")  
-      
-    def fetch_position(self, symbol):
-        """_summary_
-
-        Args:
-            symbol (_type_): _description_
-
-        Returns:
-            _type_: _description_
-        """
-        
-        max_retries = 3
-        retry_count = 0
-        
-        while retry_count < max_retries:
-            try:
-                position = self.exchange.fetch_position(symbol=symbol)
-                if position and position['contracts'] > 0:
-                    self.logger.debug(f"{symbol} 有持仓合约数: {position['contracts']}")
-                    return position
-                return None
-            except Exception as e:
-                retry_count += 1
-                if retry_count == max_retries:
-                    error_message = f"!!{symbol} 获取持仓失败(重试{retry_count}次): {str(e)}"
-                    self.logger.error(error_message)
-                    raise Exception(error_message)
-                   
-                self.logger.warning(f"{symbol} 检查持仓失败，正在进行第{retry_count}次重试: {str(e)}")
-                time.sleep(0.1)  # 重试前等待0.1秒
-      
-            
-    def get_historical_klines(self, symbol, bar='15m', limit=300, after:str=None, params={}):
-        """
-        获取历史K线数据
-        Args:
-            symbol: 交易对
-            bar: K线周期
-            limit: 数据条数
-            after: 之后时间，格式为 "2025-05-21 23:00:00+08:00"
-        """
-           
-        params = {
-            **params,
-            # 'instId': instId,
-        }
-        since = None
-        if after:
-            since = self.exchange.parse8601(after)
-            limit = None
-            if since:
-                params['paginate'] = True
-            
-        klines = self.exchange.fetch_ohlcv(symbol, timeframe=bar,since=since, limit=limit, params=params)
-        # if 'data' in response and len(response['data']) > 0:
-        if klines :
-            # return response['data']
-            return klines
-        else:
-            raise Exception(f"{symbol} : Unexpected response structure or missing candlestick data")
-        
-    def get_historical_klines_df(self, symbol, bar='15m', limit=300, after:str=None, params={}) -> pd.DataFrame:
-        klines = self.get_historical_klines(symbol, bar=bar, limit=limit, after=after, params=params)
-        return self.format_klines(klines)
-
-    def format_klines(self, klines) -> pd.DataFrame:       
-        """_summary_
-            格式化K线数据
-        Args:
-            klines (_type_): _description_
-        """
-        klines_df = pd.DataFrame(klines, columns=['timestamp', 'open', 'high', 'low', 'close', 'volume']) 
-        # 转换时间戳为日期时间
-        klines_df['timestamp'] = pd.to_datetime(klines_df['timestamp'], unit='ms').dt.tz_localize('UTC').dt.tz_convert('Asia/Shanghai')
-  
-        return klines_df