openfund-maker 1.3.17__tar.gz → 2.0.1__tar.gz

{openfund_maker-1.3.17 → openfund_maker-2.0.1}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: openfund-maker
-Version: 1.3.17
+Version: 2.0.1
 Summary: Openfund-maker.
 Requires-Python: >=3.9,<4.0
 Classifier: Programming Language :: Python :: 3

{openfund_maker-1.3.17 → openfund_maker-2.0.1}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "openfund-maker"
-version = "1.3.17"
+version = "2.0.1"
 description = "Openfund-maker."
 authors = []
 readme = "README.md"

openfund_maker-2.0.1/src/maker/SMCStrategyMaker.py

@@ -0,0 +1,555 @@
+# -*- coding: utf-8 -*-
+import traceback
+import pandas as pd
+import talib as ta
+
+from maker.ThreeLineStrategyMaker import ThreeLineStrategyMaker
+
+
+class SMCStrategyMaker(ThreeLineStrategyMaker):
+    def __init__(self, config, platform_config, feishu_webhook=None,logger=None):
+        super().__init__(config, platform_config, feishu_webhook, logger)
+        self.place_order_prices = {} # 记录每个symbol的挂单价格
+        
+    def place_order(self,symbol, price, side,pair_config):
+        """_summary_
+            下单
+        Args:
+            symbol (_type_): _description_
+            price (_type_): _description_
+            amount_usdt (_type_): _description_
+            side (_type_): _description_
+            order_type (_type_): _description_
+        """
+        long_amount_usdt = pair_config.get('long_amount_usdt', 5)
+        short_amount_usdt = pair_config.get('short_amount_usdt', 5) 
+        order_amount_usdt = 5
+        # order_type='optimal_limit_ioc'
+
+        if side == 'sell' :
+            self.logger.debug(f"{symbol} : 触发做空下单条件。")
+            order_amount_usdt = short_amount_usdt
+        elif side == 'buy' :
+            self.logger.debug(f"{symbol} : 触发做多下单条件。")
+            order_amount_usdt = long_amount_usdt
+        super().place_order(symbol=symbol, price=price, amount_usdt=order_amount_usdt, side=side)
+        
+    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')
+        klines_df['timestamp'] = klines_df['timestamp'].dt.tz_localize('UTC').dt.tz_convert('Asia/Shanghai')
+        
+        return klines_df
+    
+    def find_OB_boxes(self, data, side, threshold, pivot_index, symbol=None, pair_config=None) -> list:
+        """_summary_
+            识别OB
+        Args:
+            data (_type_): _description_
+            symbol (_type_): _description_
+      
+        """
+        df = data.copy().iloc[pivot_index:]
+        # 首先计算实体的高点和低点，即开盘价和收盘价中的较大值和较小值
+        df['body_high'] = df[['open', 'close']].max(axis=1)
+        df['body_low'] = df[['open', 'close']].min(axis=1)
+        
+        # 初始化OB的高点和低点列为空
+        df['OB_high'] = None
+        df['OB_low'] = None
+        
+        # 使用布尔索引一次性更新OB_high
+        # df.loc[df['iUp'] == df.index, 'OB_high'] = df.loc[df['iUp'] == df.index, 'high']
+        # df.loc[df['iUp'] == df.index, 'OB_low'] = df['body_low'].shift(1).fillna(df['body_low'])              
+        
+        # df.loc[df['iDn'] == df.index, 'OB_low'] = df.loc[df['iDn'] == df.index, 'low']
+        # df.loc[df['iDn'] == df.index, 'OB_high'] = df['body_high'].shift(1).fillna(df['body_high'])
+        
+        # print(df[['timestamp', 'pattern','high','low','Dn','iDn','Up','iUp','body_high','body_low']])
+        
+        OB_boxes = []
+        # 根据交易方向构建OB盒子，OB区规则孤立高点+实体低点 孤立低点+实体高点
+        if side == 'buy':
+            # 买入方向的OB盒子构建
+            OB_boxes = [
+                {
+                    'index': idx,
+                    'top': float(df.loc[idx, 'low']),  # OB低点为当前K线的最低点
+                    'bot': float(df.loc[idx - 1 if idx > df.index[0] else idx, 'body_high']) # OB高点为前一根K线的实体高点
+                }
+                for idx in df.index 
+                # 判断条件：是第一根K线（极值点）或当前下降趋势大于前一个，且前一根K线实体高点小于阈值
+                if (idx == df.index[0] or (df.loc[idx, 'Dn'] > df.loc[idx - 1, 'Dn'])) 
+                and df.loc[idx - 1 if idx > df.index[0] else idx, 'body_high'] <= threshold
+            ]
+        else:
+            # 卖出方向的OB盒子构建
+            OB_boxes = [
+                {
+                    'index': idx,
+                    'top': float(df.loc[idx, 'high']),  # OB高点为当前K线的最高点
+                    'bot': float(df.loc[idx - 1 if idx > df.index[0] else idx, 'body_low'])  # OB低点为前一根K线的实体低点
+                }
+                for idx in df.index
+                # 判断条件：是第一根K线（极值点）或当前上升趋势小于前一个，且前一根K线实体低点大于阈值
+                if (idx == df.index[0] or (df.loc[idx, 'Up'] < df.loc[idx - 1, 'Up']))
+                and df.loc[idx - 1 if idx > df.index[0] else idx, 'body_low'] >= threshold
+            ]
+
+        return OB_boxes
+        
+        
+    def find_fvg_boxes(self, data, side, threshold, pivot_index=0, symbol=None, pair_config=None) -> list:
+        """_summary_
+            寻找公允价值缺口
+        Args:
+            df (_type_): _description_
+            side (_type_): _description_
+            threshold (_type_): _description_
+        """
+
+        df = data.copy().iloc[pivot_index:]
+   
+        fvg_boxes = []
+        if side == 'buy' :
+            
+            # 处理看涨公允价值缺口
+            df.loc[:, 'is_bullish_fvg'] = df['high'].shift(3) < df['low'].shift(1)
+            bullish_df = df[df['is_bullish_fvg']].copy()
+            valid_indices = bullish_df.index[
+                (bullish_df.index - 1).isin(df.index) & 
+                (bullish_df.index - 2).isin(df.index) & 
+                (bullish_df.index - 3).isin(df.index)
+            ]                  
+  
+            fvg_boxes = [
+                {
+                    'index': idx - 2, # FVG的索引
+                    'top': float(df.loc[idx - 1, 'low']),  # FVG高点为右1K线的最低点
+                    'bot': float(df.loc[idx - 3, 'high'])  # FVG低点为左1K线的最高点
+                }
+                # [df.loc[idx - 1, 'low'], df.loc[idx - 3, 'high'], idx - 2]
+                for idx in valid_indices 
+                if df.loc[idx - 3, 'high'] <= threshold and
+                all((df.loc[idx:, 'low'] >= df.loc[idx - 3, 'high']))   # 检查FVG是否被平衡过
+            ]
+
+
+        else :
+            # 处理看跌公允价值缺口
+            df.loc[:, 'is_bearish_fvg'] = df['low'].shift(3) > df['high'].shift(1)
+            
+            bearish_df = df[df['is_bearish_fvg']].copy()
+            valid_indices = bearish_df.index[
+                (bearish_df.index - 1).isin(df.index) & 
+                (bearish_df.index - 2).isin(df.index) & 
+                (bearish_df.index - 3).isin(df.index)
+            ]
+            
+ 
+            fvg_boxes = [
+                {
+                    'index': idx - 2, # FVG的索引
+                    'top': float(df.loc[idx - 1, 'high']),  # FVG高点为右1K线的最高点
+                    'bot': float(df.loc[idx - 3, 'low'])  # FVG低点为左1K线的最低点
+                }
+                
+                for idx in valid_indices 
+                if df.loc[idx - 3, 'low'] >= threshold and
+                all((df.loc[idx:, 'high'] >= df.loc[idx - 3, 'low']))   # 检查FVG是否被平衡过
+            ]
+      
+
+        return fvg_boxes
+
+        
+    def detect_struct(self, data, prd=10, s1=True, resp=7) -> dict:
+        """_summary_    
+            识别智能资金结构
+        
+        :param data: 包含 'high' 和 'low' 列的 DataFrame
+        :param prd: 结构周期
+        :param s1: 结构响应布尔值
+        :param resp: 响应周期
+        :return: 包含结构识别结果的 DataFrame
+        """
+        
+        
+        # data = data.copy()
+        data['Up'] = None
+        data['Dn'] = None
+        data['iUp'] = None
+        data['iDn'] = None
+        data['pos'] = 0
+        data['pattern'] = None
+
+        # 初始化 Up 和 Dn 的第一个值
+        data.at[0, 'Up'] = data.at[0, 'high']
+        data.at[0, 'Dn'] = data.at[0, 'low']
+        
+
+        for index in range(1, len(data)):
+      
+            data.at[index, 'Up'] = max(data.at[index - 1, 'Up'], data.at[index, 'high'])
+            data.at[index, 'Dn'] = min(data.at[index - 1, 'Dn'], data.at[index, 'low'])
+            data.at[index, 'pos'] = data.at[index - 1, 'pos']
+            data.at[index, 'iUp'] = data.at[max(0,index - 1), 'iUp'] if data.at[max(0,index - 1), 'iUp'] is not None else index
+            data.at[index, 'iDn'] = data.at[max(0,index - 1), 'iDn'] if data.at[max(0,index - 1), 'iDn'] is not None else index
+
+            # 寻找枢轴高点和低点
+            pvtHi = self.is_pivot_high(data, index, prd)
+            pvtLo = self.is_pivot_low(data, index, prd)
+
+            if pvtHi:
+                data.at[index, 'Up'] = data.at[index, 'high']
+                data.at[index, 'iUp'] = index
+            if pvtLo:
+                data.at[index, 'Dn'] = data.at[index, 'low']
+                data.at[index, 'iDn'] = index
+            # 寻找Bullish结构
+            if data.at[index, 'Up'] > data.at[index - 1, 'Up']:
+    
+                if data.at[index - 1, 'pos'] <= 0:
+                    # data.at[index, 'pattern'] = 'CHoCH (Bullish)'
+                    data.at[index, 'pattern'] = 'Bullish_CHoCH'
+                    data.at[index, 'pos'] = 1
+                elif data.at[index - 1, 'pos'] == 1 \
+                        and data.at[index - 1, 'Up'] == data.at[max(0,index - (resp if s1 else prd)), 'Up']:               
+                    data.at[index, 'pattern'] = 'Bullish_SMS'
+                    data.at[index, 'pos'] = 2
+                    
+                elif data.at[index - 1, 'pos'] > 1 \
+                        and data.at[index - 1, 'Up'] == data.at[max(0,index - (resp if s1 else prd)), 'Up']:                
+                    data.at[index, 'pattern'] = 'Bullish_BMS'
+                    data.at[index, 'pos'] = data.at[index - 1, 'pos'] + 1
+                    
+            elif data.at[index, 'Up'] < data.at[index - 1, 'Up']:
+                data.at[index, 'iUp'] = data.at[index - 1, 'iUp']
+        
+            # # 寻找Bearish结构
+            if data.at[index, 'Dn'] < data.at[index - 1, 'Dn']:
+            
+                if data.at[index - 1, 'pos'] >= 0:
+                
+                    data.at[index, 'pattern'] = 'Bearish_CHoCH'
+                    data.at[index, 'pos'] = -1
+                elif data.at[index - 1, 'pos'] == -1  \
+                        and data.at[index - 1, 'Dn'] == data.at[max(0,index - (resp if s1 else prd)), 'Dn']:
+                    data.at[index, 'pattern'] = 'Bearish_SMS'
+                    data.at[index, 'pos'] = -2
+                elif data.at[index - 1, 'pos'] < -1  \
+                        and data.at[index - 1, 'Dn'] == data.at[max(0,index - (resp if s1 else prd)), 'Dn']:
+                    data.at[index, 'pattern'] = 'Bearish_BMS'
+                    data.at[index, 'pos'] = data.at[index - 1, 'pos'] - 1
+                    
+            elif data.at[index, 'Dn'] > data.at[index - 1, 'Dn']:
+                data.at[index, 'iDn'] = data.at[index - 1, 'iDn']
+                
+        # 获取最后一个结构和位置
+        last_struct = {
+            "struct": None,
+            "index": -1,
+            "pivot_high": None,
+            "pivot_high_index": -1,
+            "pivot_low": None,
+            "pivot_low_index": -1,
+            "side": None
+            
+        }
+        
+        
+        for i in range(len(data)-1, -1, -1):
+            if data.at[i, 'pattern'] is not None:
+                last_struct["struct"] = data.at[i, 'pattern']
+                last_struct["index"] = i
+               
+                break
+        
+        if last_struct['struct'] is not None :
+            # 找到最后一个结构的枢轴高点和低点，如果当前是孤立点，则取前一个孤立点
+            # 判断交易方向
+            if 'Bearish' in last_struct["struct"]:
+                last_struct["side"] = 'sell'
+            else :
+                last_struct["side"] = 'buy'
+            
+            last_struct["pivot_high_index"] = int(data["iUp"].iloc[-1])
+            last_struct["pivot_low_index"] = int(data["iDn"].iloc[-1])
+            
+            last_struct["pivot_high"] = float(data.loc[last_struct["pivot_high_index"], 'high'])
+            last_struct["pivot_low"] = float(data.loc[last_struct["pivot_low_index"], 'low'])
+            
+            
+            
+            # last_struct["pivot_high_index"] = int(data.loc[data.index > last_struct["index"], 'high'].idxmax())
+            # last_struct["pivot_high"] = float(data.loc[data.index > last_struct["index"], 'high'].max())
+            # last_struct["pivot_low_index"] = int(data.loc[data.index > last_struct["index"], 'low'].idxmin())
+            # last_struct["pivot_low"] = float(data.loc[data.index > last_struct["index"], 'low'].min())
+            
+        return last_struct
+
+
+
+
+    def is_pivot_high(self,data, index, period, check_bounds=False):
+        """
+        判断当前索引处是否为枢轴高点
+        :param data: 包含 'high' 列的 DataFrame
+        :param index: 当前索引
+        :param period: 前后比较的周期数
+        :return: 是否为枢轴高点
+        """
+        if check_bounds and (index < period or index >= len(data) - period):
+            return False
+        current_high = data.at[index, 'high']
+        prev_highs = data['high'].iloc[max(0,index - period):index]
+        next_highs = data['high'].iloc[index :min(len(data),index + period + 1)]
+        return all(current_high >= prev_highs) and all(current_high >= next_highs)
+
+
+    def is_pivot_low(self,data, index, period, check_bounds=False):
+        """
+        判断当前索引处是否为枢轴低点
+        :param data: 包含 'low' 列的 DataFrame
+        :param index: 当前索引
+        :param period: 前后比较的周期数
+        :return: 是否为枢轴低点
+        """
+        if check_bounds and (index < period or index >= len(data) - period):
+            return False
+        current_low = data.at[index, 'low']
+        prev_lows = data['low'].iloc[max(0,index - period):index]
+        next_lows = data['low'].iloc[index :min(len(data),index + period + 1)]
+        return all(current_low <= prev_lows) and all(current_low <= next_lows)
+    
+    def round_price(self,symbol, price):
+        tick_size = self.get_tick_size(symbol)
+        return super().round_price_to_tick(price, tick_size)
+    
+    def calculate_ce(self,symbol,pivot_high , pivot_low) -> float:
+        ce = (pivot_high + pivot_low) / 2
+        return float(self.round_price(symbol, ce))
+ 
+    
+    def process_pair(self,symbol,pair_config):
+        self.logger.info("=" * 60)
+        """_summary_
+            1. HTF 判断struct趋势（SMS和BMS）
+            2. HTF 获取最新的两个极值点，设置折价区和溢价区
+            3. CTF 在折价区获取FVG和OB的位置
+            4. CTF 下单
+            5. 
+        """
+        try:
+            # 检查是否有持仓，有持仓不进行下单
+            if self.check_position(symbol=symbol) :
+                self.logger.info(f"{symbol} : 有持仓合约，不进行下单。")  
+                if symbol in self.place_order_prices:  
+                    self.place_order_prices[symbol] = {}
+                return           
+           
+            
+            smc_strategy = pair_config.get('smc_strategy',{})
+
+            # 获取历史K线，HTF和CTF
+            htf = str(smc_strategy.get('HTF','15m'))            
+            htf_Klines = self.get_historical_klines(symbol=symbol, bar=htf)
+            htf_df = self.format_klines(htf_Klines)
+                       
+            ctf = str(pair_config.get('CHF', '5m')) 
+            ctf_kLines = self.get_historical_klines(symbol=symbol, bar=ctf)
+            ctf_df = self.format_klines(ctf_kLines)
+            
+            enable_FVG = smc_strategy.get('enable_FVG',True) # 是否启用FVG
+            enable_OB = smc_strategy.get('enable_OB',True) # 是否启用OB
+            self.logger.debug(f"{symbol} : SMC策略 {ctf}\{htf} enable_FVG={enable_FVG} enable_OB={enable_OB} ...")
+   
+            side = 'none'
+            # 1. HTF 判断struct趋势（CHoCH\SMS\BMS） ,HTF struct 看趋势，CTF 看FVG和OB的位置    
+            swing_points_length = smc_strategy.get('swing_points_length',10)    
+            htf_last_struct = self.detect_struct(htf_df,prd=swing_points_length)
+            htf_last_struct_label = htf_last_struct["struct"]
+            
+         
+            if htf_last_struct_label is None:
+                self.logger.debug(f"{symbol} : {htf} 未形成 struct,不下单。{htf_last_struct}。")
+                return
+            
+            # ctf_last_struct = self.detect_struct(ctf_df)
+            # ctf_last_struct_label = ctf_last_struct["struct"]
+            
+            # if ctf_last_struct_label is None:
+            #     self.logger.debug(f"{symbol} :{ctf} 未形成 struct,不下单。{ctf_last_struct}。")
+            #     return
+
+            side = htf_last_struct["side"]
+            # self.logger.debug(f"{symbol} : {htf} 趋势={htf_last_struct_label}-{side}: \n{htf_last_struct}")
+
+            
+            # 2. HTF 获取最新的两个极值点，设置折价(discount)区和溢价(premium)区
+            pivot_high = htf_last_struct["pivot_high"]
+            pivot_low = htf_last_struct["pivot_low"]            
+            mid_line = self.calculate_ce(symbol,pivot_high,pivot_low)
+       
+            # 计算溢价和折价区
+            premium_box = {
+                'top': pivot_high,
+                'bot': mid_line,
+                'ce': self.calculate_ce(symbol,pivot_high,mid_line)
+            }
+            discount_box = {
+                'top': mid_line,
+                'bot': pivot_low,
+                'ce': self.calculate_ce(symbol,mid_line,pivot_low)
+            }
+            
+            self.logger.debug(f"{symbol} : {htf} 趋势={htf_last_struct_label}: \npivot_high={pivot_high} pivot_low={pivot_low} mid_line={mid_line}\n溢价区={premium_box}\n折价区={discount_box}")
+                
+            # 3. 根据HTF结构来分析下单位置和止盈位置 
+            threshold = 0.0    
+            order_side = side
+            # 获取当前市场价格
+            market_price = ctf_df['close'].iloc[-1]
+
+            if 'CHoCH' in htf_last_struct_label:
+                """
+                ChoCh 结构。
+                Bearish趋势 如果价格，
+                1.在溢价区上半区，可以考虑顺当前趋势，做空。
+                2.在折价区下半区，则考虑回收流动性，做多。
+                3.溢价区下半区和折价区上半区，不做单。
+                
+                Bullish趋势 如果价格，
+                1.在折价区下半区，可以考虑顺当前趋势，做多。
+                2.在溢价区上半区，则考虑回收流动性的，做空。
+                3.溢价区下半区和折价区上半区，不做单。
+                
+                """
+                # 溢价区上半区做空
+                if market_price >= premium_box['ce'] and side == 'sell':
+                    threshold = premium_box['ce']
+                # 折价区下半区做多    
+                elif market_price <= discount_box['ce'] and side == 'buy':
+                    threshold = discount_box['ce']
+                # 折价区下半区回收流动性做空  # TODO 要考虑是否有孤立点
+                # elif market_price <= discount_box['ce'] and side == 'sell':
+                #     threshold = discount_box['ce'] 
+                #     order_side = 'buy'
+                # # 溢价区上半区回收流动性做多
+                # elif market_price >= premium_box['ce'] and side == 'buy':
+                #     threshold = premium_box['ce']
+                #     order_side = 'sell'
+   
+            
+            elif 'SMS' in htf_last_struct_label or 'BMS' in htf_last_struct_label:
+                """
+                SMS/BMS 结构。
+                Bullish趋势 如果价格，
+                1.在折价区可以下单，不区分上下半区
+                
+                Bearish趋势 如果价格，
+                1.在溢价区可以下单，不区分上下半区
+                
+                """
+                # Bearish趋势 如果价格在溢价区可以下单
+                # if market_price >= mid_line and side == 'sell':
+                #     threshold = mid_line
+                # # Bullish趋势 如果价格在折价区可以下单    
+                # elif market_price <= mid_line and side == 'buy':
+                #     threshold = mid_line
+                threshold = mid_line
+   
+    
+    
+            if threshold == 0.0:
+                self.logger.debug(f"{symbol} : 价格{market_price}不在目标区域，不下单。")
+                # 取消所有未成交订单
+                self.cancel_all_orders(symbol=symbol) 
+                return
+        
+                
+            # 4. 在CTF折价区获取FVG的位置       
+            order_price = 0.0                
+           
+            if enable_FVG and order_price == 0.0:               
+                
+                all_tf = ['1m', '3m', '5m', '15m', '30m', '1H', '2H', '4H']
+                # 获取当前时间周期之前的所有时间周期
+                ctf_index = all_tf.index(ctf)
+                ltf_tfs = all_tf[:ctf_index + 1]
+                
+                # 遍历所有LTF时间周期，获取FVG 
+                for tf in ltf_tfs[::-1]:
+                    tf_Klines = self.get_historical_klines(symbol=symbol, bar=tf)
+                    tf_df = self.format_klines(tf_Klines)
+                          
+                    fvg_boxes = self.find_fvg_boxes(tf_df,side=order_side,threshold=threshold)
+                    if len(fvg_boxes) > 0:
+                        self.logger.debug(f"{symbol} : 方向={order_side}, {tf} FVG={fvg_boxes}")
+                        break
+                    else:
+                        self.logger.debug(f"{symbol} : 方向={order_side}, {tf} 未找到 FVG")
+                
+                
+              
+                if len(fvg_boxes) != 0 and order_price == 0.0:
+                    last_fvg_box = fvg_boxes[-1]
+                    ce_price = self.calculate_ce(symbol,last_fvg_box['top'],last_fvg_box['bot'])
+                    self.logger.info(f"{symbol} : 方向={order_side}, FVG_ce={ce_price} FVG={last_fvg_box} ")
+                    order_price = ce_price 
+            
+            # 4. 找OB位置，OB规则孤立高点+实体低点 孤立低点+实体高点
+    
+            if enable_OB and order_price == 0.0: # OB 优先级低于 FVG, order_price有价格时，不再计算OB
+                
+                ctf_last_struct = self.detect_struct(ctf_df,prd=swing_points_length)
+                # 找到最近的一个极值点的位置
+                if order_side == 'buy':
+                    pivot_index = ctf_last_struct["pivot_low_index"]
+                else:
+                    pivot_index = ctf_last_struct["pivot_high_index"]
+                # TODO 不同级别的pivot_index 需要优化计算
+                OB_boxes = self.find_OB_boxes(ctf_df,side=side,threshold=threshold,pivot_index=pivot_index)
+                
+                if len(OB_boxes) != 0 :                
+                    last_OB_box = OB_boxes[-1]
+                    ce_price = self.calculate_ce(symbol,last_OB_box['top'],last_OB_box['bot'])
+                    self.logger.info(f"{symbol} : 方向={order_side}, OB_ce={ce_price} , OB={last_OB_box} ")
+                    order_price = ce_price 
+                
+            if order_price == 0.0:
+                self.logger.warning(f"！！！{symbol} : 未找到 FVG和OB")
+                self.cancel_all_orders(symbol=symbol) 
+                return  
+
+            latest_order_price = self.place_order_prices.get(symbol,0.0)
+            if order_price == latest_order_price:
+                self.logger.debug(f"{symbol} : 下单价格 {order_price} 未变化，不进行下单。")
+                return
+        
+              
+            # 下单    
+            self.cancel_all_orders(symbol=symbol) 
+            self.place_order(symbol=symbol, price=order_price, side=order_side, pair_config=pair_config)
+            self.place_order_prices[symbol] = order_price # 记录下单价格,过滤重复下单
+            self.logger.debug(f"{symbol} : {side}, 下单价格 {order_price}")
+            
+            
+        except KeyboardInterrupt:
+            self.logger.info("程序收到中断信号，开始退出...")
+        except Exception as e:
+            error_message = f"程序异常退出: {str(e)}"
+            self.logger.error(error_message,exc_info=True)
+            traceback.print_exc()
+            self.send_feishu_notification(error_message)
+        finally:
+            self.logger.info("-" * 60)
+
+        

{openfund_maker-1.3.17 → openfund_maker-2.0.1}/src/maker/ThreeLineStrategyMaker.py

@@ -42,7 +42,9 @@ class ThreeLineStrategyMaker:
         return self.exchange.market(symbol)
     
     def get_tick_size(self,symbol):
-        return float(self.getMarket(symbol)['precision']['price'])
+        market = self.getMarket(symbol)
+        marketPrecision = self.exchange.safe_dict(market, 'precision')
+        return self.exchange.safe_float(marketPrecision, 'price')
     
     def convert_contract(self, symbol, amount, price:float, direction='cost_to_contract'):
         """
@@ -123,7 +125,7 @@ class ThreeLineStrategyMaker:
         else:
             raise ValueError("Unexpected response structure or missing 'last' key")
 
-    def round_price_to_tick(self,price, tick_size):
+    def round_price_to_tick(self, price, tick_size):
         # 计算 tick_size 的小数位数
         tick_decimals = len(f"{tick_size:.10f}".rstrip('0').split('.')[1]) if '.' in f"{tick_size:.10f}" else 0
 
@@ -424,14 +426,15 @@ class ThreeLineStrategyMaker:
     def place_order(self,symbol, price, amount_usdt, side,order_type='limit'):
 
         
-        markets = self.exchange.load_markets()
-        if symbol not in markets:
-            self.logger.error(f"{symbol}: Instrument {symbol} not found in markets")
-            return
-        market = markets[symbol]
-        # 获取价格精度
-        price_precision = market['precision']['price']
-        adjusted_price = self.round_price_to_tick(price, price_precision)
+        # markets = self.exchange.load_markets()
+        # if symbol not in markets:
+        #     self.logger.error(f"{symbol}: Instrument {symbol} not found in markets")
+        #     return
+        # market = markets[symbol]
+        # # 获取价格精度
+        # price_precision = market['precision']['price']
+        tick_size = self.get_tick_size(symbol)
+        adjusted_price = self.round_price_to_tick(price, tick_size)
 
         if amount_usdt > 0:
             if side == 'buy':
@@ -501,15 +504,15 @@ class ThreeLineStrategyMaker:
                     
                     self.logger.info(f"{symbol}: {order_ids} 挂单取消成功.")
                 else:
-                    self.logger.info(f"{symbol}: 没有未完成订单.")
+                    self.logger.info(f"{symbol}: 无挂单.")
                 return True
                 
             except Exception as e:
                 retry_count += 1
                 if retry_count == max_retries:
-                    self.logger.warning(f"{symbol} 取消订单失败(重试{retry_count}次): {str(e)}")
+                    self.logger.warning(f"{symbol} 取消挂单失败(重试{retry_count}次): {str(e)}")
                     return False
-                self.logger.warning(f"{symbol} 取消订单失败，正在进行第{retry_count}次重试: {str(e)}")
+                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 process_pair(self,symbol,pair_config):
@@ -666,13 +669,13 @@ class ThreeLineStrategyMaker:
     def monitor_klines(self):
         symbols = list(self.trading_pairs_config.keys())  # 获取所有币对的ID
         batch_size = 5  # 每批处理的数量
-        while True:
-
-            for i in range(0, len(symbols), batch_size):
-                batch = symbols[i:i + batch_size]
-                with ThreadPoolExecutor(max_workers=batch_size) as executor:
-                    futures = [executor.submit(self.process_pair, symbol,self.trading_pairs_config[symbol]) for symbol in batch]
-                    for future in as_completed(futures):
-                        future.result()  # Raise any exceptions caught during execution
+        # while True:
+
+        for i in range(0, len(symbols), batch_size):
+            batch = symbols[i:i + batch_size]
+            with ThreadPoolExecutor(max_workers=batch_size) as executor:
+                futures = [executor.submit(self.process_pair, symbol,self.trading_pairs_config[symbol]) for symbol in batch]
+                for future in as_completed(futures):
+                    future.result()  # Raise any exceptions caught during execution
 
             # time.sleep(self.monitor_interval)

{openfund_maker-1.3.17 → openfund_maker-2.0.1}/src/maker/main.py

@@ -8,6 +8,7 @@ from datetime import datetime
 from maker.WickReversalStrategyMaker import WickReversalStrategyMaker
 from maker.ThreeLineStrategyMaker import ThreeLineStrategyMaker
 from maker.MACDStrategyMaker import MACDStrategyMaker
+from maker.SMCStrategyMaker import SMCStrategyMaker
 
 def build_logger(log_config) -> logging.Logger:
         # 配置日志
@@ -60,7 +61,7 @@ def main():
     package_name = __package__ or "maker"
     logger.info(f" ++ {package_name}:{version} is doing...")
     logger.info("开始执行交易任务...")
-    bot = MACDStrategyMaker(config_data, platform_config, feishu_webhook=feishu_webhook_url, logger=logger)
+    bot = SMCStrategyMaker(config_data, platform_config, feishu_webhook=feishu_webhook_url, logger=logger)
     
     # 获取计划配置
     schedule_config = config_data.get('schedule', {})