import asyncio import pandas as pd from loguru import logger from src.config import Config from src.exchange import BinanceFuturesClient from src.indicators import Indicators from src.data_stream import MultiSymbolStream from src.notifier import DiscordNotifier from src.risk_manager import RiskManager from src.ml_filter import MLFilter from src.ml_features import build_features class TradingBot: def __init__(self, config: Config): self.config = config self.exchange = BinanceFuturesClient(config) self.notifier = DiscordNotifier(config.discord_webhook_url) self.risk = RiskManager(config) self.ml_filter = MLFilter() self.current_trade_side: str | None = None # "LONG" | "SHORT" self._prev_oi: float | None = None # OI 변화율 계산용 이전 값 self.stream = MultiSymbolStream( symbols=[config.symbol, "BTCUSDT", "ETHUSDT"], interval="15m", on_candle=self._on_candle_closed, ) async def _on_candle_closed(self, candle: dict): xrp_df = self.stream.get_dataframe(self.config.symbol) btc_df = self.stream.get_dataframe("BTCUSDT") eth_df = self.stream.get_dataframe("ETHUSDT") if xrp_df is not None: await self.process_candle(xrp_df, btc_df=btc_df, eth_df=eth_df) async def _recover_position(self) -> None: """재시작 시 바이낸스에서 현재 포지션을 조회하여 상태 복구.""" position = await self.exchange.get_position() if position is not None: amt = float(position["positionAmt"]) self.current_trade_side = "LONG" if amt > 0 else "SHORT" entry = float(position["entryPrice"]) logger.info( f"기존 포지션 복구: {self.current_trade_side} | " f"진입가={entry:.4f} | 수량={abs(amt)}" ) self.notifier.notify_info( f"봇 재시작 - 기존 포지션 감지: {self.current_trade_side} " f"진입가={entry:.4f} 수량={abs(amt)}" ) else: logger.info("기존 포지션 없음 - 신규 진입 대기") async def _fetch_market_microstructure(self) -> tuple[float, float]: """OI 변화율과 펀딩비를 실시간으로 조회한다. 실패 시 0.0으로 폴백.""" oi_val, fr_val = await asyncio.gather( self.exchange.get_open_interest(), self.exchange.get_funding_rate(), return_exceptions=True, ) # None(API 실패) 또는 Exception이면 _calc_oi_change를 호출하지 않고 0.0 반환 if isinstance(oi_val, (int, float)) and oi_val > 0: oi_change = self._calc_oi_change(float(oi_val)) else: oi_change = 0.0 fr_float = float(fr_val) if isinstance(fr_val, (int, float)) else 0.0 logger.debug(f"OI={oi_val}, OI변화율={oi_change:.6f}, 펀딩비={fr_float:.6f}") return oi_change, fr_float def _calc_oi_change(self, current_oi: float) -> float: """이전 OI 대비 변화율을 계산한다. 첫 캔들은 0.0 반환.""" if self._prev_oi is None or self._prev_oi == 0.0: self._prev_oi = current_oi return 0.0 change = (current_oi - self._prev_oi) / self._prev_oi self._prev_oi = current_oi return change async def process_candle(self, df, btc_df=None, eth_df=None): self.ml_filter.check_and_reload() # 캔들 마감 시 OI/펀딩비 실시간 조회 (실패해도 0으로 폴백) oi_change, funding_rate = await self._fetch_market_microstructure() if not self.risk.is_trading_allowed(): logger.warning("리스크 한도 초과 - 거래 중단") return ind = Indicators(df) df_with_indicators = ind.calculate_all() raw_signal = ind.get_signal(df_with_indicators) current_price = df_with_indicators["close"].iloc[-1] logger.info(f"신호: {raw_signal} | 현재가: {current_price:.4f} USDT") position = await self.exchange.get_position() if position is None and raw_signal != "HOLD": self.current_trade_side = None if not self.risk.can_open_new_position(): logger.info("최대 포지션 수 도달") return signal = raw_signal features = build_features( df_with_indicators, signal, btc_df=btc_df, eth_df=eth_df, oi_change=oi_change, funding_rate=funding_rate, ) if self.ml_filter.is_model_loaded(): if not self.ml_filter.should_enter(features): logger.info(f"ML 필터 차단: {signal} 신호 무시") return await self._open_position(signal, df_with_indicators) elif position is not None: pos_side = "LONG" if float(position["positionAmt"]) > 0 else "SHORT" if (pos_side == "LONG" and raw_signal == "SHORT") or \ (pos_side == "SHORT" and raw_signal == "LONG"): await self._close_and_reenter( position, raw_signal, df_with_indicators, btc_df=btc_df, eth_df=eth_df, oi_change=oi_change, funding_rate=funding_rate, ) async def _open_position(self, signal: str, df): balance = await self.exchange.get_balance() price = df["close"].iloc[-1] margin_ratio = self.risk.get_dynamic_margin_ratio(balance) quantity = self.exchange.calculate_quantity( balance=balance, price=price, leverage=self.config.leverage, margin_ratio=margin_ratio ) logger.info(f"포지션 크기: 잔고={balance:.2f} USDT, 증거금비율={margin_ratio:.1%}, 수량={quantity}") stop_loss, take_profit = Indicators(df).get_atr_stop(df, signal, price) notional = quantity * price if quantity <= 0 or notional < self.exchange.MIN_NOTIONAL: logger.warning( f"주문 건너뜀: 명목금액 {notional:.2f} USDT < 최소 {self.exchange.MIN_NOTIONAL} USDT " f"(잔고={balance:.2f}, 수량={quantity})" ) return side = "BUY" if signal == "LONG" else "SELL" await self.exchange.set_leverage(self.config.leverage) await self.exchange.place_order(side=side, quantity=quantity) last_row = df.iloc[-1] signal_snapshot = { "rsi": float(last_row["rsi"]) if "rsi" in last_row.index and pd.notna(last_row["rsi"]) else 0.0, "macd_hist": float(last_row["macd_hist"]) if "macd_hist" in last_row.index and pd.notna(last_row["macd_hist"]) else 0.0, "atr": float(last_row["atr"]) if "atr" in last_row.index and pd.notna(last_row["atr"]) else 0.0, } self.current_trade_side = signal self.notifier.notify_open( symbol=self.config.symbol, side=signal, entry_price=price, quantity=quantity, leverage=self.config.leverage, stop_loss=stop_loss, take_profit=take_profit, signal_data=signal_snapshot, ) logger.success( f"{signal} 진입: 가격={price}, 수량={quantity}, " f"SL={stop_loss:.4f}, TP={take_profit:.4f}" ) sl_side = "SELL" if signal == "LONG" else "BUY" await self.exchange.place_order( side=sl_side, quantity=quantity, order_type="STOP_MARKET", stop_price=round(stop_loss, 4), reduce_only=True, ) await self.exchange.place_order( side=sl_side, quantity=quantity, order_type="TAKE_PROFIT_MARKET", stop_price=round(take_profit, 4), reduce_only=True, ) async def _close_position(self, position: dict): amt = abs(float(position["positionAmt"])) side = "SELL" if float(position["positionAmt"]) > 0 else "BUY" pos_side = "LONG" if side == "SELL" else "SHORT" await self.exchange.cancel_all_orders() await self.exchange.place_order(side=side, quantity=amt, reduce_only=True) entry = float(position["entryPrice"]) mark = float(position["markPrice"]) pnl = (mark - entry) * amt if side == "SELL" else (entry - mark) * amt self.notifier.notify_close( symbol=self.config.symbol, side=pos_side, exit_price=mark, pnl=pnl, ) self.risk.record_pnl(pnl) self.current_trade_side = None logger.success(f"포지션 청산: PnL={pnl:.4f} USDT") async def _close_and_reenter( self, position: dict, signal: str, df, btc_df=None, eth_df=None, oi_change: float = 0.0, funding_rate: float = 0.0, ) -> None: """기존 포지션을 청산하고, ML 필터 통과 시 반대 방향으로 즉시 재진입한다.""" await self._close_position(position) if not self.risk.can_open_new_position(): logger.info("최대 포지션 수 도달 — 재진입 건너뜀") return if self.ml_filter.is_model_loaded(): features = build_features( df, signal, btc_df=btc_df, eth_df=eth_df, oi_change=oi_change, funding_rate=funding_rate, ) if not self.ml_filter.should_enter(features): logger.info(f"ML 필터 차단: {signal} 재진입 무시") return await self._open_position(signal, df) async def run(self): logger.info(f"봇 시작: {self.config.symbol}, 레버리지 {self.config.leverage}x") await self._recover_position() balance = await self.exchange.get_balance() self.risk.set_base_balance(balance) logger.info(f"기준 잔고 설정: {balance:.2f} USDT (동적 증거금 비율 기준점)") await self.stream.start( api_key=self.config.api_key, api_secret=self.config.api_secret, )