aa52047f14
- _fetch_market_microstructure: oi_val > 0 체크 후에만 _calc_oi_change 호출하여 API 실패(None/Exception) 시 0.0으로 폴백하고 _prev_oi 상태 오염 방지 - README: ML 피처 수 오기재 수정 (25개 → 23개) - tests: _calc_oi_change 첫 캔들 및 API 실패 시 상태 보존 유닛 테스트 추가 Made-with: Cursor
246 lines
10 KiB
Python
246 lines
10 KiB
Python
import asyncio
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import pandas as pd
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from loguru import logger
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from src.config import Config
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from src.exchange import BinanceFuturesClient
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from src.indicators import Indicators
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from src.data_stream import MultiSymbolStream
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from src.notifier import DiscordNotifier
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from src.risk_manager import RiskManager
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from src.ml_filter import MLFilter
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from src.ml_features import build_features
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class TradingBot:
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def __init__(self, config: Config):
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self.config = config
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self.exchange = BinanceFuturesClient(config)
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self.notifier = DiscordNotifier(config.discord_webhook_url)
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self.risk = RiskManager(config)
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self.ml_filter = MLFilter()
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self.current_trade_side: str | None = None # "LONG" | "SHORT"
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self._prev_oi: float | None = None # OI 변화율 계산용 이전 값
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self.stream = MultiSymbolStream(
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symbols=[config.symbol, "BTCUSDT", "ETHUSDT"],
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interval="15m",
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on_candle=self._on_candle_closed,
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)
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async def _on_candle_closed(self, candle: dict):
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xrp_df = self.stream.get_dataframe(self.config.symbol)
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btc_df = self.stream.get_dataframe("BTCUSDT")
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eth_df = self.stream.get_dataframe("ETHUSDT")
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if xrp_df is not None:
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await self.process_candle(xrp_df, btc_df=btc_df, eth_df=eth_df)
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async def _recover_position(self) -> None:
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"""재시작 시 바이낸스에서 현재 포지션을 조회하여 상태 복구."""
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position = await self.exchange.get_position()
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if position is not None:
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amt = float(position["positionAmt"])
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self.current_trade_side = "LONG" if amt > 0 else "SHORT"
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entry = float(position["entryPrice"])
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logger.info(
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f"기존 포지션 복구: {self.current_trade_side} | "
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f"진입가={entry:.4f} | 수량={abs(amt)}"
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)
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self.notifier.notify_info(
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f"봇 재시작 - 기존 포지션 감지: {self.current_trade_side} "
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f"진입가={entry:.4f} 수량={abs(amt)}"
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)
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else:
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logger.info("기존 포지션 없음 - 신규 진입 대기")
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async def _fetch_market_microstructure(self) -> tuple[float, float]:
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"""OI 변화율과 펀딩비를 실시간으로 조회한다. 실패 시 0.0으로 폴백."""
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oi_val, fr_val = await asyncio.gather(
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self.exchange.get_open_interest(),
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self.exchange.get_funding_rate(),
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return_exceptions=True,
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)
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# None(API 실패) 또는 Exception이면 _calc_oi_change를 호출하지 않고 0.0 반환
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if isinstance(oi_val, (int, float)) and oi_val > 0:
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oi_change = self._calc_oi_change(float(oi_val))
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else:
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oi_change = 0.0
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fr_float = float(fr_val) if isinstance(fr_val, (int, float)) else 0.0
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logger.debug(f"OI={oi_val}, OI변화율={oi_change:.6f}, 펀딩비={fr_float:.6f}")
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return oi_change, fr_float
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def _calc_oi_change(self, current_oi: float) -> float:
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"""이전 OI 대비 변화율을 계산한다. 첫 캔들은 0.0 반환."""
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if self._prev_oi is None or self._prev_oi == 0.0:
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self._prev_oi = current_oi
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return 0.0
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change = (current_oi - self._prev_oi) / self._prev_oi
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self._prev_oi = current_oi
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return change
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async def process_candle(self, df, btc_df=None, eth_df=None):
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self.ml_filter.check_and_reload()
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# 캔들 마감 시 OI/펀딩비 실시간 조회 (실패해도 0으로 폴백)
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oi_change, funding_rate = await self._fetch_market_microstructure()
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if not self.risk.is_trading_allowed():
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logger.warning("리스크 한도 초과 - 거래 중단")
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return
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ind = Indicators(df)
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df_with_indicators = ind.calculate_all()
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raw_signal = ind.get_signal(df_with_indicators)
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current_price = df_with_indicators["close"].iloc[-1]
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logger.info(f"신호: {raw_signal} | 현재가: {current_price:.4f} USDT")
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position = await self.exchange.get_position()
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if position is None and raw_signal != "HOLD":
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self.current_trade_side = None
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if not self.risk.can_open_new_position():
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logger.info("최대 포지션 수 도달")
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return
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signal = raw_signal
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features = build_features(
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df_with_indicators, signal,
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btc_df=btc_df, eth_df=eth_df,
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oi_change=oi_change, funding_rate=funding_rate,
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)
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if self.ml_filter.is_model_loaded():
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if not self.ml_filter.should_enter(features):
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logger.info(f"ML 필터 차단: {signal} 신호 무시")
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return
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await self._open_position(signal, df_with_indicators)
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elif position is not None:
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pos_side = "LONG" if float(position["positionAmt"]) > 0 else "SHORT"
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if (pos_side == "LONG" and raw_signal == "SHORT") or \
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(pos_side == "SHORT" and raw_signal == "LONG"):
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await self._close_and_reenter(
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position, raw_signal, df_with_indicators,
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btc_df=btc_df, eth_df=eth_df,
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oi_change=oi_change, funding_rate=funding_rate,
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)
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async def _open_position(self, signal: str, df):
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balance = await self.exchange.get_balance()
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price = df["close"].iloc[-1]
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margin_ratio = self.risk.get_dynamic_margin_ratio(balance)
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quantity = self.exchange.calculate_quantity(
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balance=balance, price=price, leverage=self.config.leverage, margin_ratio=margin_ratio
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)
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logger.info(f"포지션 크기: 잔고={balance:.2f} USDT, 증거금비율={margin_ratio:.1%}, 수량={quantity}")
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stop_loss, take_profit = Indicators(df).get_atr_stop(df, signal, price)
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notional = quantity * price
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if quantity <= 0 or notional < self.exchange.MIN_NOTIONAL:
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logger.warning(
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f"주문 건너뜀: 명목금액 {notional:.2f} USDT < 최소 {self.exchange.MIN_NOTIONAL} USDT "
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f"(잔고={balance:.2f}, 수량={quantity})"
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)
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return
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side = "BUY" if signal == "LONG" else "SELL"
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await self.exchange.set_leverage(self.config.leverage)
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await self.exchange.place_order(side=side, quantity=quantity)
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last_row = df.iloc[-1]
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signal_snapshot = {
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"rsi": float(last_row["rsi"]) if "rsi" in last_row.index and pd.notna(last_row["rsi"]) else 0.0,
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"macd_hist": float(last_row["macd_hist"]) if "macd_hist" in last_row.index and pd.notna(last_row["macd_hist"]) else 0.0,
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"atr": float(last_row["atr"]) if "atr" in last_row.index and pd.notna(last_row["atr"]) else 0.0,
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}
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self.current_trade_side = signal
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self.notifier.notify_open(
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symbol=self.config.symbol,
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side=signal,
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entry_price=price,
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quantity=quantity,
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leverage=self.config.leverage,
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stop_loss=stop_loss,
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take_profit=take_profit,
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signal_data=signal_snapshot,
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)
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logger.success(
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f"{signal} 진입: 가격={price}, 수량={quantity}, "
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f"SL={stop_loss:.4f}, TP={take_profit:.4f}"
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)
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sl_side = "SELL" if signal == "LONG" else "BUY"
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await self.exchange.place_order(
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side=sl_side,
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quantity=quantity,
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order_type="STOP_MARKET",
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stop_price=round(stop_loss, 4),
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reduce_only=True,
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)
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await self.exchange.place_order(
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side=sl_side,
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quantity=quantity,
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order_type="TAKE_PROFIT_MARKET",
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stop_price=round(take_profit, 4),
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reduce_only=True,
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)
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async def _close_position(self, position: dict):
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amt = abs(float(position["positionAmt"]))
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side = "SELL" if float(position["positionAmt"]) > 0 else "BUY"
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pos_side = "LONG" if side == "SELL" else "SHORT"
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await self.exchange.cancel_all_orders()
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await self.exchange.place_order(side=side, quantity=amt, reduce_only=True)
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entry = float(position["entryPrice"])
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mark = float(position["markPrice"])
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pnl = (mark - entry) * amt if side == "SELL" else (entry - mark) * amt
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self.notifier.notify_close(
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symbol=self.config.symbol,
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side=pos_side,
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exit_price=mark,
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pnl=pnl,
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)
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self.risk.record_pnl(pnl)
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self.current_trade_side = None
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logger.success(f"포지션 청산: PnL={pnl:.4f} USDT")
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async def _close_and_reenter(
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self,
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position: dict,
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signal: str,
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df,
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btc_df=None,
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eth_df=None,
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oi_change: float = 0.0,
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funding_rate: float = 0.0,
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) -> None:
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"""기존 포지션을 청산하고, ML 필터 통과 시 반대 방향으로 즉시 재진입한다."""
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await self._close_position(position)
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if not self.risk.can_open_new_position():
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logger.info("최대 포지션 수 도달 — 재진입 건너뜀")
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return
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if self.ml_filter.is_model_loaded():
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features = build_features(
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df, signal,
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btc_df=btc_df, eth_df=eth_df,
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oi_change=oi_change, funding_rate=funding_rate,
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)
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if not self.ml_filter.should_enter(features):
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logger.info(f"ML 필터 차단: {signal} 재진입 무시")
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return
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await self._open_position(signal, df)
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async def run(self):
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logger.info(f"봇 시작: {self.config.symbol}, 레버리지 {self.config.leverage}x")
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await self._recover_position()
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balance = await self.exchange.get_balance()
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self.risk.set_base_balance(balance)
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logger.info(f"기준 잔고 설정: {balance:.2f} USDT (동적 증거금 비율 기준점)")
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await self.stream.start(
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api_key=self.config.api_key,
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api_secret=self.config.api_secret,
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)
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