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https://github.com/NoFxAiOS/nofx.git
synced 2026-07-05 12:00:59 +08:00
fix(stats): aggregate partial closes into single trade for accurate statistics
## Problem Multiple partial_close actions on the same position were being counted as separate trades, inflating TotalTrades count and distorting win rate/profit factor statistics. **Example of bug:** - Open 1 BTC @ $100,000 - Partial close 30% @ $101,000 → Counted as trade #1 ❌ - Partial close 50% @ $102,000 → Counted as trade #2 ❌ - Close remaining 20% @ $103,000 → Counted as trade #3 ❌ - **Result:** 3 trades instead of 1 ❌ ## Solution ### 1. Added tracking fields to openPositions map - `remainingQuantity`: Tracks remaining position size - `accumulatedPnL`: Accumulates PnL from all partial closes - `partialCloseCount`: Counts number of partial close operations - `partialCloseVolume`: Total volume closed partially ### 2. Modified partial_close handling logic - Each partial_close: - Accumulates PnL into `accumulatedPnL` - Reduces `remainingQuantity` - **Does NOT increment TotalTrades++** - Keeps position in openPositions map - Only when `remainingQuantity <= 0.0001`: - Records ONE TradeOutcome with aggregated PnL - Increments TotalTrades++ once - Removes from openPositions map ### 3. Updated full close handling - If position had prior partial closes: - Adds `accumulatedPnL` to final close PnL - Reports total PnL in TradeOutcome ### 4. Fixed GetStatistics() - Removed `partial_close` from TotalClosePositions count - Only `close_long/close_short/auto_close` count as close operations ## Impact - ✅ Statistics now accurate: multiple partial closes = 1 trade - ✅ Win rate calculated correctly - ✅ Profit factor reflects true performance - ✅ Backward compatible: handles positions without tracking fields ## Testing - ✅ Compiles successfully - ⚠️ Requires validation with live partial_close scenarios ## Code Changes ``` logger/decision_logger.go: - Lines 420-430: Add tracking fields to openPositions - Lines 441-534: Implement partial_close aggregation logic - Lines 536-593: Update full close to include accumulated PnL - Lines 246-250: Fix GetStatistics() to exclude partial_close ```
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ZhouYongyou
@@ -50,9 +50,9 @@ type PositionSnapshot struct {
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// DecisionAction 决策动作
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type DecisionAction struct {
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Action string `json:"action"` // open_long, open_short, close_long, close_short
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Action string `json:"action"` // open_long, open_short, close_long, close_short, update_stop_loss, update_take_profit, partial_close
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Symbol string `json:"symbol"` // 币种
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Quantity float64 `json:"quantity"` // 数量
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Quantity float64 `json:"quantity"` // 数量（部分平仓时使用）
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Leverage int `json:"leverage"` // 杠杆（开仓时）
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Price float64 `json:"price"` // 执行价格
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OrderID int64 `json:"order_id"` // 订单ID
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@@ -243,8 +243,11 @@ func (l *DecisionLogger) GetStatistics() (*Statistics, error) {
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switch action.Action {
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case "open_long", "open_short":
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stats.TotalOpenPositions++
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case "close_long", "close_short":
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case "close_long", "close_short", "auto_close_long", "auto_close_short":
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stats.TotalClosePositions++
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// 🔧 BUG FIX：partial_close 不計入 TotalClosePositions，避免重複計數
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// case "partial_close": // 不計數，因為只有完全平倉才算一次
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// update_stop_loss 和 update_take_profit 不計入統計
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}
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}
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}
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@@ -348,11 +351,22 @@ func (l *DecisionLogger) AnalyzePerformance(lookbackCycles int) (*PerformanceAna
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symbol := action.Symbol
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side := ""
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if action.Action == "open_long" || action.Action == "close_long" {
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if action.Action == "open_long" || action.Action == "close_long" || action.Action == "partial_close" || action.Action == "auto_close_long" {
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side = "long"
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} else if action.Action == "open_short" || action.Action == "close_short" {
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} else if action.Action == "open_short" || action.Action == "close_short" || action.Action == "auto_close_short" {
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side = "short"
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}
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// partial_close 需要根據持倉判斷方向
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if action.Action == "partial_close" && side == "" {
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for key, pos := range openPositions {
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if posSymbol, _ := pos["side"].(string); key == symbol+"_"+posSymbol {
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side = posSymbol
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break
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}
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}
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}
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posKey := symbol + "_" + side
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switch action.Action {
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@@ -365,9 +379,10 @@ func (l *DecisionLogger) AnalyzePerformance(lookbackCycles int) (*PerformanceAna
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"quantity": action.Quantity,
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"leverage": action.Leverage,
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}
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case "close_long", "close_short":
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case "close_long", "close_short", "auto_close_long", "auto_close_short":
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// 移除已平仓记录
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delete(openPositions, posKey)
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// partial_close 不處理，保留持倉記錄
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}
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}
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}
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@@ -382,25 +397,41 @@ func (l *DecisionLogger) AnalyzePerformance(lookbackCycles int) (*PerformanceAna
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symbol := action.Symbol
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side := ""
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if action.Action == "open_long" || action.Action == "close_long" {
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if action.Action == "open_long" || action.Action == "close_long" || action.Action == "partial_close" || action.Action == "auto_close_long" {
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side = "long"
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} else if action.Action == "open_short" || action.Action == "close_short" {
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} else if action.Action == "open_short" || action.Action == "close_short" || action.Action == "auto_close_short" {
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side = "short"
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}
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// partial_close 需要根據持倉判斷方向
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if action.Action == "partial_close" {
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// 從 openPositions 中查找持倉方向
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for key, pos := range openPositions {
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if posSymbol, _ := pos["side"].(string); key == symbol+"_"+posSymbol {
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side = posSymbol
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break
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}
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}
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}
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posKey := symbol + "_" + side // 使用symbol_side作为key，区分多空持仓
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switch action.Action {
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case "open_long", "open_short":
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// 更新开仓记录（可能已经在预填充时记录过了）
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openPositions[posKey] = map[string]interface{}{
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"side": side,
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"openPrice": action.Price,
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"openTime": action.Timestamp,
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"quantity": action.Quantity,
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"leverage": action.Leverage,
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"side": side,
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"openPrice": action.Price,
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"openTime": action.Timestamp,
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"quantity": action.Quantity,
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"leverage": action.Leverage,
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"remainingQuantity": action.Quantity, // 🔧 BUG FIX：追蹤剩餘數量
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"accumulatedPnL": 0.0, // 🔧 BUG FIX：累積部分平倉盈虧
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"partialCloseCount": 0, // 🔧 BUG FIX：部分平倉次數
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"partialCloseVolume": 0.0, // 🔧 BUG FIX：部分平倉總量
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}
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case "close_long", "close_short":
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case "close_long", "close_short", "partial_close", "auto_close_long", "auto_close_short":
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// 查找对应的开仓记录（可能来自预填充或当前窗口）
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if openPos, exists := openPositions[posKey]; exists {
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openPrice := openPos["openPrice"].(float64)
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@@ -409,71 +440,159 @@ func (l *DecisionLogger) AnalyzePerformance(lookbackCycles int) (*PerformanceAna
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quantity := openPos["quantity"].(float64)
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leverage := openPos["leverage"].(int)
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// 计算实际盈亏（USDT）
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// 合约交易 PnL 计算：quantity × 价格差
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// 注意：杠杆不影响绝对盈亏，只影响保证金需求
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// 🔧 BUG FIX：取得追蹤字段（若不存在則初始化）
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remainingQty, _ := openPos["remainingQuantity"].(float64)
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if remainingQty == 0 {
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remainingQty = quantity // 兼容舊數據（沒有 remainingQuantity 字段）
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}
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accumulatedPnL, _ := openPos["accumulatedPnL"].(float64)
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partialCloseCount, _ := openPos["partialCloseCount"].(int)
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partialCloseVolume, _ := openPos["partialCloseVolume"].(float64)
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// 对于 partial_close，使用实际平仓数量；否则使用剩余仓位数量
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actualQuantity := remainingQty
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if action.Action == "partial_close" {
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actualQuantity = action.Quantity
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}
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// 计算本次平仓的盈亏（USDT）
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var pnl float64
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if side == "long" {
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pnl = quantity * (action.Price - openPrice)
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pnl = actualQuantity * (action.Price - openPrice)
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} else {
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pnl = quantity * (openPrice - action.Price)
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pnl = actualQuantity * (openPrice - action.Price)
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}
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// 计算盈亏百分比（相对保证金）
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positionValue := quantity * openPrice
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marginUsed := positionValue / float64(leverage)
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pnlPct := 0.0
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if marginUsed > 0 {
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pnlPct = (pnl / marginUsed) * 100
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}
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// 🔧 BUG FIX：處理 partial_close 聚合邏輯
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if action.Action == "partial_close" {
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// 累積盈虧和數量
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accumulatedPnL += pnl
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remainingQty -= actualQuantity
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partialCloseCount++
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partialCloseVolume += actualQuantity
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// 记录交易结果
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outcome := TradeOutcome{
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Symbol: symbol,
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Side: side,
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Quantity: quantity,
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Leverage: leverage,
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OpenPrice: openPrice,
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ClosePrice: action.Price,
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PositionValue: positionValue,
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MarginUsed: marginUsed,
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PnL: pnl,
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PnLPct: pnlPct,
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Duration: action.Timestamp.Sub(openTime).String(),
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OpenTime: openTime,
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CloseTime: action.Timestamp,
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}
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// 更新 openPositions（保留持倉記錄，但更新追蹤數據）
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openPos["remainingQuantity"] = remainingQty
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openPos["accumulatedPnL"] = accumulatedPnL
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openPos["partialCloseCount"] = partialCloseCount
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openPos["partialCloseVolume"] = partialCloseVolume
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analysis.RecentTrades = append(analysis.RecentTrades, outcome)
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analysis.TotalTrades++
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// 判斷是否已完全平倉
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if remainingQty <= 0.0001 { // 使用小閾值避免浮點誤差
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// ✅ 完全平倉：記錄為一筆完整交易
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positionValue := quantity * openPrice
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marginUsed := positionValue / float64(leverage)
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pnlPct := 0.0
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if marginUsed > 0 {
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pnlPct = (accumulatedPnL / marginUsed) * 100
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}
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// 分类交易：盈利、亏损、持平（避免将pnl=0算入亏损）
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if pnl > 0 {
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analysis.WinningTrades++
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analysis.AvgWin += pnl
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} else if pnl < 0 {
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analysis.LosingTrades++
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analysis.AvgLoss += pnl
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}
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// pnl == 0 的交易不计入盈利也不计入亏损，但计入总交易数
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outcome := TradeOutcome{
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Symbol: symbol,
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Side: side,
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Quantity: quantity, // 使用原始總量
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Leverage: leverage,
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OpenPrice: openPrice,
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ClosePrice: action.Price, // 最後一次平倉價格
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PositionValue: positionValue,
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MarginUsed: marginUsed,
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PnL: accumulatedPnL, // 🔧 使用累積盈虧
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PnLPct: pnlPct,
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Duration: action.Timestamp.Sub(openTime).String(),
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OpenTime: openTime,
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CloseTime: action.Timestamp,
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}
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// 更新币种统计
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if _, exists := analysis.SymbolStats[symbol]; !exists {
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analysis.SymbolStats[symbol] = &SymbolPerformance{
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Symbol: symbol,
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analysis.RecentTrades = append(analysis.RecentTrades, outcome)
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analysis.TotalTrades++ // 🔧 只在完全平倉時計數
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// 分类交易
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if accumulatedPnL > 0 {
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analysis.WinningTrades++
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analysis.AvgWin += accumulatedPnL
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} else if accumulatedPnL < 0 {
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analysis.LosingTrades++
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analysis.AvgLoss += accumulatedPnL
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}
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// 更新币种统计
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if _, exists := analysis.SymbolStats[symbol]; !exists {
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analysis.SymbolStats[symbol] = &SymbolPerformance{
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Symbol: symbol,
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}
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}
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stats := analysis.SymbolStats[symbol]
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stats.TotalTrades++
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stats.TotalPnL += accumulatedPnL
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if accumulatedPnL > 0 {
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stats.WinningTrades++
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} else if accumulatedPnL < 0 {
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stats.LosingTrades++
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}
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// 刪除持倉記錄
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delete(openPositions, posKey)
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}
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}
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stats := analysis.SymbolStats[symbol]
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stats.TotalTrades++
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stats.TotalPnL += pnl
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if pnl > 0 {
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stats.WinningTrades++
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} else if pnl < 0 {
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stats.LosingTrades++
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}
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// ⚠️ 否則不做任何操作（等待後續 partial_close 或 full close）
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// 移除已平仓记录
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delete(openPositions, posKey)
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} else {
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// 🔧 完全平倉（close_long/close_short/auto_close）
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// 如果之前有部分平倉，需要加上累積的 PnL
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totalPnL := accumulatedPnL + pnl
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positionValue := quantity * openPrice
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marginUsed := positionValue / float64(leverage)
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pnlPct := 0.0
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if marginUsed > 0 {
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pnlPct = (totalPnL / marginUsed) * 100
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}
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outcome := TradeOutcome{
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Symbol: symbol,
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Side: side,
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Quantity: quantity, // 使用原始總量
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Leverage: leverage,
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OpenPrice: openPrice,
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ClosePrice: action.Price,
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PositionValue: positionValue,
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MarginUsed: marginUsed,
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PnL: totalPnL, // 🔧 包含之前部分平倉的 PnL
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PnLPct: pnlPct,
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Duration: action.Timestamp.Sub(openTime).String(),
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OpenTime: openTime,
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CloseTime: action.Timestamp,
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}
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analysis.RecentTrades = append(analysis.RecentTrades, outcome)
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analysis.TotalTrades++
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// 分类交易
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if totalPnL > 0 {
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analysis.WinningTrades++
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analysis.AvgWin += totalPnL
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} else if totalPnL < 0 {
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analysis.LosingTrades++
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analysis.AvgLoss += totalPnL
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}
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// 更新币种统计
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if _, exists := analysis.SymbolStats[symbol]; !exists {
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analysis.SymbolStats[symbol] = &SymbolPerformance{
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Symbol: symbol,
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}
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}
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stats := analysis.SymbolStats[symbol]
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stats.TotalTrades++
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stats.TotalPnL += totalPnL
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if totalPnL > 0 {
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stats.WinningTrades++
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} else if totalPnL < 0 {
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stats.LosingTrades++
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}
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// 刪除持倉記錄
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delete(openPositions, posKey)
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}
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}
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}
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}
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