mirror of
https://github.com/NoFxAiOS/nofx.git
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Refactor: Modularize codebase with separate decision and MCP packages
Architecture improvements: - Extract AI decision engine to dedicated `decision` package - Create `mcp` package for Model Context Protocol client - Separate market data structures into `market/data.go` - Update trader to use new modular structure New packages: - `decision/engine.go` - AI decision logic and prompt building - `mcp/client.go` - Unified AI API client (DeepSeek/Qwen) - `market/data.go` - Market data type definitions Benefits: - Better separation of concerns - Improved code organization and maintainability - Easier to test individual components - More flexible AI provider integration - Cleaner dependency management Updated imports: - trader/auto_trader.go now uses decision and mcp packages - Consistent API across different AI providers 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude <noreply@anthropic.com>
This commit is contained in:
tinkle
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decision/engine.go
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514
decision/engine.go
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package decision
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import (
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"encoding/json"
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"fmt"
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"log"
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"nofx/market"
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"nofx/mcp"
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"nofx/pool"
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"strings"
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"time"
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)
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// PositionInfo 持仓信息
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type PositionInfo struct {
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Symbol string `json:"symbol"`
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Side string `json:"side"` // "long" or "short"
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EntryPrice float64 `json:"entry_price"`
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MarkPrice float64 `json:"mark_price"`
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Quantity float64 `json:"quantity"`
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Leverage int `json:"leverage"`
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UnrealizedPnL float64 `json:"unrealized_pnl"`
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UnrealizedPnLPct float64 `json:"unrealized_pnl_pct"`
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LiquidationPrice float64 `json:"liquidation_price"`
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MarginUsed float64 `json:"margin_used"`
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}
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// AccountInfo 账户信息
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type AccountInfo struct {
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TotalEquity float64 `json:"total_equity"` // 账户净值
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AvailableBalance float64 `json:"available_balance"` // 可用余额
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TotalPnL float64 `json:"total_pnl"` // 总盈亏
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TotalPnLPct float64 `json:"total_pnl_pct"` // 总盈亏百分比
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MarginUsed float64 `json:"margin_used"` // 已用保证金
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MarginUsedPct float64 `json:"margin_used_pct"` // 保证金使用率
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PositionCount int `json:"position_count"` // 持仓数量
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}
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// CandidateCoin 候选币种（来自币种池）
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type CandidateCoin struct {
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Symbol string `json:"symbol"`
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Sources []string `json:"sources"` // 来源: "ai500" 和/或 "oi_top"
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}
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// OITopData 持仓量增长Top数据（用于AI决策参考）
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type OITopData struct {
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Rank int // OI Top排名
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OIDeltaPercent float64 // 持仓量变化百分比（1小时）
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OIDeltaValue float64 // 持仓量变化价值
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PriceDeltaPercent float64 // 价格变化百分比
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NetLong float64 // 净多仓
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NetShort float64 // 净空仓
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}
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// Context 交易上下文（传递给AI的完整信息）
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type Context struct {
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CurrentTime string `json:"current_time"`
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RuntimeMinutes int `json:"runtime_minutes"`
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CallCount int `json:"call_count"`
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Account AccountInfo `json:"account"`
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Positions []PositionInfo `json:"positions"`
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CandidateCoins []CandidateCoin `json:"candidate_coins"`
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MarketDataMap map[string]*market.Data `json:"-"` // 不序列化，但内部使用
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OITopDataMap map[string]*OITopData `json:"-"` // OI Top数据映射
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Performance interface{} `json:"-"` // 历史表现分析（logger.PerformanceAnalysis）
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}
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// Decision AI的交易决策
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type Decision struct {
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Symbol string `json:"symbol"`
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Action string `json:"action"` // "open_long", "open_short", "close_long", "close_short", "hold", "wait"
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Leverage int `json:"leverage,omitempty"`
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PositionSizeUSD float64 `json:"position_size_usd,omitempty"`
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StopLoss float64 `json:"stop_loss,omitempty"`
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TakeProfit float64 `json:"take_profit,omitempty"`
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Confidence int `json:"confidence,omitempty"` // 信心度 (0-100)
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RiskUSD float64 `json:"risk_usd,omitempty"` // 最大美元风险
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Reasoning string `json:"reasoning"`
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}
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// FullDecision AI的完整决策（包含思维链）
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type FullDecision struct {
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UserPrompt string `json:"user_prompt"` // 发送给AI的输入prompt
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CoTTrace string `json:"cot_trace"` // 思维链分析（AI输出）
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Decisions []Decision `json:"decisions"` // 具体决策列表
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Timestamp time.Time `json:"timestamp"`
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}
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// GetFullDecision 获取AI的完整交易决策（批量分析所有币种和持仓）
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func GetFullDecision(ctx *Context) (*FullDecision, error) {
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// 1. 为所有币种获取市场数据
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if err := fetchMarketDataForContext(ctx); err != nil {
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return nil, fmt.Errorf("获取市场数据失败: %w", err)
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}
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// 2. 构建 System Prompt（固定规则）和 User Prompt（动态数据）
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systemPrompt := buildSystemPrompt(ctx.Account.TotalEquity)
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userPrompt := buildUserPrompt(ctx)
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// 3. 调用AI API（使用 system + user prompt）
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aiResponse, err := mcp.CallWithMessages(systemPrompt, userPrompt)
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if err != nil {
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return nil, fmt.Errorf("调用AI API失败: %w", err)
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}
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// 4. 解析AI响应
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decision, err := parseFullDecisionResponse(aiResponse, ctx.Account.TotalEquity)
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if err != nil {
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return nil, fmt.Errorf("解析AI响应失败: %w", err)
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}
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decision.Timestamp = time.Now()
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decision.UserPrompt = userPrompt // 保存输入prompt
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return decision, nil
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}
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// fetchMarketDataForContext 为上下文中的所有币种获取市场数据和OI数据
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func fetchMarketDataForContext(ctx *Context) error {
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ctx.MarketDataMap = make(map[string]*market.Data)
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ctx.OITopDataMap = make(map[string]*OITopData)
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// 收集所有需要获取数据的币种
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symbolSet := make(map[string]bool)
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// 1. 优先获取持仓币种的数据（这是必须的）
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for _, pos := range ctx.Positions {
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symbolSet[pos.Symbol] = true
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}
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// 2. 候选币种数量根据账户状态动态调整
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maxCandidates := calculateMaxCandidates(ctx)
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for i, coin := range ctx.CandidateCoins {
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if i >= maxCandidates {
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break
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}
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symbolSet[coin.Symbol] = true
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}
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// 并发获取市场数据
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// 持仓币种集合（用于判断是否跳过OI检查）
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positionSymbols := make(map[string]bool)
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for _, pos := range ctx.Positions {
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positionSymbols[pos.Symbol] = true
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}
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for symbol := range symbolSet {
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data, err := market.Get(symbol)
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if err != nil {
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// 单个币种失败不影响整体，只记录错误
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continue
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}
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// ⚠️ 流动性过滤：持仓价值低于15M USD的币种不做（多空都不做）
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// 持仓价值 = 持仓量 × 当前价格
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// 但现有持仓必须保留（需要决策是否平仓）
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isExistingPosition := positionSymbols[symbol]
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if !isExistingPosition && data.OpenInterest != nil && data.CurrentPrice > 0 {
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// 计算持仓价值（USD）= 持仓量 × 当前价格
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oiValue := data.OpenInterest.Latest * data.CurrentPrice
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oiValueInMillions := oiValue / 1_000_000 // 转换为百万美元单位
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if oiValueInMillions < 15 {
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log.Printf("⚠️ %s 持仓价值过低(%.2fM USD < 15M)，跳过此币种 [持仓量:%.0f × 价格:%.4f]",
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symbol, oiValueInMillions, data.OpenInterest.Latest, data.CurrentPrice)
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continue
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}
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}
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ctx.MarketDataMap[symbol] = data
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}
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// 加载OI Top数据（不影响主流程）
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oiPositions, err := pool.GetOITopPositions()
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if err == nil {
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for _, pos := range oiPositions {
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// 标准化符号匹配
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symbol := pos.Symbol
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ctx.OITopDataMap[symbol] = &OITopData{
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Rank: pos.Rank,
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OIDeltaPercent: pos.OIDeltaPercent,
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OIDeltaValue: pos.OIDeltaValue,
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PriceDeltaPercent: pos.PriceDeltaPercent,
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NetLong: pos.NetLong,
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NetShort: pos.NetShort,
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}
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}
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}
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return nil
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}
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// calculateMaxCandidates 根据账户状态计算需要分析的候选币种数量
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func calculateMaxCandidates(ctx *Context) int {
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// 直接返回候选池的全部币种数量
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// 因为候选池已经在 auto_trader.go 中筛选过了
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// 固定分析前20个评分最高的币种（来自AI500）
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return len(ctx.CandidateCoins)
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}
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// buildSystemPrompt 构建 System Prompt（固定规则，可缓存）
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func buildSystemPrompt(accountEquity float64) string {
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var sb strings.Builder
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// 角色定义
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sb.WriteString("你是专业的加密货币交易AI，在币安合约市场进行自主交易。\n\n")
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sb.WriteString("**使命**: 最大化风险调整后收益（Sharpe Ratio）\n\n")
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// 自我进化核心
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sb.WriteString("## 🧬 自我进化机制\n")
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sb.WriteString("每次调用你都会收到**夏普比率**作为你的业绩指标（周期级别，非年化）：\n\n")
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sb.WriteString("**夏普比率解读**（正常范围 -2 到 +2）：\n")
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sb.WriteString("- < -0.5：持续亏损 → 🔴 极度保守策略（减仓、收紧止损、减少持仓数）\n")
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sb.WriteString("- -0.5 到 0：轻微亏损 → 🟡 优化策略（保守仓位、提高选币标准）\n")
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sb.WriteString("- 0 到 0.7：正收益 → 🟢 维持/优化当前策略\n")
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sb.WriteString("- > 0.7：优异表现 → 🟢 可适度扩大仓位\n\n")
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// 仓位管理规则
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sb.WriteString("## 仓位管理\n")
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sb.WriteString("- 最多持有 **3个币种**（质量>数量）\n")
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sb.WriteString(fmt.Sprintf("- 山寨币: %.0f-%.0f USDT/仓（推荐%.0f），杠杆20x\n",
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accountEquity*0.8, accountEquity*1.5, accountEquity*1.2))
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sb.WriteString(fmt.Sprintf("- BTC/ETH: %.0f-%.0f USDT/仓（推荐%.0f），杠杆50x\n",
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accountEquity*3, accountEquity*10, accountEquity*5))
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sb.WriteString("- 保证金使用率 ≤90%%\n")
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sb.WriteString("- 风险回报比 ≥1:2\n\n")
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// 决策流程
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sb.WriteString("## 决策流程\n")
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sb.WriteString("1. **检查夏普比率**：理解当前策略效果，根据夏普比率调整策略\n")
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sb.WriteString("2. **评估持仓**：决定平仓/持有\n")
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sb.WriteString("3. **寻找机会**：筛选候选币种\n")
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sb.WriteString("4. **执行决策**：输出思维链和JSON决策\n\n")
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// JSON 输出格式
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sb.WriteString("## 输出格式\n\n")
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sb.WriteString("**先输出思维链（纯文本），再输出JSON数组**\n\n")
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sb.WriteString("JSON示例：\n")
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sb.WriteString("```json\n")
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sb.WriteString("[\n")
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sb.WriteString(fmt.Sprintf(" {\"symbol\": \"BTCUSDT\", \"action\": \"open_long\", \"leverage\": 50, \"position_size_usd\": %.0f, \"stop_loss\": 92000, \"take_profit\": 98000, \"confidence\": 85, \"risk_usd\": 200, \"reasoning\": \"强势突破\"},\n", accountEquity*5))
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sb.WriteString(" {\"symbol\": \"ETHUSDT\", \"action\": \"close_long\", \"reasoning\": \"止盈\"}\n")
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sb.WriteString("]\n")
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sb.WriteString("```\n\n")
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sb.WriteString("**字段说明**:\n")
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sb.WriteString("- `action`: open_long | open_short | close_long | close_short | hold | wait\n")
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sb.WriteString("- `confidence`: 信心度0-100（必填，即使不确定也要给出）\n")
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sb.WriteString("- `risk_usd`: 最大美元风险 = (entry_price - stop_loss) × quantity（开仓时必填）\n")
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sb.WriteString("- 开仓时必填: leverage, position_size_usd, stop_loss, take_profit, confidence, risk_usd\n\n")
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// DeepSeek/Qwen 特定优化
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sb.WriteString("**提示**: 运用技术分析原理，趋势确认>指标信号，不要过度依赖单一指标\n")
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return sb.String()
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}
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// buildUserPrompt 构建 User Prompt（动态数据）
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func buildUserPrompt(ctx *Context) string {
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var sb strings.Builder
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// 系统状态
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sb.WriteString(fmt.Sprintf("**时间**: %s | **周期**: #%d | **运行**: %d分钟\n\n",
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ctx.CurrentTime, ctx.CallCount, ctx.RuntimeMinutes))
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// BTC 市场
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if btcData, hasBTC := ctx.MarketDataMap["BTCUSDT"]; hasBTC {
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sb.WriteString(fmt.Sprintf("**BTC**: %.2f (1h: %+.2f%%, 4h: %+.2f%%) | MACD: %.4f | RSI: %.2f\n\n",
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btcData.CurrentPrice, btcData.PriceChange1h, btcData.PriceChange4h,
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btcData.CurrentMACD, btcData.CurrentRSI7))
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}
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// 账户
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sb.WriteString(fmt.Sprintf("**账户**: 净值%.2f | 余额%.2f (%.1f%%) | 盈亏%+.2f%% | 保证金%.1f%% | 持仓%d个\n\n",
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ctx.Account.TotalEquity,
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ctx.Account.AvailableBalance,
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(ctx.Account.AvailableBalance/ctx.Account.TotalEquity)*100,
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ctx.Account.TotalPnLPct,
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ctx.Account.MarginUsedPct,
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ctx.Account.PositionCount))
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// 持仓（完整市场数据）
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if len(ctx.Positions) > 0 {
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sb.WriteString("## 当前持仓\n")
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for i, pos := range ctx.Positions {
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sb.WriteString(fmt.Sprintf("%d. %s %s | 入场价%.4f 当前价%.4f | 盈亏%+.2f%% | 杠杆%dx | 保证金%.0f | 强平价%.4f\n\n",
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i+1, pos.Symbol, strings.ToUpper(pos.Side),
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pos.EntryPrice, pos.MarkPrice, pos.UnrealizedPnLPct,
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pos.Leverage, pos.MarginUsed, pos.LiquidationPrice))
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// 使用FormatMarketData输出完整市场数据
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if marketData, ok := ctx.MarketDataMap[pos.Symbol]; ok {
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sb.WriteString(market.Format(marketData))
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sb.WriteString("\n")
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}
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}
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} else {
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sb.WriteString("**当前持仓**: 无\n\n")
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}
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// 候选币种（完整市场数据）
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sb.WriteString(fmt.Sprintf("## 候选币种 (%d个)\n\n", len(ctx.MarketDataMap)))
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displayedCount := 0
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for _, coin := range ctx.CandidateCoins {
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marketData, hasData := ctx.MarketDataMap[coin.Symbol]
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if !hasData {
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continue
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}
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displayedCount++
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sourceTags := ""
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if len(coin.Sources) > 1 {
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sourceTags = " (AI500+OI_Top双重信号)"
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} else if len(coin.Sources) == 1 && coin.Sources[0] == "oi_top" {
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sourceTags = " (OI_Top持仓增长)"
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}
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// 使用FormatMarketData输出完整市场数据
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sb.WriteString(fmt.Sprintf("### %d. %s%s\n\n", displayedCount, coin.Symbol, sourceTags))
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sb.WriteString(market.Format(marketData))
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sb.WriteString("\n")
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}
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sb.WriteString("\n")
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// 夏普比率（直接传值，不要复杂格式化）
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if ctx.Performance != nil {
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// 直接从interface{}中提取SharpeRatio
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type PerformanceData struct {
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SharpeRatio float64 `json:"sharpe_ratio"`
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}
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var perfData PerformanceData
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if jsonData, err := json.Marshal(ctx.Performance); err == nil {
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if err := json.Unmarshal(jsonData, &perfData); err == nil {
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sb.WriteString(fmt.Sprintf("## 📊 夏普比率: %.2f\n\n", perfData.SharpeRatio))
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}
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}
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}
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sb.WriteString("---\n\n")
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sb.WriteString("现在请分析并输出决策（思维链 + JSON）\n")
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return sb.String()
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}
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// parseFullDecisionResponse 解析AI的完整决策响应
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func parseFullDecisionResponse(aiResponse string, accountEquity float64) (*FullDecision, error) {
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// 1. 提取思维链
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cotTrace := extractCoTTrace(aiResponse)
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// 2. 提取JSON决策列表
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decisions, err := extractDecisions(aiResponse)
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if err != nil {
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return &FullDecision{
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CoTTrace: cotTrace,
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Decisions: []Decision{},
|
||||
}, fmt.Errorf("提取决策失败: %w\n\n=== AI思维链分析 ===\n%s", err, cotTrace)
|
||||
}
|
||||
|
||||
// 3. 验证决策
|
||||
if err := validateDecisions(decisions, accountEquity); err != nil {
|
||||
return &FullDecision{
|
||||
CoTTrace: cotTrace,
|
||||
Decisions: decisions,
|
||||
}, fmt.Errorf("决策验证失败: %w\n\n=== AI思维链分析 ===\n%s", err, cotTrace)
|
||||
}
|
||||
|
||||
return &FullDecision{
|
||||
CoTTrace: cotTrace,
|
||||
Decisions: decisions,
|
||||
}, nil
|
||||
}
|
||||
|
||||
// extractCoTTrace 提取思维链分析
|
||||
func extractCoTTrace(response string) string {
|
||||
// 查找JSON数组的开始位置
|
||||
jsonStart := strings.Index(response, "[")
|
||||
|
||||
if jsonStart > 0 {
|
||||
// 思维链是JSON数组之前的内容
|
||||
return strings.TrimSpace(response[:jsonStart])
|
||||
}
|
||||
|
||||
// 如果找不到JSON，整个响应都是思维链
|
||||
return strings.TrimSpace(response)
|
||||
}
|
||||
|
||||
// extractDecisions 提取JSON决策列表
|
||||
func extractDecisions(response string) ([]Decision, error) {
|
||||
// 直接查找JSON数组 - 找第一个完整的JSON数组
|
||||
arrayStart := strings.Index(response, "[")
|
||||
if arrayStart == -1 {
|
||||
return nil, fmt.Errorf("无法找到JSON数组起始")
|
||||
}
|
||||
|
||||
// 从 [ 开始，匹配括号找到对应的 ]
|
||||
arrayEnd := findMatchingBracket(response, arrayStart)
|
||||
if arrayEnd == -1 {
|
||||
return nil, fmt.Errorf("无法找到JSON数组结束")
|
||||
}
|
||||
|
||||
jsonContent := strings.TrimSpace(response[arrayStart : arrayEnd+1])
|
||||
|
||||
// 🔧 修复常见的JSON格式错误：缺少引号的字段值
|
||||
// 匹配: "reasoning": 内容"} 或 "reasoning": 内容} (没有引号)
|
||||
// 修复为: "reasoning": "内容"}
|
||||
// 使用简单的字符串扫描而不是正则表达式
|
||||
jsonContent = fixMissingQuotes(jsonContent)
|
||||
|
||||
// 解析JSON
|
||||
var decisions []Decision
|
||||
if err := json.Unmarshal([]byte(jsonContent), &decisions); err != nil {
|
||||
return nil, fmt.Errorf("JSON解析失败: %w\nJSON内容: %s", err, jsonContent)
|
||||
}
|
||||
|
||||
return decisions, nil
|
||||
}
|
||||
|
||||
// fixMissingQuotes 替换中文引号为英文引号（避免输入法自动转换）
|
||||
func fixMissingQuotes(jsonStr string) string {
|
||||
jsonStr = strings.ReplaceAll(jsonStr, "\u201c", "\"") // "
|
||||
jsonStr = strings.ReplaceAll(jsonStr, "\u201d", "\"") // "
|
||||
jsonStr = strings.ReplaceAll(jsonStr, "\u2018", "'") // '
|
||||
jsonStr = strings.ReplaceAll(jsonStr, "\u2019", "'") // '
|
||||
return jsonStr
|
||||
}
|
||||
|
||||
// validateDecisions 验证所有决策（需要账户信息）
|
||||
func validateDecisions(decisions []Decision, accountEquity float64) error {
|
||||
for i, decision := range decisions {
|
||||
if err := validateDecision(&decision, accountEquity); err != nil {
|
||||
return fmt.Errorf("决策 #%d 验证失败: %w", i+1, err)
|
||||
}
|
||||
}
|
||||
return nil
|
||||
}
|
||||
|
||||
// findMatchingBracket 查找匹配的右括号
|
||||
func findMatchingBracket(s string, start int) int {
|
||||
if start >= len(s) || s[start] != '[' {
|
||||
return -1
|
||||
}
|
||||
|
||||
depth := 0
|
||||
for i := start; i < len(s); i++ {
|
||||
switch s[i] {
|
||||
case '[':
|
||||
depth++
|
||||
case ']':
|
||||
depth--
|
||||
if depth == 0 {
|
||||
return i
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
return -1
|
||||
}
|
||||
|
||||
// validateDecision 验证单个决策的有效性
|
||||
func validateDecision(d *Decision, accountEquity float64) error {
|
||||
// 验证action
|
||||
validActions := map[string]bool{
|
||||
"open_long": true,
|
||||
"open_short": true,
|
||||
"close_long": true,
|
||||
"close_short": true,
|
||||
"hold": true,
|
||||
"wait": true,
|
||||
}
|
||||
|
||||
if !validActions[d.Action] {
|
||||
return fmt.Errorf("无效的action: %s", d.Action)
|
||||
}
|
||||
|
||||
// 开仓操作必须提供完整参数
|
||||
if d.Action == "open_long" || d.Action == "open_short" {
|
||||
// 根据币种判断杠杆上限和仓位价值上限
|
||||
maxLeverage := 20 // 山寨币固定20倍
|
||||
maxPositionValue := accountEquity * 1.5 // 山寨币最多1.5倍账户净值
|
||||
if d.Symbol == "BTCUSDT" || d.Symbol == "ETHUSDT" {
|
||||
maxLeverage = 50 // BTC和ETH固定50倍
|
||||
maxPositionValue = accountEquity * 10 // BTC/ETH最多10倍账户净值
|
||||
}
|
||||
|
||||
if d.Leverage <= 0 || d.Leverage > maxLeverage {
|
||||
return fmt.Errorf("杠杆必须在1-%d之间（%s）: %d", maxLeverage, d.Symbol, d.Leverage)
|
||||
}
|
||||
if d.PositionSizeUSD <= 0 {
|
||||
return fmt.Errorf("仓位大小必须大于0: %.2f", d.PositionSizeUSD)
|
||||
}
|
||||
// 验证仓位价值上限（加1%容差以避免浮点数精度问题）
|
||||
tolerance := maxPositionValue * 0.01 // 1%容差
|
||||
if d.PositionSizeUSD > maxPositionValue+tolerance {
|
||||
if d.Symbol == "BTCUSDT" || d.Symbol == "ETHUSDT" {
|
||||
return fmt.Errorf("BTC/ETH单币种仓位价值不能超过%.0f USDT（10倍账户净值），实际: %.0f", maxPositionValue, d.PositionSizeUSD)
|
||||
} else {
|
||||
return fmt.Errorf("山寨币单币种仓位价值不能超过%.0f USDT（1.5倍账户净值），实际: %.0f", maxPositionValue, d.PositionSizeUSD)
|
||||
}
|
||||
}
|
||||
if d.StopLoss <= 0 || d.TakeProfit <= 0 {
|
||||
return fmt.Errorf("止损和止盈必须大于0")
|
||||
}
|
||||
|
||||
// 验证止损止盈的合理性
|
||||
if d.Action == "open_long" {
|
||||
if d.StopLoss >= d.TakeProfit {
|
||||
return fmt.Errorf("做多时止损价必须小于止盈价")
|
||||
}
|
||||
} else {
|
||||
if d.StopLoss <= d.TakeProfit {
|
||||
return fmt.Errorf("做空时止损价必须大于止盈价")
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
return nil
|
||||
}
|
||||
Reference in New Issue
Block a user