mirror of
https://github.com/NoFxAiOS/nofx.git
synced 2026-06-06 05:51:19 +08:00
ceaedca253
Major improvements: - Use period-level Sharpe ratio (range -2 to +2) instead of annualized - Save full user prompt in decision logs for debugging - Format complete market data (3m + 4h candles) for AI analysis - Prevent position stacking with duplicate position checks - Update Sharpe ratio interpretation thresholds Market data enhancements: - Display full technical indicators in user prompt - Include 3-minute and 4-hour timeframe data - Add OI (Open Interest) change and funding rate signals Risk control: - Block opening duplicate positions (same symbol + direction) - Suggest close action first before opening new position - Prevent margin usage from exceeding limits UI improvements: - Update multi-language translations - Refine AI learning dashboard display Co-Authored-By: tinkle-community <tinklefund@gmail.com>
540 lines
16 KiB
Go
540 lines
16 KiB
Go
package logger
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import (
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"encoding/json"
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"fmt"
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"io/ioutil"
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"os"
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"path/filepath"
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"time"
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)
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// DecisionRecord 决策记录
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type DecisionRecord struct {
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Timestamp time.Time `json:"timestamp"` // 决策时间
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CycleNumber int `json:"cycle_number"` // 周期编号
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InputPrompt string `json:"input_prompt"` // 发送给AI的输入prompt
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CoTTrace string `json:"cot_trace"` // AI思维链（输出）
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DecisionJSON string `json:"decision_json"` // 决策JSON
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AccountState AccountSnapshot `json:"account_state"` // 账户状态快照
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Positions []PositionSnapshot `json:"positions"` // 持仓快照
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CandidateCoins []string `json:"candidate_coins"` // 候选币种列表
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Decisions []DecisionAction `json:"decisions"` // 执行的决策
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ExecutionLog []string `json:"execution_log"` // 执行日志
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Success bool `json:"success"` // 是否成功
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ErrorMessage string `json:"error_message"` // 错误信息（如果有）
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}
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// AccountSnapshot 账户状态快照
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type AccountSnapshot struct {
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TotalBalance float64 `json:"total_balance"`
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AvailableBalance float64 `json:"available_balance"`
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TotalUnrealizedProfit float64 `json:"total_unrealized_profit"`
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PositionCount int `json:"position_count"`
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MarginUsedPct float64 `json:"margin_used_pct"`
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}
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// PositionSnapshot 持仓快照
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type PositionSnapshot struct {
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Symbol string `json:"symbol"`
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Side string `json:"side"`
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PositionAmt float64 `json:"position_amt"`
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EntryPrice float64 `json:"entry_price"`
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MarkPrice float64 `json:"mark_price"`
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UnrealizedProfit float64 `json:"unrealized_profit"`
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Leverage float64 `json:"leverage"`
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LiquidationPrice float64 `json:"liquidation_price"`
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}
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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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Symbol string `json:"symbol"` // 币种
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Quantity float64 `json:"quantity"` // 数量
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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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Timestamp time.Time `json:"timestamp"` // 执行时间
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Success bool `json:"success"` // 是否成功
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Error string `json:"error"` // 错误信息
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}
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// DecisionLogger 决策日志记录器
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type DecisionLogger struct {
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logDir string
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cycleNumber int
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}
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// NewDecisionLogger 创建决策日志记录器
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func NewDecisionLogger(logDir string) *DecisionLogger {
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if logDir == "" {
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logDir = "decision_logs"
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}
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// 确保日志目录存在
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if err := os.MkdirAll(logDir, 0755); err != nil {
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fmt.Printf("⚠ 创建日志目录失败: %v\n", err)
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}
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return &DecisionLogger{
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logDir: logDir,
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cycleNumber: 0,
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}
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}
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// LogDecision 记录决策
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func (l *DecisionLogger) LogDecision(record *DecisionRecord) error {
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l.cycleNumber++
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record.CycleNumber = l.cycleNumber
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record.Timestamp = time.Now()
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// 生成文件名：decision_YYYYMMDD_HHMMSS_cycleN.json
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filename := fmt.Sprintf("decision_%s_cycle%d.json",
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record.Timestamp.Format("20060102_150405"),
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record.CycleNumber)
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filepath := filepath.Join(l.logDir, filename)
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// 序列化为JSON（带缩进，方便阅读）
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data, err := json.MarshalIndent(record, "", " ")
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if err != nil {
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return fmt.Errorf("序列化决策记录失败: %w", err)
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}
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// 写入文件
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if err := ioutil.WriteFile(filepath, data, 0644); err != nil {
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return fmt.Errorf("写入决策记录失败: %w", err)
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}
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fmt.Printf("📝 决策记录已保存: %s\n", filename)
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return nil
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}
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// GetLatestRecords 获取最近N条记录（按时间正序：从旧到新）
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func (l *DecisionLogger) GetLatestRecords(n int) ([]*DecisionRecord, error) {
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files, err := ioutil.ReadDir(l.logDir)
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if err != nil {
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return nil, fmt.Errorf("读取日志目录失败: %w", err)
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}
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// 先按修改时间倒序收集（最新的在前）
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var records []*DecisionRecord
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count := 0
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for i := len(files) - 1; i >= 0 && count < n; i-- {
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file := files[i]
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if file.IsDir() {
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continue
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}
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filepath := filepath.Join(l.logDir, file.Name())
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data, err := ioutil.ReadFile(filepath)
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if err != nil {
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continue
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}
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var record DecisionRecord
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if err := json.Unmarshal(data, &record); err != nil {
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continue
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}
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records = append(records, &record)
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count++
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}
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// 反转数组，让时间从旧到新排列（用于图表显示）
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for i, j := 0, len(records)-1; i < j; i, j = i+1, j-1 {
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records[i], records[j] = records[j], records[i]
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}
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return records, nil
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}
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// GetRecordByDate 获取指定日期的所有记录
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func (l *DecisionLogger) GetRecordByDate(date time.Time) ([]*DecisionRecord, error) {
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dateStr := date.Format("20060102")
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pattern := filepath.Join(l.logDir, fmt.Sprintf("decision_%s_*.json", dateStr))
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files, err := filepath.Glob(pattern)
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if err != nil {
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return nil, fmt.Errorf("查找日志文件失败: %w", err)
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}
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var records []*DecisionRecord
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for _, filepath := range files {
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data, err := ioutil.ReadFile(filepath)
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if err != nil {
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continue
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}
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var record DecisionRecord
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if err := json.Unmarshal(data, &record); err != nil {
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continue
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}
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records = append(records, &record)
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}
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return records, nil
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}
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// CleanOldRecords 清理N天前的旧记录
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func (l *DecisionLogger) CleanOldRecords(days int) error {
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cutoffTime := time.Now().AddDate(0, 0, -days)
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files, err := ioutil.ReadDir(l.logDir)
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if err != nil {
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return fmt.Errorf("读取日志目录失败: %w", err)
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}
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removedCount := 0
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for _, file := range files {
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if file.IsDir() {
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continue
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}
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if file.ModTime().Before(cutoffTime) {
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filepath := filepath.Join(l.logDir, file.Name())
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if err := os.Remove(filepath); err != nil {
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fmt.Printf("⚠ 删除旧记录失败 %s: %v\n", file.Name(), err)
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continue
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}
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removedCount++
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}
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}
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if removedCount > 0 {
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fmt.Printf("🗑️ 已清理 %d 条旧记录（%d天前）\n", removedCount, days)
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}
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return nil
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}
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// GetStatistics 获取统计信息
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func (l *DecisionLogger) GetStatistics() (*Statistics, error) {
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files, err := ioutil.ReadDir(l.logDir)
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if err != nil {
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return nil, fmt.Errorf("读取日志目录失败: %w", err)
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}
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stats := &Statistics{}
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for _, file := range files {
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if file.IsDir() {
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continue
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}
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filepath := filepath.Join(l.logDir, file.Name())
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data, err := ioutil.ReadFile(filepath)
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if err != nil {
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continue
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}
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var record DecisionRecord
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if err := json.Unmarshal(data, &record); err != nil {
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continue
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}
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stats.TotalCycles++
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for _, action := range record.Decisions {
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if action.Success {
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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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stats.TotalClosePositions++
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}
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}
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}
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if record.Success {
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stats.SuccessfulCycles++
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} else {
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stats.FailedCycles++
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}
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}
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return stats, nil
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}
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// Statistics 统计信息
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type Statistics struct {
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TotalCycles int `json:"total_cycles"`
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SuccessfulCycles int `json:"successful_cycles"`
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FailedCycles int `json:"failed_cycles"`
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TotalOpenPositions int `json:"total_open_positions"`
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TotalClosePositions int `json:"total_close_positions"`
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}
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// TradeOutcome 单笔交易结果
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type TradeOutcome struct {
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Symbol string `json:"symbol"` // 币种
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Side string `json:"side"` // long/short
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OpenPrice float64 `json:"open_price"` // 开仓价
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ClosePrice float64 `json:"close_price"` // 平仓价
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PnL float64 `json:"pn_l"` // 盈亏（USDT）
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PnLPct float64 `json:"pn_l_pct"` // 盈亏百分比
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Duration string `json:"duration"` // 持仓时长
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OpenTime time.Time `json:"open_time"` // 开仓时间
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CloseTime time.Time `json:"close_time"` // 平仓时间
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WasStopLoss bool `json:"was_stop_loss"` // 是否止损
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}
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// PerformanceAnalysis 交易表现分析
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type PerformanceAnalysis struct {
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TotalTrades int `json:"total_trades"` // 总交易数
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WinningTrades int `json:"winning_trades"` // 盈利交易数
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LosingTrades int `json:"losing_trades"` // 亏损交易数
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WinRate float64 `json:"win_rate"` // 胜率
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AvgWin float64 `json:"avg_win"` // 平均盈利
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AvgLoss float64 `json:"avg_loss"` // 平均亏损
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ProfitFactor float64 `json:"profit_factor"` // 盈亏比
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SharpeRatio float64 `json:"sharpe_ratio"` // 夏普比率（风险调整后收益）
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RecentTrades []TradeOutcome `json:"recent_trades"` // 最近N笔交易
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SymbolStats map[string]*SymbolPerformance `json:"symbol_stats"` // 各币种表现
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BestSymbol string `json:"best_symbol"` // 表现最好的币种
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WorstSymbol string `json:"worst_symbol"` // 表现最差的币种
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}
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// SymbolPerformance 币种表现统计
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type SymbolPerformance struct {
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Symbol string `json:"symbol"` // 币种
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TotalTrades int `json:"total_trades"` // 交易次数
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WinningTrades int `json:"winning_trades"` // 盈利次数
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LosingTrades int `json:"losing_trades"` // 亏损次数
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WinRate float64 `json:"win_rate"` // 胜率
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TotalPnL float64 `json:"total_pn_l"` // 总盈亏
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AvgPnL float64 `json:"avg_pn_l"` // 平均盈亏
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}
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// AnalyzePerformance 分析最近N个周期的交易表现
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func (l *DecisionLogger) AnalyzePerformance(lookbackCycles int) (*PerformanceAnalysis, error) {
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records, err := l.GetLatestRecords(lookbackCycles)
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if err != nil {
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return nil, fmt.Errorf("读取历史记录失败: %w", err)
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}
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if len(records) == 0 {
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return &PerformanceAnalysis{
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RecentTrades: []TradeOutcome{},
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SymbolStats: make(map[string]*SymbolPerformance),
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}, nil
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}
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analysis := &PerformanceAnalysis{
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RecentTrades: []TradeOutcome{},
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SymbolStats: make(map[string]*SymbolPerformance),
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}
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// 追踪持仓状态：symbol -> {side, openPrice, openTime}
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openPositions := make(map[string]map[string]interface{})
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// 遍历所有记录
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for _, record := range records {
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for _, action := range record.Decisions {
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if !action.Success {
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continue
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}
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symbol := action.Symbol
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posKey := symbol // 使用symbol作为key（假设同一时间一个币种只有一个方向的仓位）
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switch action.Action {
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case "open_long", "open_short":
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// 记录开仓
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openPositions[posKey] = map[string]interface{}{
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"side": action.Action[5:], // "long" or "short"
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"openPrice": action.Price,
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"openTime": action.Timestamp,
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}
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case "close_long", "close_short":
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// 查找对应的开仓记录
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if openPos, exists := openPositions[posKey]; exists {
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openPrice := openPos["openPrice"].(float64)
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openTime := openPos["openTime"].(time.Time)
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side := openPos["side"].(string)
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// 计算盈亏
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pnl := 0.0
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pnlPct := 0.0
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if side == "long" {
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pnlPct = ((action.Price - openPrice) / openPrice) * 100
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} else {
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pnlPct = ((openPrice - action.Price) / openPrice) * 100
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}
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pnl = pnlPct // 简化：用百分比代表盈亏
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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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OpenPrice: openPrice,
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ClosePrice: action.Price,
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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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analysis.RecentTrades = append(analysis.RecentTrades, outcome)
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analysis.TotalTrades++
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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 {
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analysis.LosingTrades++
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analysis.AvgLoss += pnl
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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 += pnl
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if pnl > 0 {
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stats.WinningTrades++
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} else {
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stats.LosingTrades++
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}
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// 移除已平仓记录
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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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// 计算统计指标
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if analysis.TotalTrades > 0 {
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analysis.WinRate = (float64(analysis.WinningTrades) / float64(analysis.TotalTrades)) * 100
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if analysis.WinningTrades > 0 {
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analysis.AvgWin /= float64(analysis.WinningTrades)
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}
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if analysis.LosingTrades > 0 {
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analysis.AvgLoss /= float64(analysis.LosingTrades)
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}
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if analysis.AvgLoss != 0 {
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analysis.ProfitFactor = analysis.AvgWin / (-analysis.AvgLoss)
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}
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}
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// 计算各币种胜率和平均盈亏
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bestPnL := -999999.0
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worstPnL := 999999.0
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for symbol, stats := range analysis.SymbolStats {
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if stats.TotalTrades > 0 {
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stats.WinRate = (float64(stats.WinningTrades) / float64(stats.TotalTrades)) * 100
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stats.AvgPnL = stats.TotalPnL / float64(stats.TotalTrades)
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if stats.TotalPnL > bestPnL {
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bestPnL = stats.TotalPnL
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analysis.BestSymbol = symbol
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}
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if stats.TotalPnL < worstPnL {
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worstPnL = stats.TotalPnL
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analysis.WorstSymbol = symbol
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}
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}
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}
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// 只保留最近的交易（倒序：最新的在前）
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if len(analysis.RecentTrades) > 10 {
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// 反转数组，让最新的在前
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for i, j := 0, len(analysis.RecentTrades)-1; i < j; i, j = i+1, j-1 {
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analysis.RecentTrades[i], analysis.RecentTrades[j] = analysis.RecentTrades[j], analysis.RecentTrades[i]
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}
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analysis.RecentTrades = analysis.RecentTrades[:10]
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} else if len(analysis.RecentTrades) > 0 {
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// 反转数组
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for i, j := 0, len(analysis.RecentTrades)-1; i < j; i, j = i+1, j-1 {
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analysis.RecentTrades[i], analysis.RecentTrades[j] = analysis.RecentTrades[j], analysis.RecentTrades[i]
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}
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}
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// 计算夏普比率（需要至少2个数据点）
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analysis.SharpeRatio = l.calculateSharpeRatio(records)
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return analysis, nil
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}
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// calculateSharpeRatio 计算夏普比率
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// 基于账户净值的变化计算风险调整后收益
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func (l *DecisionLogger) calculateSharpeRatio(records []*DecisionRecord) float64 {
|
||
if len(records) < 2 {
|
||
return 0.0
|
||
}
|
||
|
||
// 提取每个周期的账户净值
|
||
var equities []float64
|
||
for _, record := range records {
|
||
equity := record.AccountState.TotalBalance + record.AccountState.TotalUnrealizedProfit
|
||
if equity > 0 {
|
||
equities = append(equities, equity)
|
||
}
|
||
}
|
||
|
||
if len(equities) < 2 {
|
||
return 0.0
|
||
}
|
||
|
||
// 计算周期收益率（period returns）
|
||
var returns []float64
|
||
for i := 1; i < len(equities); i++ {
|
||
if equities[i-1] > 0 {
|
||
periodReturn := (equities[i] - equities[i-1]) / equities[i-1]
|
||
returns = append(returns, periodReturn)
|
||
}
|
||
}
|
||
|
||
if len(returns) == 0 {
|
||
return 0.0
|
||
}
|
||
|
||
// 计算平均收益率
|
||
sumReturns := 0.0
|
||
for _, r := range returns {
|
||
sumReturns += r
|
||
}
|
||
meanReturn := sumReturns / float64(len(returns))
|
||
|
||
// 计算收益率标准差
|
||
sumSquaredDiff := 0.0
|
||
for _, r := range returns {
|
||
diff := r - meanReturn
|
||
sumSquaredDiff += diff * diff
|
||
}
|
||
variance := sumSquaredDiff / float64(len(returns))
|
||
stdDev := 0.0
|
||
if variance > 0 {
|
||
stdDev = 1.0
|
||
// 简单的平方根计算（牛顿迭代法）
|
||
for i := 0; i < 10; i++ {
|
||
stdDev = (stdDev + variance/stdDev) / 2
|
||
}
|
||
}
|
||
|
||
// 避免除以零
|
||
if stdDev == 0 {
|
||
if meanReturn > 0 {
|
||
return 999.0 // 无波动的正收益
|
||
} else if meanReturn < 0 {
|
||
return -999.0 // 无波动的负收益
|
||
}
|
||
return 0.0
|
||
}
|
||
|
||
// 计算夏普比率（假设无风险利率为0）
|
||
// 注：直接返回周期级别的夏普比率（非年化），正常范围 -2 到 +2
|
||
sharpeRatio := meanReturn / stdDev
|
||
return sharpeRatio
|
||
}
|