优化平仓

position_closer.py

@@ -1,8 +1,10 @@
 """
 币安永续合约定时平仓脚本。
 
-平仓触发条件：
+平仓触发条件（满足其一即平仓）：
-- 多空名义价值总和 ≤ 20 USDT 且未实现盈亏 > 0.05。
+- 多空名义价值总和 ≤ 20 USDT 且未实现盈亏 > 0.05；
+- 未实现盈利 > 10 USDT；
+- 未实现亏损 > 3 USDT（即未实现盈亏 < -3）。
 
 流程：
 1. 获取当前持仓，得到需要平仓的交易对；
@@ -30,12 +32,14 @@ SHORT_CLOSE_PRICE_RATIO = Decimal("0.997")
 
 
 def round_to_step(value: Decimal, step: str) -> str:
-    """按 step 精度舍入。"""
+    """按 step 精度舍入。返回普通小数/整数字符串，避免科学计数法（如 5E+1），否则币安 API 会报签名错误。"""
     step_d = Decimal(step)
     if step_d <= 0:
         return str(value)
     q = (value / step_d).quantize(Decimal("1"), rounding="ROUND_DOWN")
-    return str((q * step_d).normalize())
+    result = (q * step_d).normalize()
+    s = f"{result:.10f}".rstrip("0").rstrip(".")
+    return s if s else "0"
 
 
 def round_price_to_tick(price: Decimal, tick_size: str) -> str:
@@ -104,11 +108,20 @@ def should_close_symbol(
     unrealized_profit: float,
     notional_threshold: float = 20,
     min_profit: float = 0.05,
+    min_profit_large: float = 10,
+    max_loss: float = 3,
 ) -> bool:
     """
     是否对该合约执行平仓。
-    条件：多空名义价值总和 ≤ notional_threshold 且 未实现盈亏 > min_profit。
+    条件（满足其一即平仓）：
+    - 多空名义价值总和 ≤ notional_threshold 且 未实现盈亏 > min_profit；
+    - 未实现盈利 > min_profit_large；
+    - 未实现亏损 > max_loss（即 unrealized_profit < -max_loss）。
     """
+    if unrealized_profit < -max_loss:
+        return True
+    if unrealized_profit > min_profit_large:
+        return True
     total_notional = long_notional + short_notional
     return total_notional <= notional_threshold and unrealized_profit > min_profit
 
@@ -117,10 +130,12 @@ def get_symbols_to_close(
     by_symbol: dict[str, list[dict]],
     notional_threshold: float = 20,
     min_profit: float = 0.05,
+    min_profit_large: float = 10,
+    max_loss: float = 3,
 ) -> tuple[set[str], dict[str, list[dict]]]:
     """
     根据持仓得到需要平仓的交易对及其持仓子集。
-    平仓条件：多空名义价值总和 ≤ notional_threshold 且 未实现盈亏 > min_profit。
+    平仓条件：名义≤阈值且盈利>min_profit，或 盈利>min_profit_large，或 亏损>max_loss。
     返回 (symbols_to_close, by_symbol_filtered)。
     """
     symbols_to_close: set[str] = set()
@@ -131,6 +146,8 @@ def get_symbols_to_close(
             long_n, short_n, unrealized_profit,
             notional_threshold=notional_threshold,
             min_profit=min_profit,
+            min_profit_large=min_profit_large,
+            max_loss=max_loss,
         ):
             symbols_to_close.add(symbol)
     by_symbol_filtered = {k: v for k, v in by_symbol.items() if k in symbols_to_close}
@@ -213,8 +230,12 @@ def build_close_order_params(
         "quantity": quantity,
         "price": price_str,
     }
+    # 双向持仓（对冲）模式必须传 positionSide，否则报 -4061
     if side_upper in ("LONG", "SHORT"):
         params["positionSide"] = side_upper
+    elif side_upper == "BOTH":
+        # 单向模式下 API 可能仍返回 BOTH；对冲模式下根据持仓方向推断
+        params["positionSide"] = "LONG" if position_amt > 0 else "SHORT"
     if reduce_only or side_upper == "BOTH":
         params["reduceOnly"] = "true"
     return params
@@ -222,6 +243,57 @@ def build_close_order_params(
 
 # ---------- I/O 与编排 ----------
 
+def _normalize_api_credentials(api_key: str, api_secret: str) -> tuple[str, str]:
+    """去除首尾空白、引号、换行，避免 toml/环境变量带入导致签名错误。"""
+    key = (api_key or "").strip().strip('"').strip("'").replace("\r", "").replace("\n", "")
+    secret = (api_secret or "").strip().strip('"').strip("'").replace("\r", "").replace("\n", "")
+    return key, secret
+
+
+async def create_futures_client(
+    api_key: str,
+    api_secret: str,
+    testnet: bool = False,
+    recv_window: int = 60000,
+    verbose: bool = False,
+    https_proxy: str | None = None,
+):
+    """
+    创建仅使用合约接口初始化的客户端，避免 create() 调用现货 ping/time 导致
+    「仅启用合约」的 API Key 报 Signature for this request is not valid。
+    recv_window: 放宽时间窗（毫秒），本机时间有偏差时可增大，默认 60 秒。
+    """
+    import time
+    from binance import AsyncClient as BinanceAsyncClient
+    from loguru import logger
+
+    key, secret = _normalize_api_credentials(api_key, api_secret)
+    if not key or not secret:
+        raise ValueError("api_key / api_secret 不能为空")
+
+    client = BinanceAsyncClient(
+        api_key=key,
+        api_secret=secret,
+        testnet=testnet,
+        verbose=verbose,
+        https_proxy=https_proxy,
+    )
+    try:
+        await client.futures_ping()
+        res = await client.futures_time()
+        client.timestamp_offset = res["serverTime"] - int(time.time() * 1000)
+        client.REQUEST_RECVWINDOW = recv_window
+        logger.debug(
+            "合约服务器时间差 {} ms，recvWindow={} ms",
+            client.timestamp_offset,
+            recv_window,
+        )
+        return client
+    except Exception:
+        await client.close_connection()
+        raise
+
+
 async def get_symbol_precision(client: BinanceAsyncClient) -> dict[str, dict]:
     """获取合约的 quantity/price 精度。"""
     info = await client.futures_exchange_info()
@@ -372,14 +444,18 @@ async def main_async() -> None:
 
     from config import settings
 
-    api_key = (getattr(settings, "binance_api_key", None) or "").strip()
+    api_key = getattr(settings, "binance_api_key", None) or ""
-    api_secret = (getattr(settings, "binance_api_secret", None) or "").strip()
+    api_secret = getattr(settings, "binance_api_secret", None) or ""
-    if not api_key or not api_secret:
+    if not (api_key and api_secret):
         logger.error("请在 .secrets.toml 或环境变量中设置 binance_api_key / binance_api_secret")
         return
 
     import os
 
+    recv_window = int(getattr(settings, "binance_recv_window", None) or 60000)
+    verbose = bool(getattr(settings, "binance_verbose", None) or os.environ.get("BINANCE_VERBOSE", ""))
+    https_proxy = (getattr(settings, "https_proxy", None) or os.environ.get("https_proxy") or os.environ.get("HTTPS_PROXY")) or None
+
     env_dry = os.environ.get("DRY_RUN", "").strip().lower()
     if env_dry in ("0", "false", "no"):
         dry_run = False
@@ -394,11 +470,18 @@ async def main_async() -> None:
     testnet = "testnet" in str(base_url).lower()
     notional_threshold = float(getattr(settings, "notional_close_threshold", None) or 20)
     min_profit = float(getattr(settings, "close_min_profit", None) or 0.05)
+    min_profit_large = float(getattr(settings, "close_min_profit_large", None) or 10)
+    max_loss = float(getattr(settings, "close_max_loss", None) or 3)
     ws_connection_timeout = float(getattr(settings, "ws_connection_timeout", None) or 30)
 
-    client = await BinanceAsyncClient.create(
+    # 使用合约接口初始化；recv_window 放宽时间窗，本机时间有偏差时可减少签名错误
+    client = await create_futures_client(
         api_key=api_key,
-        api_secret=api_secret
+        api_secret=api_secret,
+        testnet=testnet,
+        recv_window=recv_window,
+        verbose=verbose,
+        https_proxy=https_proxy,
     )
     try:
         positions = await get_positions(client)
@@ -422,6 +505,8 @@ async def main_async() -> None:
             by_symbol,
             notional_threshold=notional_threshold,
             min_profit=min_profit,
+            min_profit_large=min_profit_large,
+            max_loss=max_loss,
         )
         for symbol, sym_positions in by_symbol_filtered.items():
             long_n, short_n = get_notional_by_side(sym_positions)