添加平仓条件

position_closer.py

@@ -1,15 +1,18 @@
 """
 币安永续合约定时平仓脚本。
 
+平仓前置条件（不满足则直接退出，不执行平仓）：
+- 当前总未实现盈亏 - 近 N 分钟最小总未实现盈亏 > 配置阈值（默认 2 USDT）；未实现盈亏历史存 Redis Sorted Set。
+
 平仓触发条件（满足其一即平仓）：
 - 在 Redis 指定 Set 中的合约强制平仓；
 - 小仓位：多空名义价值总和 < 30 USDT 且未实现盈亏 > 0.03；
 - 大仓位：多空名义价值总和 > 50 USDT 且未实现盈亏 > 0.3。
 
 流程：
-1. 获取当前持仓；
+1. 获取当前总未实现盈亏，写入 Redis 并取近 N 分钟最小；若不满足「当前 - 最小 > 阈值」则退出；
-2. 得到需要平仓的交易对；
+2. 获取当前持仓，得到需要平仓的交易对；
-3. 创建 BinanceSocketManager，监听需要平仓的合约交易对，收到 WS 事件后按规则创建平仓订单。
+3. 创建 BinanceSocketManager，监听需平仓合约，收到 WS 事件后按规则创建平仓订单。
 平仓规则：多头限价卖出 = 当前价 * 1.003，空头限价买入 = 当前价 * 0.997。
 
 纯逻辑为顶层函数，便于单元测试（from position_closer import round_to_step, ...）；
@@ -246,6 +249,16 @@ async def get_symbol_precision(client: BinanceAsyncClient) -> dict[str, dict]:
     return parse_exchange_info_to_precisions(info)
 
 
+async def get_total_unrealized_profit(client: BinanceAsyncClient) -> float:
+    """获取账户永续合约总未实现盈亏（所有持仓的 unrealizedProfit 之和）。"""
+    account = await client.futures_account()
+    positions = account.get("positions", [])
+    total = 0.0
+    for p in positions:
+        total += float(p.get("unrealizedProfit", 0) or 0)
+    return total
+
+
 async def get_positions(client: BinanceAsyncClient) -> list[dict]:
     """获取永续合约持仓（只保留有仓位的）。"""
     account = await client.futures_account()
@@ -253,6 +266,65 @@ async def get_positions(client: BinanceAsyncClient) -> list[dict]:
     return filter_nonzero_positions(positions)
 
 
+async def save_unrealized_profit_history(
+    redis_url: str,
+    history_key: str,
+    profit: float,
+    window_seconds: float,
+) -> None:
+    """
+    将当前总未实现盈亏写入 Redis Sorted Set（score=时间戳, member=时间戳:盈亏值），
+    并删除早于 (now - window_seconds) 的旧数据。
+    """
+    import time
+    from redis.asyncio import Redis as Aioredis
+
+    now = time.time()
+    member = f"{now}:{profit}"
+    redis_client = Aioredis.from_url(redis_url, decode_responses=True)
+    try:
+        await redis_client.zadd(history_key, {member: now})
+        await redis_client.zremrangebyscore(history_key, "-inf", f"({now - window_seconds}")
+    finally:
+        await redis_client.aclose()
+
+
+async def get_min_unrealized_profit_in_window(
+    redis_url: str,
+    history_key: str,
+    window_seconds: float,
+) -> float | None:
+    """
+    从 Redis Sorted Set 中取近 window_seconds 秒内记录的最小未实现盈亏。
+    无数据或解析失败时返回 None。
+    """
+    import time
+    from redis.asyncio import Redis as Aioredis
+
+    now = time.time()
+    min_score = now - window_seconds
+    redis_client = Aioredis.from_url(redis_url, decode_responses=True)
+    try:
+        members = await redis_client.zrangebyscore(
+            history_key, min_score, now, start=0, num=-1
+        )
+    finally:
+        await redis_client.aclose()
+
+    if not members:
+        return None
+    values: list[float] = []
+    for m in members:
+        # member 格式为 "timestamp:profit"
+        parts = str(m).split(":", 1)
+        if len(parts) == 2:
+            try:
+                values.append(float(parts[1]))
+            except ValueError:
+                continue
+    return min(values) if values else None
+
+
 async def place_close_order(
     client: BinanceAsyncClient,
     symbol: str,
@@ -431,12 +503,55 @@ async def main_async() -> None:
     large_min_profit = float(getattr(settings, "notional_large_close_min_profit", None) or 0.3)
     redis_key = getattr(settings, "redis_close_key", None) or "close_position:contracts"
     ws_connection_timeout = float(getattr(settings, "ws_connection_timeout", None) or 30)
+    redis_profit_history_key = (
+        getattr(settings, "redis_unrealized_profit_history_key", None)
+        or "close_position:unrealized_profit_history"
+    )
+    profit_window_seconds = float(
+        getattr(settings, "unrealized_profit_window_seconds", None) or 300
+    )
+    profit_min_rise = float(
+        getattr(settings, "unrealized_profit_min_rise", None) or 2
+    )
 
     client = await BinanceAsyncClient.create(
         api_key=api_key,
         api_secret=api_secret
     )
     try:
+        total_profit = await get_total_unrealized_profit(client)
+        await save_unrealized_profit_history(
+            redis_url, redis_profit_history_key, total_profit, profit_window_seconds
+        )
+        min_profit = await get_min_unrealized_profit_in_window(
+            redis_url, redis_profit_history_key, profit_window_seconds
+        )
+        if min_profit is None:
+            logger.info(
+                "近 {} 秒内无未实现盈亏历史，本次不执行平仓（已记录当前总未实现盈亏 {:.2f}）",
+                profit_window_seconds,
+                total_profit,
+            )
+            return
+        if total_profit - min_profit <= profit_min_rise:
+            logger.info(
+                "未满足平仓前置条件：当前总未实现盈亏 {:.2f} - 近 {} 秒最小 {:.2f} = {:.2f} <= {}，退出",
+                total_profit,
+                profit_window_seconds,
+                min_profit,
+                total_profit - min_profit,
+                profit_min_rise,
+            )
+            return
+        logger.info(
+            "满足平仓前置条件：当前总未实现盈亏 {:.2f}，近 {} 秒最小 {:.2f}，差值 {:.2f} > {}",
+            total_profit,
+            profit_window_seconds,
+            min_profit,
+            total_profit - min_profit,
+            profit_min_rise,
+        )
+
         positions = await get_positions(client)
         by_symbol = group_positions_by_symbol(positions)