258 lines
9.4 KiB
Python
258 lines
9.4 KiB
Python
---
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name: us-scan
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description: "美股日内做T点位扫描 — 拉候选池 top 5 + 实时 quote + 5min K, 算 SL/TP1/TP2 推 QQ (不交易, 仅参考)"
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---
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"""
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美股日内做T点位扫描 (cron 模板)
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- 拉候选池 top 5 (artifact us_intraday_latest.json)
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- 拉实时 quote + 5min K 线 (JSON 输出)
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- 算 SL/TP1/TP2 用 calc_exit_levels()
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- 三级输出: ✅ R:R≥1.5 / ⚠️ R:R 1.0 / ❌ 否决
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- 推 QQ (origin delivery)
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用法:
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python3 calc_us_levels.py # 跑 (cron 默认)
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python3 calc_us_levels.py --top 3 # 只看 top 3
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python3 calc_us_levels.py --period 60m # 用 60min K
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"""
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import argparse
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import json
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import os
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import subprocess
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import sys
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from pathlib import Path
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sys.path.insert(0, str(Path(__file__).parent))
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from exit_levels import calc_exit_levels
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from indicators import atr as calc_atr, vwap as calc_vwap
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# === 常量 ===
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HERMES_HOME = '/home/openclaw'
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CANDIDATE_FILE = f'{HERMES_HOME}/.hermes/skills/trading/quant-factor-mining/artifacts/us_intraday_latest.json'
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PROXYCHAINS = ['proxychains4', '-f', f'{HERMES_HOME}/.proxychains/proxychains.conf']
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LONGBRIDGE = ['/home/openclaw/.local/bin/longbridge', '--profile', 'lb_real']
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# === 长桥数据拉取 (美股版) ===
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def fetch_quote(symbol: str) -> dict:
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"""美股 quote, JSON"""
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result = subprocess.run(
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PROXYCHAINS + LONGBRIDGE + ['quote', symbol, '--json'],
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capture_output=True, text=True, timeout=30,
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)
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start = result.stdout.find('[')
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if start == -1:
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return {}
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try:
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return json.loads(result.stdout[start:])[0]
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except Exception:
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return {}
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def fetch_klines_us(symbol: str, period: str = '5m', count: int = 30) -> list:
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"""
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美股 K 线 (JSON, 7 列含 turnover)
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- 支持 --json
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- stdout 拼接表格提示 + JSON → find('[') 切
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- 时间格式: '2026-07-16T03:55:00' (T 分隔)
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- 数字无千分位
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"""
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result = subprocess.run(
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PROXYCHAINS + LONGBRIDGE + ['candlesticks', symbol, period, '--count', str(count), '--json'],
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capture_output=True, text=True, timeout=30,
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)
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# 长桥把表格提示 (USOption/HK) + JSON 拼一起
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start = result.stdout.find('[')
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if start == -1:
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return []
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try:
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data = json.loads(result.stdout[start:])
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return [k for k in data if 'timestamp' in k and 'close' in k]
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except Exception:
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return []
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# === 业务逻辑 (与 calc_hk_levels.py 完全一致, 只是 klines 函数不同) ===
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def calc_levels(symbol: str, klines: list, quote: dict, side: str, min_rr: float,
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strategy: str = 'rsi2_revert'):
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"""
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strategy: 'rsi2_revert' | 'vwap_revert' | 'early_bird' | 'turtle_breakout'
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每个策略用不同的 vol_multi 参数组
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"""
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if not klines or not quote:
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return None, '数据缺失'
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closes = [k['close'] for k in klines]
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highs = [k['high'] for k in klines]
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lows = [k['low'] for k in klines]
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volumes = [k.get('volume', 0) for k in klines]
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atr_vals = calc_atr(highs, lows, closes, 14)
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current_atr = atr_vals[-1]
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if not current_atr:
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return None, 'ATR 失败'
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vwaps = calc_vwap(closes, volumes)
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current_vwap = vwaps[-1]
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current_price = quote['last_done']
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# ── 策略参数映射 ──
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if strategy == 'turtle_breakout':
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# 海龟: SL=2ATR, TP1=4ATR(1R), TP2=8ATR(2R), 更宽松 min_rr=1.0
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vol_sl_multi = 2.0
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vol_tp1_multi = 4.0
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vol_tp2_multi = 8.0
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eff_min_rr = min(min_rr, 1.0)
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use_vwap = False # 海龟不看 VWAP
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elif strategy == 'vwap_revert':
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# VWAP 回归: SL=1σ, TP1=VWAP±0.05%, TP2=2ATR
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vol_sl_multi = 1.0
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vol_tp1_multi = 2.0
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vol_tp2_multi = 3.0
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eff_min_rr = max(min_rr, 1.5)
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use_vwap = True
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elif strategy == 'early_bird':
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# 开盘缺口: SL=1.5ATR, TP1=2ATR, TP2=3ATR
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vol_sl_multi = 1.5
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vol_tp1_multi = 2.0
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vol_tp2_multi = 3.0
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eff_min_rr = min_rr
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use_vwap = False
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else:
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# rsi2_revert (默认): SL=1.5, TP1=2.0, TP2=3.0
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vol_sl_multi = 1.5
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vol_tp1_multi = 2.0
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vol_tp2_multi = 3.0
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eff_min_rr = min_rr
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use_vwap = True
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eff_vwap = current_vwap if use_vwap else None
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return calc_exit_levels(
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entry=current_price, atr=current_atr, current_price=current_price,
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day_high=quote['high'], day_low=quote['low'],
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prev_high=max(highs), prev_low=min(lows),
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vwap=eff_vwap, side=side, min_rr=eff_min_rr,
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vol_sl_multi=vol_sl_multi, vol_tp1_multi=vol_tp1_multi, vol_tp2_multi=vol_tp2_multi,
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), strategy
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def format_qq_output(levels, change, current_price, side, symbol, score, adr, mode):
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if mode == 'strict':
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return (
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f"\n📈 **{symbol}** (score {score}, ADR {adr}%)\n"
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f"现价 ${current_price:.2f} ({change:+.2f}%) | {side.upper()}\n"
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f"SL ${levels.sl:.2f} ({levels.sl_method})\n"
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f"TP1 ${levels.tp1:.2f} ({levels.tp_method})\n"
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f"TP2 ${levels.tp2:.2f}\n"
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f"R:R 1:{levels.rr_ratio:.2f} ✅"
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)
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elif mode == 'relaxed':
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return (
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f"\n📈 **{symbol}** (score {score}, ADR {adr}%)\n"
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f"现价 ${current_price:.2f} ({change:+.2f}%) | {side.upper()} [R:R 1.0 宽松]\n"
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f"SL ${levels.sl:.2f}\n"
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f"TP1 ${levels.tp1:.2f}\n"
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f"TP2 ${levels.tp2:.2f}\n"
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f"R:R 1:{levels.rr_ratio:.2f} ⚠️"
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)
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else:
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return (
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f"\n📈 **{symbol}** (score {score}, ADR {adr}%)\n"
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f"现价 ${current_price:.2f} ({change:+.2f}%) | {side.upper()} [ATR 调整]\n"
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f"SL ${levels.sl:.2f}\n"
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f"TP1 ${levels.tp1:.2f}\n"
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f"TP2 ${levels.tp2:.2f}\n"
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f"R:R 1:{levels.rr_ratio:.2f} ⚠️"
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)
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def main():
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ap = argparse.ArgumentParser()
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ap.add_argument('--top', type=int, default=5)
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ap.add_argument('--period', default='5m')
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ap.add_argument('--strategy', default='rsi2_revert',
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choices=['rsi2_revert', 'vwap_revert', 'early_bird', 'turtle_breakout'],
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help='策略 (default rsi2_revert)')
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args = ap.parse_args()
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if not os.path.exists(CANDIDATE_FILE):
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print(f"[skip] 候选池不存在: {CANDIDATE_FILE}")
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return
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with open(CANDIDATE_FILE) as f:
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candidate_data = json.load(f)
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top = candidate_data.get('results', [])[:args.top]
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date = candidate_data.get('date', '?')[:10]
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print(f"📊 美股日内做T点位扫描 (候选池 {date}, top {args.top})")
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print(f"📋 共扫描 {len(top)} 支\n")
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output_lines = []
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for entry in top:
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symbol = entry['ticker']
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score = entry['score']
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avg_adr = entry['avg_adr']
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print(f"--- {symbol} (score {score}, ADR {avg_adr}%) ---")
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quote = fetch_quote(symbol)
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if not quote:
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print(f" ❌ quote 拉取失败")
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continue
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klines = fetch_klines_us(symbol, args.period, 30)
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if not klines:
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print(f" ❌ K线 拉取失败")
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continue
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current_price = quote['last_done']
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change = (current_price - quote['prev_close']) / quote['prev_close'] * 100
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print(f" 现价: ${current_price:.2f} ({change:+.2f}%)")
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side = 'long' if change > 0 else 'short'
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levels, _ = calc_levels(symbol, klines, quote, side, min_rr=1.5, strategy=args.strategy)
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if levels:
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print(f" ✅ R:R 1.5 [{args.strategy}] → SL=${levels.sl:.2f} TP1=${levels.tp1:.2f} TP2=${levels.tp2:.2f} R:R=1:{levels.rr_ratio:.2f}")
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output_lines.append(format_qq_output(levels, change, current_price, side, symbol, score, avg_adr, 'strict'))
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else:
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levels_relaxed, _ = calc_levels(symbol, klines, quote, side, min_rr=1.0, strategy=args.strategy)
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if levels_relaxed:
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print(f" ⚠️ R:R 1.5 否决, 1.0 通过 → R:R=1:{levels_relaxed.rr_ratio:.2f}")
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output_lines.append(format_qq_output(levels_relaxed, change, current_price, side, symbol, score, avg_adr, 'relaxed'))
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else:
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# ATR 调整
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closes = [k['close'] for k in klines]
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highs = [k['high'] for k in klines]
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lows = [k['low'] for k in klines]
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volumes = [k.get('volume', 0) for k in klines]
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atr_v = calc_atr(highs, lows, closes, 14)[-1]
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vwaps = calc_vwap(closes, volumes)
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levels_alt = calc_exit_levels(
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entry=current_price, atr=atr_v, current_price=current_price,
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day_high=quote['high'], day_low=quote['low'],
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prev_high=max(highs), prev_low=min(lows),
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vwap=vwaps[-1], side=side, min_rr=1.5,
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vol_sl_multi=1.5, vol_tp1_multi=3.0,
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)
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if levels_alt:
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print(f" ⚠️ ATR 调整 → R:R=1:{levels_alt.rr_ratio:.2f}")
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output_lines.append(format_qq_output(levels_alt, change, current_price, side, symbol, score, avg_adr, 'atr_adj'))
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else:
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print(f" ❌ 全部场景否决")
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print()
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if output_lines:
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header = f"📊 美股日内做T点位 ({date})\n⚠️ 仅参考, 不交易\n"
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print("\n=== QQ 推送内容 ===")
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print(header + "\n---\n".join(output_lines))
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else:
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print("\n💤 全部场景否决, 无输出")
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if __name__ == '__main__':
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main()
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