118 lines
3.9 KiB
Markdown
118 lines
3.9 KiB
Markdown
# OKX process_signal.py 杠杆丢失 Bug - 实战复现
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**Captured**: 2026-07-13
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**Skill version**: okx-auto-position v4.5.2+
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**Severity**: Critical (风险放大 2-5 倍,爆仓概率翻倍)
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## Symptom
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`process_signal.py` 收到的信号里 `leverage` 字段(如 2x / 5x),advisor.execute 实际下单时**始终是 10x**——process_signal.py 把信号的 leverage 字段丢了,直接传默认值 10 给 advisor。
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## Confirmed Cases (3 次)
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### Case 1: 风寻 SKHY short (2026-07-08)
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- 信号: 528.16 SKHY short @5x @161.90, +1.68% PnL
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- 实际 execute: SKHY short 2.89张 @**10x** @avgPx 161.01
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- 强平价: 192.86 (vs 信号 5x 应该 ~165,实际 10x 推到 192)
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- 浮盈: +$1.88 (跟单成功,但杠杆翻倍 = 风险翻倍)
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### Case 2: 风寻 SKHY short (2026-07-13)
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- 信号: 3973.30 SKHY short @**2x** @157.30, +0.64% PnL
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- 实际 execute: SKHY short 3.18张 @**10x** @avgPx 157.02
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- 强平价: 187.95 (信号 2x 应该 ~157+(157/2)*0.01 = 157.78,实际 10x 推到 188)
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- 浮盈: +$1.88
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### Case 3: 熬鹰 MU short (2026-07-13)
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- 信号: 664.37 MU short @**2x** @937.62, -0.01% PnL
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- 实际 execute: MU short 0.52张 @**10x** @avgPx 940.40
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- 强平价: 1136.92 (信号 2x 应该 ~940+(940/2)*0.01 = 944.70,实际 10x 推到 1137)
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- 浮亏: -$0.28
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## 规律
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- 信号 5x → 实际 10x (2 倍)
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- 信号 2x → 实际 10x (5 倍)
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- **execute 一律用默认值 10x,从不读信号里的 leverage**
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## Root Cause (推测)
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`process_signal.py` 调用 advisor 时,`leverage` 字段可能是:
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1. 没传 → advisor 默认 10
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2. 传了但被覆盖成 str(10)
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3. parse_signal 的 leverage 字段解析错误(数字 + 'x' 后缀没去掉)
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## Agent 侧强制校验流程
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```python
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import json, time, hmac, hashlib, base64, requests
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def okx_get(p, params=None, t=15):
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# ... 标准 raw REST GET 签名 ...
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pass
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# 1. execute 之后立即反查
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signal_leverage = 5 # 信号原文
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pos = okx_get('/api/v5/account/positions', {'instId': 'SKHY-USDT-SWAP'})
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for p in pos.get('data', []):
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actual_leverage = int(p.get('lever', 10))
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if actual_leverage != signal_leverage:
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# 杠杆不对!manual close + 重开
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# 1. close current position
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close_body = {
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'instId': 'SKHY-USDT-SWAP',
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'tdMode': 'cross',
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'side': 'buy' if float(p['pos']) < 0 else 'sell',
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'posSide': 'net',
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'ordType': 'market',
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'sz': str(abs(float(p['pos']))),
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'reduceOnly': True,
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}
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okx_post('/api/v5/trade/order', close_body)
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# 2. reopen with correct leverage
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open_body = {
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'instId': 'SKHY-USDT-SWAP',
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'tdMode': 'cross',
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'side': 'sell' if signal_side == 'short' else 'buy',
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'posSide': 'net',
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'ordType': 'market',
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'sz': str(contracts),
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'lever': str(signal_leverage), # 显式传 leverage
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}
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okx_post('/api/v5/trade/order', open_body)
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```
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## 永久修复 (待改 process_signal.py)
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```python
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# process_signal.py parse_signal() 函数
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def parse_signal(text):
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# ...
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lev_match = re.search(r'【杠杆】\s*[:：]?\s*(\d+)\s*[xX]', text)
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if lev_match:
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fields['leverage'] = int(lev_match.group(1))
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# 验证范围
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if not 1 <= fields['leverage'] <= 50:
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fields['leverage'] = 10 # fallback
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return fields
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# 然后调 advisor 时:
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cmd = ['python3', 'okx_position_advisor.py', '--symbol', symbol,
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'--side', side, '--leverage', str(fields['leverage'])] # 不用默认 10
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```
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## 已知受害币种
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- SKHY (2 次)
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- MU (1 次)
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- 任何信号标 2x / 5x 的小币种永续合约都需校验
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## 实战价值
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- 5x → 10x:风险 2 倍,强平价远 50%
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- 2x → 10x:风险 5 倍,强平价远 100%+
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- 10x 杠杆下,1% 价格波动 = 10% 保证金波动,极容易爆
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## 相关 SKILL.md 章节
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- "v4.5.2 process_signal 杠杆丢失 bug" - 主入口
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- "v4.5.0 平仓信号自动跟单" - 检测时需查 lever 字段 |