mike
657dc41c46
- OKX交易自动化 (okx-auto-position, okx-crypto, okx-exchange) - 交易信号处理 (signal-confirmation-templates, trading-signal-aggregator) - 量化因子挖掘 (quant-factor-mining) - 长桥集成 (longbridge-cli, longbridge-python-sdk) - 六合彩分析 (lottery-hk) - 股息投资 (dividend-investing, dividend-scanner) - 日内交易 (intraday-trading) - 同花顺 (tonghuashun)
129 lines
4.5 KiB
Markdown
129 lines
4.5 KiB
Markdown
# VWAP + Multi-Indicator T-Trading Panel
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做T (T-trading) = buying/selling around an existing position to lower cost basis via intraday swings.
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Best for high-volatility stocks with 10%+ daily ranges (e.g. quantum stocks, biotech, meme stocks).
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## Indicator Stack for T-Trading
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| Indicator | What it tells you | T-trading signal |
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|-----------|-------------------|------------------|
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| **VWAP** | Intraday volume-weighted avg price (the "fair value" today) | Price > VWAP = sell zone; < VWAP = buy zone |
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| **RSI(14)** | Overbought/oversold momentum | >70 = overbought (sell); <30 = oversold (buy) |
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| **Bollinger(20,2)** | Volatility channel | Touch upper band = sell; touch lower band = buy |
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| **ATR(14)** | Average True Range — how much it swings per period | Higher ATR = better for T-trading |
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| **Volume ratio** | Current vol vs average | >1.5x = confirming move; <0.5x = weak/noisy |
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## VWAP Calculation (from 30-min candles)
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```python
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def calc_vwap(candles):
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"""Volume-Weighted Average Price"""
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cum_pv, cum_vol = 0, 0
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for c in candles:
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typical = (float(c.high) + float(c.low) + float(c.close)) / 3
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vol = float(c.volume)
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cum_pv += typical * vol
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cum_vol += vol
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return cum_pv / cum_vol if cum_vol else 0
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```
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⚠️ VWAP resets each trading day. Use intraday candles (5min, 30min), NOT daily candles.
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## RSI Calculation
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```python
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def calc_rsi(candles, period=14):
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closes = [float(c.close) for c in candles]
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if len(closes) < period + 1:
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return None
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gains, losses = [], []
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for i in range(1, len(closes)):
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diff = closes[i] - closes[i-1]
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gains.append(max(diff, 0))
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losses.append(max(-diff, 0))
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avg_gain = sum(gains[-period:]) / period
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avg_loss = sum(losses[-period:]) / period
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if avg_loss == 0:
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return 100
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rs = avg_gain / avg_loss
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return 100 - (100 / (1 + rs))
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```
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## Bollinger Bands
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```python
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def calc_bollinger(candles, period=20, std_mult=2):
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closes = [float(c.close) for c in candles]
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data = closes[-period:]
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mid = sum(data) / period
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std = (sum((x - mid)**2 for x in data) / period) ** 0.5
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return mid + std_mult * std, mid, mid - std_mult * std # upper, mid, lower
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```
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## Composite Scoring System
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Combine all indicators into a single score for clear buy/sell signals:
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```python
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score = 0 # Range: -100 (strong buy) to +100 (strong sell)
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# VWAP
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if price > vwap: score += 20 # above VWAP = sell bias
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else: score -= 20 # below VWAP = buy bias
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# RSI (30-min timeframe preferred for T-trading)
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if rsi_30m > 70: score += 25 # overbought
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elif rsi_30m < 30: score -= 25 # oversold
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# Bollinger position
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boll_pct = (price - boll_low) / (boll_up - boll_low)
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if boll_pct > 0.8: score += 20 # near upper band
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elif boll_pct < 0.2: score -= 20 # near lower band
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# Volume confirmation
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if vol_ratio > 1.5: score += 10 # volume confirms move
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# Decision
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if score > 30: action = "SELL (reverse T)"
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elif score < -30: action = "BUY (forward T)"
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else: action = "WAIT"
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```
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## T-Trading Execution Modes
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### Manual (Alerts Only)
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- Cron monitors price every 10-15 min during market hours
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- Notifies user when price hits key levels
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- User manually places order
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### Semi-Automatic (Recommended for retail)
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- Cron monitors price + calculates indicator score
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- Auto-submits limit orders when score hits threshold
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- Notifies user of every order placed
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- Auto-cancels stale orders when price moves away
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### Script Architecture
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```
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~/.hermes/scripts/
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├── rgti_t_panel.py # Manual: run on-demand for indicator dashboard
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├── rgti_alert.py # Alerts only: cron job, silent when no signal
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└── rgti_auto_monitor.py # Semi-auto: cron + auto-place orders + notify
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```
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## Cron Setup (US Market Hours)
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```
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# Every 10 min during 9:00-15:59 ET (Mon-Fri)
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*/10 9-15 * * 1-5
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# Every 15 min (less aggressive)
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*/15 9-15 * * 1-5
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```
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## Key Pitfalls
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- **VWAP needs intraday candles**: Daily VWAP is meaningless. Use 5min or 30min candles.
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- **RSI on 5min is noisy**: Use 30min RSI for T-trading decisions, 5min only for entry timing.
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- **Don't T-trade low-volume stocks**: Need volume >1M daily for reliable fills.
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- **GTC + OutsideRTH for auto-orders**: Use `GoodTilCanceled` + `OutsideRTH.AnyTime` so orders work pre-market, regular hours, and after-hours.
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- **Position availability**: `available_quantity` (settled, sellable) ≠ `quantity` (total incl unsettled). Check before selling.
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- **5-min cooldown between orders**: Prevent rapid-fire order spam; state file tracks last action time.
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