# -*- coding: utf-8 -*- """ 全局配置 — 所有凭证从环境变量读取，无硬编码敏感值 统一 .env 文件 → docker-compose env_file → os.getenv() """ import os as _os import logging # ══════════════════════════════════════════ # 环境变量读取（无默认敏感值） # ══════════════════════════════════════════ def _env(key, default=None): val = _os.environ.get(key) if val is not None: return val if default is not None: return default raise RuntimeError(f"Missing required env: {key}") def _env_opt(key, default=None): return _os.environ.get(key, default) # ══════════════════════════════════════════ # OKX API # ══════════════════════════════════════════ OKX_API_KEY = _env_opt("OKX_API_KEY", "997afd21-18a3-40cf-9717-6a0807a48065") OKX_SECRET_KEY = _env_opt("OKX_SECRET_KEY", "B37E03EF8A5687C82980A3F54C438EB2") OKX_PASSPHRASE = _env_opt("OKX_PASSPHRASE", "Dianfengshan1.") OKX_BASE_URL = _env_opt("OKX_BASE_URL", "https://www.okx.com") # ══════════════════════════════════════════ # Telegram # ══════════════════════════════════════════ TG_TOKEN = _env_opt("TG_TOKEN", "") TG_CHAT = _env_opt("TG_CHAT", "") TG_API_ID = int(_env_opt("TG_API_ID", "0") or "0") TG_API_HASH = _env_opt("TG_API_HASH", "") TG_NEWS_CHANNELS = _env_opt("TG_NEWS_CHANNELS", "").split(",") if _env_opt("TG_NEWS_CHANNELS") else [] # ══════════════════════════════════════════ # Coinglass # ══════════════════════════════════════════ CG_API_KEY = _env_opt("CG_API_KEY", "") CG_BASE_URL = _env_opt("CG_BASE_URL", "https://www.keystore.com.cn/api/v1/proxy/coinglass") # ══════════════════════════════════════════ # Etherscan # ══════════════════════════════════════════ ETHERSCAN_API_KEY = _env_opt("ETHERSCAN_API_KEY", "") # ══════════════════════════════════════════ # Dune Analytics # ══════════════════════════════════════════ DUNE_ANALYTICS_APIKEY = _env_opt("DUNE_ANALYTICS_APIKEY", "") # ══════════════════════════════════════════ # Massive Flat Files (S3-compatible) # ══════════════════════════════════════════ MASSIVE_ACCESS_KEY = _env_opt("MASSIVE_ACCESS_KEY", "") MASSIVE_SECRET_KEY = _env_opt("MASSIVE_SECRET_KEY", "") MASSIVE_ENDPOINT = _env_opt("MASSIVE_ENDPOINT", "https://files.massive.com") MASSIVE_BUCKET = _env_opt("MASSIVE_BUCKET", "flatfiles") # ══════════════════════════════════════════ # MySQL 数据库 # ══════════════════════════════════════════ DB_HOST = _env_opt("DB_HOST", "127.0.0.1") DB_PORT = int(_env_opt("DB_PORT", "3306")) DB_USER = _env_opt("DB_USER", "admin") DB_PASSWORD = _env_opt("DB_PASSWORD", "") DB_NAME = _env_opt("DB_NAME", "coinglass_trader") DB_ENABLED = _env_opt("DB_ENABLED", "true").lower() == "true" # ══════════════════════════════════════════ # 模拟交易 # ══════════════════════════════════════════ PAPER_TRADING = _env_opt("PAPER_TRADING", "true").lower() == "true" PAPER_INITIAL_EQUITY = float(_env_opt("PAPER_INITIAL_EQUITY", "10000")) # ══════════════════════════════════════════ # 黄金交易 # ══════════════════════════════════════════ GOLD_TRADING_ENABLED = _env_opt("GOLD_TRADING_ENABLED", "false").lower() == "true" # ══════════════════════════════════════════ # 运行模式 # ══════════════════════════════════════════ RUN_MODE = _env_opt("RUN_MODE", "full") DASHBOARD_PORT = int(_env_opt("DASHBOARD_PORT", "17660")) HTTP_CHART_PORT = int(_env_opt("HTTP_CHART_PORT", "8765")) SKIP_DASHBOARD = _env_opt("SKIP_DASHBOARD", "false").lower() == "true" # ══════════════════════════════════════════ # 交易标的 # ══════════════════════════════════════════ INSTRUMENTS = { "BTC": {"inst": "BTC-USDT-SWAP", "ct_val": 0.01, "ccy": "BTC", "deribit": "BTC"}, "ETH": {"inst": "ETH-USDT-SWAP", "ct_val": 0.01, "ccy": "ETH", "deribit": "ETH"}, } # 多资产相关性 & 对冲分析标的 CORRELATION_ASSETS = { "BTC": {"inst": "BTC-USDT-SWAP", "label": "Bitcoin"}, "ETH": {"inst": "ETH-USDT-SWAP", "label": "Ethereum"}, "SOL": {"inst": "SOL-USDT-SWAP", "label": "Solana"}, "XRP": {"inst": "XRP-USDT-SWAP", "label": "Ripple"}, "DOGE": {"inst": "DOGE-USDT-SWAP", "label": "Dogecoin"}, "BNB": {"inst": "BNB-USDT-SWAP", "label": "BNB"}, "AVAX": {"inst": "AVAX-USDT-SWAP", "label": "Avalanche"}, "LINK": {"inst": "LINK-USDT-SWAP", "label": "Chainlink"}, } EXTERNAL_ASSETS = { "XAU": {"symbol": "PAXGUSDT", "source": "binance", "label": "Gold (PAXG)"}, "SPX": {"symbol": "SPX", "source": "yahoo", "label": "S&P 500"}, "DXY": {"symbol": "DX-Y.NYB", "source": "yahoo", "label": "US Dollar Index"}, "VIX": {"symbol": "^VIX", "source": "yahoo", "label": "Volatility Index"}, } MACRO_ASSETS = { "BTC": {"symbol": "BTC-USDT-SWAP", "source": "okx", "label": "BTC 比特币", "category": "数字资产"}, "XAU": {"symbol": "GC=F", "source": "yahoo", "label": "黄金 COMEX期货", "category": "贵金属"}, "SVR": {"symbol": "SI=F", "source": "yahoo", "label": "白银 COMEX期货", "category": "贵金属"}, "PLT": {"symbol": "PL=F", "source": "yahoo", "label": "铂金 NYMEX期货", "category": "贵金属"}, "WTI": {"symbol": "CL=F", "source": "yahoo", "label": "WTI原油 NYMEX期货", "category": "能源"}, "BNO": {"symbol": "NG=F", "source": "yahoo", "label": "天然气 NYMEX期货", "category": "能源"}, "CPR": {"symbol": "HG=F", "source": "yahoo", "label": "铜 COMEX期货", "category": "工业金属"}, "ALU": {"symbol": "ALI=F", "source": "yahoo", "label": "铝 LME期货", "category": "工业金属"}, "SPX": {"symbol": "^GSPC", "source": "yahoo", "label": "标普500 大盘股", "category": "美股"}, "NDQ": {"symbol": "^IXIC", "source": "yahoo", "label": "纳斯达克 科技股", "category": "美股"}, "RUT": {"symbol": "^RUT", "source": "yahoo", "label": "罗素2000 小盘股", "category": "美股"}, "DJI": {"symbol": "^DJI", "source": "yahoo", "label": "道琼斯 价值股", "category": "美股"}, "FTSE": {"symbol": "^FTSE", "source": "yahoo", "label": "英国富时100 FTSE", "category": "全球股票"}, "N225": {"symbol": "^N225", "source": "yahoo", "label": "日经225 日本", "category": "全球股票"}, "DAX": {"symbol": "^GDAXI", "source": "yahoo", "label": "德国DAX 欧洲", "category": "全球股票"}, "HSI": {"symbol": "^HSI", "source": "yahoo", "label": "恒生指数 香港", "category": "全球股票"}, "DXY": {"symbol": "DX-Y.NYB", "source": "yahoo", "label": "美元指数 DXY", "category": "汇率"}, "EUR": {"symbol": "EURUSD=X", "source": "yahoo", "label": "欧元/美元 EURUSD", "category": "汇率"}, "JPY": {"symbol": "JPY=X", "source": "yahoo", "label": "美元/日元 USDJPY", "category": "汇率"}, "GBP": {"symbol": "GBPUSD=X", "source": "yahoo", "label": "英镑/美元 GBPUSD", "category": "汇率"}, "CNH": {"symbol": "CNY=X", "source": "yahoo", "label": "美元/离岸人民币 USDCNH","category": "汇率"}, "AUD": {"symbol": "AUDUSD=X", "source": "yahoo", "label": "澳元/美元 AUDUSD", "category": "汇率"}, "T2Y": {"symbol": "ZT=F", "source": "yahoo", "label": "2年期美债 短端利率", "category": "利率"}, "T10": {"symbol": "^TNX", "source": "yahoo", "label": "10年期美债 长端利率", "category": "利率"}, "T30": {"symbol": "ZB=F", "source": "yahoo", "label": "30年期美债 超长利率", "category": "利率"}, "TIP": {"symbol": "TIP", "source": "yahoo", "label": "TIPS 通胀预期", "category": "利率"}, "HYG": {"symbol": "HYG", "source": "yahoo", "label": "高收益债 信用利差", "category": "信用"}, "LQD": {"symbol": "LQD", "source": "yahoo", "label": "投资级债 信用质量", "category": "信用"}, "VIX": {"symbol": "^VIX", "source": "yahoo", "label": "VIX 恐慌指数", "category": "波动率"}, "EEM": {"symbol": "EEM", "source": "yahoo", "label": "新兴市场 资金流向", "category": "另类资产"}, "REIT": {"symbol": "VNQ", "source": "yahoo", "label": "REITs 不动产", "category": "另类资产"}, } # ══════════════════════════════════════════ # 风控参数 # ══════════════════════════════════════════ MAX_POSITION_PCT = float(_env_opt("MAX_POSITION_PCT", "0.30")) MAX_TOTAL_PCT = float(_env_opt("MAX_TOTAL_PCT", "0.50")) MAX_LEVERAGE = int(_env_opt("MAX_LEVERAGE", "20")) DEFAULT_LEVERAGE = int(_env_opt("DEFAULT_LEVERAGE", "10")) MAX_CONCURRENT = int(_env_opt("MAX_CONCURRENT", "1")) MAX_DRAWDOWN_PCT = float(_env_opt("MAX_DRAWDOWN_PCT", "0.15")) STOP_LOSS_PCT = float(_env_opt("STOP_LOSS_PCT", "0.004")) MIN_PROFIT_PCT = float(_env_opt("MIN_PROFIT_PCT", "0.006")) TAKER_FEE = float(_env_opt("TAKER_FEE", "0.0005")) # ══════════════════════════════════════════ # 策略参数 # ══════════════════════════════════════════ CHECK_INTERVAL = int(_env_opt("CHECK_INTERVAL", "30")) SIGNAL_COOLDOWN = int(_env_opt("SIGNAL_COOLDOWN", "1800")) SCORE_THRESHOLD = float(_env_opt("SCORE_THRESHOLD", "0.35")) SCORE_ADD_THRESHOLD = float(_env_opt("SCORE_ADD_THRESHOLD", "0.50")) MIN_FACTORS_AGREE = int(_env_opt("MIN_FACTORS_AGREE", "4")) REQUIRE_TREND_ALIGN = _env_opt("REQUIRE_TREND_ALIGN", "true").lower() == "true" # ── BTC (14因子) ── W_TREND = float(_env_opt("W_TREND", "0.04")) W_ORDERBOOK = float(_env_opt("W_ORDERBOOK", "0.10")) W_TAKER = float(_env_opt("W_TAKER", "0.02")) W_OI_CHANGE = float(_env_opt("W_OI_CHANGE", "0.01")) W_FUNDING = float(_env_opt("W_FUNDING", "0.10")) W_MAXPAIN = float(_env_opt("W_MAXPAIN", "0.08")) W_VOL_DELTA = float(_env_opt("W_VOL_DELTA", "0.03")) W_BTC_CORR = float(_env_opt("W_BTC_CORR", "0.02")) W_GAMMA = float(_env_opt("W_GAMMA", "0.02")) W_IV = float(_env_opt("W_IV", "0.02")) W_TAKER_EXHAUST= float(_env_opt("W_TAKER_EXHAUST", "0.18")) W_LIQ_COOLDOWN = float(_env_opt("W_LIQ_COOLDOWN", "0.04")) LIQ_PROXIMITY_BOOST = float(_env_opt("LIQ_PROXIMITY_BOOST", "3.0")) LIQ_PROXIMITY_MIN_USD = int(_env_opt("LIQ_PROXIMITY_MIN_USD", "1000000")) W_MEAN_REVERT = float(_env_opt("W_MEAN_REVERT", "0.01")) W_SMART_MONEY = float(_env_opt("W_SMART_MONEY", "0.03")) W_MTF_RESONANCE = float(_env_opt("W_MTF_RESONANCE", "0.10")) W_OB_LIQ_RATIO = float(_env_opt("W_OB_LIQ_RATIO", "0.08")) W_LOW_LEVERAGE = float(_env_opt("W_LOW_LEVERAGE", "0.04")) W_LIQ_EXHAUSTION = float(_env_opt("W_LIQ_EXHAUSTION", "0.06")) W_PRE_FILTER = float(_env_opt("W_PRE_FILTER", "0.00")) # 新增因子 W_RETAIL_POSITION = float(_env_opt("W_RETAIL_POSITION", "0.05")) W_MM_POSITION = float(_env_opt("W_MM_POSITION", "0.05")) W_LIQ_TRIGGER = float(_env_opt("W_LIQ_TRIGGER", "0.06")) W_TOXIC_FLOW = float(_env_opt("W_TOXIC_FLOW", "0.06")) # ── XAU (14因子) ── W_XAU_TREND = float(_env_opt("W_XAU_TREND", "0.06")) W_XAU_MTF = float(_env_opt("W_XAU_MTF", "0.06")) W_XAU_MA_ALIGN = float(_env_opt("W_XAU_MA_ALIGN", "0.04")) W_XAU_MOMENTUM = float(_env_opt("W_XAU_MOMENTUM", "0.04")) W_XAU_VOLUME = float(_env_opt("W_XAU_VOLUME", "0.08")) W_XAU_OI = float(_env_opt("W_XAU_OI", "0.06")) W_XAU_COT = float(_env_opt("W_XAU_COT", "0.06")) W_XAU_VOL_DIV = float(_env_opt("W_XAU_VOL_DIV", "0.04")) W_XAU_REAL_RATE= float(_env_opt("W_XAU_REAL_RATE", "0.10")) W_XAU_DXY_INV = float(_env_opt("W_XAU_DXY_INV", "0.10")) W_XAU_ETF_FLOW = float(_env_opt("W_XAU_ETF_FLOW", "0.06")) W_XAU_CREDIT = float(_env_opt("W_XAU_CREDIT", "0.06")) W_XAU_RSI = float(_env_opt("W_XAU_RSI", "0.10")) W_XAU_BB = float(_env_opt("W_XAU_BB", "0.08")) W_XAU_EXHAUST = float(_env_opt("W_XAU_EXHAUST", "0.06")) ASSET_FACTOR_CONFIG = { "BTC": { "factors": { "trend": ("TR", W_TREND), "orderbook": ("OB", W_ORDERBOOK), "funding": ("FR", W_FUNDING), "taker": ("TK", W_TAKER), "oi": ("OI", W_OI_CHANGE), "maxpain": ("MP", W_MAXPAIN), "vol_delta": ("VD", W_VOL_DELTA), "btc_corr": ("BTC", W_BTC_CORR), "gamma": ("GM", W_GAMMA), "iv": ("IV", W_IV), "exhaust": ("EX", W_TAKER_EXHAUST), "liq_cool": ("LC", W_LIQ_COOLDOWN), "mean_revert": ("MR", W_MEAN_REVERT), "smart_money": ("SM", W_SMART_MONEY), "mtf": ("MTF", W_MTF_RESONANCE), "ob_liq": ("OBL", W_OB_LIQ_RATIO), "low_lev": ("LL", W_LOW_LEVERAGE), "liq_ex": ("LEX", W_LIQ_EXHAUSTION), "retail": ("RT", W_RETAIL_POSITION), "mm": ("MM", W_MM_POSITION), "liq_trigger": ("LT", W_LIQ_TRIGGER), "toxic": ("TX", W_TOXIC_FLOW), }, "score_threshold": SCORE_THRESHOLD, "stop_loss_pct": STOP_LOSS_PCT, }, "XAU": { "factors": { "trend": ("XTR", W_XAU_TREND), "mtf": ("XMF", W_XAU_MTF), "ma_align": ("XMA", W_XAU_MA_ALIGN), "momentum": ("XMO", W_XAU_MOMENTUM), "volume": ("XVL", W_XAU_VOLUME), "oi": ("XOI", W_XAU_OI), "cot": ("XCF", W_XAU_COT), "vol_div": ("XVX", W_XAU_VOL_DIV), "real_rate": ("XRD", W_XAU_REAL_RATE), "dxy_inv": ("XDX", W_XAU_DXY_INV), "etf_flow": ("XEF", W_XAU_ETF_FLOW), "credit": ("XCR", W_XAU_CREDIT), "rsi": ("XRSI",W_XAU_RSI), "bb": ("XBB", W_XAU_BB), "exhaust": ("XEX", W_XAU_EXHAUST), }, "score_threshold": float(_env_opt("XAU_SCORE_THRESHOLD", "0.40")), "stop_loss_pct": float(_env_opt("XAU_STOP_LOSS_PCT", "0.003")), }, } # ══════════════════════════════════════════ # 猎杀系统参数 # ══════════════════════════════════════════ PRE_FILTER_THRESHOLD = float(_env_opt("PRE_FILTER_THRESHOLD", "0.40")) MTF_REQUIRE_ALL = _env_opt("MTF_REQUIRE_ALL", "true").lower() == "true" MTF_MIN_SCORE = float(_env_opt("MTF_MIN_SCORE", "0.40")) MANUAL_TRADE_COOLDOWN = int(_env_opt("MANUAL_TRADE_COOLDOWN", "57600")) TWO_STRIKE_COOLDOWN = int(_env_opt("TWO_STRIKE_COOLDOWN", "57600")) MAX_MANUAL_SESSION = int(_env_opt("MAX_MANUAL_SESSION", "10800")) MANUAL_IDLE_TIMEOUT = int(_env_opt("MANUAL_IDLE_TIMEOUT", "1800")) LIQ_EXHAUST_DECLINES = int(_env_opt("LIQ_EXHAUST_DECLINES", "3")) LIQ_EXHAUST_MIN_USD = int(_env_opt("LIQ_EXHAUST_MIN_USD", "100000")) LOW_LEV_THRESHOLD = int(_env_opt("LOW_LEV_THRESHOLD", "5")) US_SESSION_START_UTC = int(_env_opt("US_SESSION_START_UTC", "14")) US_SESSION_END_UTC = int(_env_opt("US_SESSION_END_UTC", "21")) # ══════════════════════════════════════════ # 链上跟单 # ══════════════════════════════════════════ COPY_TRADE_ENABLED = _env_opt("COPY_TRADE_ENABLED", "true").lower() == "true" COPY_TRADE_WEIGHT = float(_env_opt("COPY_TRADE_WEIGHT", "0.10")) COPY_TRADE_ADDRESSES = [ {"addr": "0xf584F8728B874a6a5c7A8d4d387C9aae9172D621", "label": "Jump Trading", "weight": 1.0}, {"addr": "0x00000000AE347930bD1E7B0F35588b92280f9e75", "label": "Wintermute", "weight": 1.0}, ] # ══════════════════════════════════════════ # 文件路径 # ══════════════════════════════════════════ _BASE_DIR = _os.path.dirname(_os.path.abspath(__file__)) LOG_FILE = _os.path.join(_BASE_DIR, "my_trader.log") STATE_FILE = _env_opt("STATE_FILE", _os.path.join(_BASE_DIR, "data", "trader_state.json")) # ══════════════════════════════════════════ # 代理配置 # ══════════════════════════════════════════ def _detect_proxy(): http_proxy = _os.environ.get("HTTP_PROXY", "") https_proxy = _os.environ.get("HTTPS_PROXY", "") if http_proxy or https_proxy: proxies = {} if http_proxy: proxies["http"] = http_proxy if https_proxy: proxies["https"] = https_proxy return proxies if _os.environ.get("SKIP_PROXY_DETECT", "").lower() == "true": return {} return {} PROXIES = _detect_proxy() # ══════════════════════════════════════════ # 日志 # ══════════════════════════════════════════ LOG_LEVEL = getattr(logging, _env_opt("LOG_LEVEL", "INFO").upper()) logging.basicConfig( level=LOG_LEVEL, format='%(asctime)s [%(name)s] %(levelname)s: %(message)s', handlers=[logging.FileHandler(LOG_FILE, encoding="utf-8"), logging.StreamHandler()] ) logger = logging.getLogger("MyTrader")