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feat(trader): 优化验证AI结果有效性的逻辑 #548

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185 changes: 124 additions & 61 deletions decision/engine.go
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Original file line number Diff line number Diff line change
Expand Up @@ -82,8 +82,8 @@ type Context struct {

// Decision AI的交易决策
type Decision struct {
Symbol string `json:"symbol"`
Action string `json:"action"` // "open_long", "open_short", "close_long", "close_short", "update_stop_loss", "update_take_profit", "partial_close", "hold", "wait"
Symbol string `json:"symbol"`
Action string `json:"action"` // "open_long", "open_short", "close_long", "close_short", "update_stop_loss", "update_take_profit", "partial_close", "hold", "wait"

// 开仓参数
Leverage int `json:"leverage,omitempty"`
Expand All @@ -92,14 +92,14 @@ type Decision struct {
TakeProfit float64 `json:"take_profit,omitempty"`

// 调整参数（新增）
NewStopLoss float64 `json:"new_stop_loss,omitempty"` // 用于 update_stop_loss
NewTakeProfit float64 `json:"new_take_profit,omitempty"` // 用于 update_take_profit
ClosePercentage float64 `json:"close_percentage,omitempty"` // 用于 partial_close (0-100)
NewStopLoss float64 `json:"new_stop_loss,omitempty"` // 用于 update_stop_loss
NewTakeProfit float64 `json:"new_take_profit,omitempty"` // 用于 update_take_profit
ClosePercentage float64 `json:"close_percentage,omitempty"` // 用于 partial_close (0-100)

// 通用参数
Confidence int `json:"confidence,omitempty"` // 信心度 (0-100)
RiskUSD float64 `json:"risk_usd,omitempty"` // 最大美元风险
Reasoning string `json:"reasoning"`
Confidence int `json:"confidence,omitempty"` // 信心度 (0-100)
RiskUSD float64 `json:"risk_usd,omitempty"` // 最大美元风险
Reasoning string `json:"reasoning"`
}

// FullDecision AI的完整决策（包含思维链）
Expand Down Expand Up @@ -134,15 +134,12 @@ func GetFullDecisionWithCustomPrompt(ctx *Context, mcpClient *mcp.Client, custom
}

// 4. 解析AI响应
decision, err := parseFullDecisionResponse(aiResponse, ctx.Account.TotalEquity, ctx.BTCETHLeverage, ctx.AltcoinLeverage)
if err != nil {
return decision, fmt.Errorf("解析AI响应失败: %w", err)
}
decision, err := parseFullDecisionResponse(aiResponse, ctx)

decision.Timestamp = time.Now()
decision.SystemPrompt = systemPrompt // 保存系统prompt
decision.UserPrompt = userPrompt // 保存输入prompt
return decision, nil
return decision, err
}

// fetchMarketDataForContext 为上下文中的所有币种获取市场数据和OI数据
Expand Down Expand Up @@ -434,7 +431,7 @@ func buildUserPrompt(ctx *Context) string {
}

// parseFullDecisionResponse 解析AI的完整决策响应
func parseFullDecisionResponse(aiResponse string, accountEquity float64, btcEthLeverage, altcoinLeverage int) (*FullDecision, error) {
func parseFullDecisionResponse(aiResponse string, ctx *Context) (*FullDecision, error) {
// 1. 提取思维链
cotTrace := extractCoTTrace(aiResponse)

Expand All @@ -447,18 +444,16 @@ func parseFullDecisionResponse(aiResponse string, accountEquity float64, btcEthL
}, fmt.Errorf("提取决策失败: %w", err)
}

// 3. 验证决策
if err := validateDecisions(decisions, accountEquity, btcEthLeverage, altcoinLeverage); err != nil {
return &FullDecision{
CoTTrace: cotTrace,
Decisions: decisions,
}, fmt.Errorf("决策验证失败: %w", err)
}
// 3. 对决策排序：确保先平仓后开仓（防止仓位叠加超限）
decisions = sortDecisionsByPriority(decisions)

// 4. 验证决策
decisions, err = validateDecisions(decisions, ctx)

return &FullDecision{
CoTTrace: cotTrace,
Decisions: decisions,
}, nil
}, err
}

// extractCoTTrace 提取思维链分析
Expand Down Expand Up @@ -606,13 +601,47 @@ func compactArrayOpen(s string) string {
}

// validateDecisions 验证所有决策（需要账户信息和杠杆配置）
func validateDecisions(decisions []Decision, accountEquity float64, btcEthLeverage, altcoinLeverage int) error {
for i, decision := range decisions {
if err := validateDecision(&decision, accountEquity, btcEthLeverage, altcoinLeverage); err != nil {
return fmt.Errorf("决策 #%d 验证失败: %w", i+1, err)
func validateDecisions(decisions []Decision, ctx *Context) ([]Decision, error) {
btcEthLeverage := ctx.BTCETHLeverage
altcoinLeverage := ctx.AltcoinLeverage
availableBalance := ctx.Account.AvailableBalance
var filteredDecisions []Decision
var errorMsgs []string
for _, decision := range decisions {
positions := getPositionsOfSpecificSymbol(ctx.Positions, decision.Symbol)
if err := validateDecision(&decision, availableBalance, btcEthLeverage, altcoinLeverage, positions, ctx.MarketDataMap[decision.Symbol]); err != nil {
errorMsgs = append(errorMsgs, err.Error())
} else {
filteredDecisions = append(filteredDecisions, decision)
if decision.Action == "open_long" || decision.Action == "open_short" {
availableBalance -= decision.PositionSizeUSD / float64(decision.Leverage)
} else if decision.Action == "close_long" || decision.Action == "close_short" {
availableBalance += positions[0].MarginUsed
}
}
}
return nil

if len(errorMsgs) > 0 {
combinedErr := fmt.Errorf("决策验证失败: %s", strings.Join(errorMsgs, "; "))
return filteredDecisions, combinedErr
}

return filteredDecisions, nil
}

func getPositionsOfSpecificSymbol(positions []PositionInfo, symbol string) []PositionInfo {
var filteredPositions []PositionInfo
for _, position := range positions {
if position.Symbol == symbol {
filteredPositions = append(filteredPositions, position)
}
}

if len(filteredPositions) > 1 {
panic(symbol + "存在>1个仓位")
}

return filteredPositions
}

// findMatchingBracket 查找匹配的右括号
Expand All @@ -638,7 +667,7 @@ func findMatchingBracket(s string, start int) int {
}

// validateDecision 验证单个决策的有效性
func validateDecision(d *Decision, accountEquity float64, btcEthLeverage, altcoinLeverage int) error {
func validateDecision(d *Decision, availableBalance float64, btcEthLeverage, altcoinLeverage int, positions []PositionInfo, marketData *market.Data) error {
// 验证action
validActions := map[string]bool{
"open_long": true,
Expand All @@ -656,27 +685,36 @@ func validateDecision(d *Decision, accountEquity float64, btcEthLeverage, altcoi
return fmt.Errorf("无效的action: %s", d.Action)
}

if d.Action == "close_long" || d.Action == "close_short" {
if len(positions) == 0 {
return fmt.Errorf("%s不存在仓位", d.Symbol)
}
if (d.Action == "close_long" && positions[0].Side != "long") || (d.Action == "close_short" && positions[0].Side != "short") {
return fmt.Errorf("AI的决策是%s，但当前持仓为%s", d.Action, positions[0].Side)
}
}

// 开仓操作必须提供完整参数
if d.Action == "open_long" || d.Action == "open_short" {
if len(positions) > 0 {
return fmt.Errorf("%s已存在仓位", d.Symbol)
}

// 根据币种使用配置的杠杆上限
maxLeverage := altcoinLeverage // 山寨币使用配置的杠杆
maxPositionValue := accountEquity * 1.5 // 山寨币最多1.5倍账户净值
maxPositionValue := availableBalance * float64(d.Leverage) // 仓位
maxLeverage := altcoinLeverage // 山寨币使用配置的杠杆
if d.Symbol == "BTCUSDT" || d.Symbol == "ETHUSDT" {
maxLeverage = btcEthLeverage // BTC和ETH使用配置的杠杆
maxPositionValue = accountEquity * 10 // BTC/ETH最多10倍账户净值
maxLeverage = btcEthLeverage // BTC/ETH使用配置的杠杆
}

if d.Leverage <= 0 || d.Leverage > maxLeverage {
return fmt.Errorf("杠杆必须在1-%d之间（%s，当前配置上限%d倍）: %d", maxLeverage, d.Symbol, maxLeverage, d.Leverage)
}
if d.PositionSizeUSD <= 0 {
return fmt.Errorf("仓位大小必须大于0: %.2f", d.PositionSizeUSD)
return fmt.Errorf("杠杆必须在0-%d之间（%s，当前配置上限%d倍）: %d", maxLeverage, d.Symbol, maxLeverage, d.Leverage)
}

// ✅ 验证最小开仓金额（防止数量格式化为 0 的错误）
// Binance 最小名义价值 10 USDT + 安全边际
const minPositionSizeGeneral = 12.0 // 10 + 20% 安全边际
const minPositionSizeBTCETH = 60.0 // BTC/ETH 因价格高和精度限制需要更大金额（更灵活）
const minPositionSizeGeneral = 12.0 // 10 + 20% 安全边际
const minPositionSizeBTCETH = 60.0 // BTC/ETH 因价格高和精度限制需要更大金额（更灵活）

if d.Symbol == "BTCUSDT" || d.Symbol == "ETHUSDT" {
if d.PositionSizeUSD < minPositionSizeBTCETH {
Expand All @@ -689,40 +727,28 @@ func validateDecision(d *Decision, accountEquity float64, btcEthLeverage, altcoi
}

// 验证仓位价值上限（加1%容差以避免浮点数精度问题）
tolerance := maxPositionValue * 0.01 // 1%容差
if d.PositionSizeUSD > maxPositionValue+tolerance {
if d.Symbol == "BTCUSDT" || d.Symbol == "ETHUSDT" {
return fmt.Errorf("BTC/ETH单币种仓位价值不能超过%.0f USDT（10倍账户净值），实际: %.0f", maxPositionValue, d.PositionSizeUSD)
} else {
return fmt.Errorf("山寨币单币种仓位价值不能超过%.0f USDT（1.5倍账户净值），实际: %.0f", maxPositionValue, d.PositionSizeUSD)
}
if d.PositionSizeUSD > maxPositionValue*0.99 {
return fmt.Errorf("单币种仓位价值不能超过%.0f USD，实际: %.0f", maxPositionValue, d.PositionSizeUSD)
}
if d.StopLoss <= 0 || d.TakeProfit <= 0 {
return fmt.Errorf("止损和止盈必须大于0")
}

// 计算入场价（假设当前市价）
entryPrice := marketData.CurrentPrice

// 验证止损止盈的合理性
if d.Action == "open_long" {
if d.StopLoss >= d.TakeProfit {
return fmt.Errorf("做多时止损价必须小于止盈价")
if d.StopLoss >= entryPrice || d.TakeProfit <= entryPrice {
return fmt.Errorf("做多时止损价必须小于开单价，止盈价必须大于开单价")
}
} else {
if d.StopLoss <= d.TakeProfit {
return fmt.Errorf("做空时止损价必须大于止盈价")
if d.StopLoss <= entryPrice || d.TakeProfit >= entryPrice {
return fmt.Errorf("做空时止损价必须大于开单价，止盈价必须小于开单价")
}
}

// 验证风险回报比（必须≥1:3）
// 计算入场价（假设当前市价）
var entryPrice float64
if d.Action == "open_long" {
// 做多：入场价在止损和止盈之间
entryPrice = d.StopLoss + (d.TakeProfit-d.StopLoss)*0.2 // 假设在20%位置入场
} else {
// 做空：入场价在止损和止盈之间
entryPrice = d.StopLoss - (d.StopLoss-d.TakeProfit)*0.2 // 假设在20%位置入场
}

var riskPercent, rewardPercent, riskRewardRatio float64
if d.Action == "open_long" {
riskPercent = (entryPrice - d.StopLoss) / entryPrice * 100
Expand All @@ -740,8 +766,8 @@ func validateDecision(d *Decision, accountEquity float64, btcEthLeverage, altcoi

// 硬约束：风险回报比必须≥3.0
if riskRewardRatio < 3.0 {
return fmt.Errorf("风险回报比过低(%.2f:1)，必须≥3.0:1 [风险:%.2f%% 收益:%.2f%%] [止损:%.2f 止盈:%.2f]",
riskRewardRatio, riskPercent, rewardPercent, d.StopLoss, d.TakeProfit)
return fmt.Errorf("风险回报比过低(%.2f:1)，必须≥3.0:1 [风险:%.2f%% 收益:%.2f%%] [当前价:%.2f 止损:%.2f 止盈:%.2f]",
riskRewardRatio, riskPercent, rewardPercent, entryPrice, d.StopLoss, d.TakeProfit)
}
}

Expand All @@ -768,3 +794,40 @@ func validateDecision(d *Decision, accountEquity float64, btcEthLeverage, altcoi

return nil
}

// sortDecisionsByPriority 对决策排序：先平仓，再开仓，最后hold/wait
// 这样可以避免换仓时仓位叠加超限
func sortDecisionsByPriority(decisions []Decision) []Decision {
if len(decisions) <= 1 {
return decisions
}

// 定义优先级
getActionPriority := func(action string) int {
switch action {
case "close_long", "close_short":
return 1 // 最高优先级：先平仓
case "open_long", "open_short":
return 2 // 次优先级：后开仓
case "hold", "wait":
return 3 // 最低优先级：观望
default:
return 999 // 未知动作放最后
}
}

// 复制决策列表
sorted := make([]Decision, len(decisions))
copy(sorted, decisions)

// 按优先级排序
for i := 0; i < len(sorted)-1; i++ {
for j := i + 1; j < len(sorted); j++ {
if getActionPriority(sorted[i].Action) > getActionPriority(sorted[j].Action) {
sorted[i], sorted[j] = sorted[j], sorted[i]
}
}
}

return sorted
}
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