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tinkle-community
738 lines
21 KiB
Markdown
738 lines
21 KiB
Markdown
# NOFX Strategy Module - Technical Documentation
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**Language:** [English](STRATEGY_MODULE.md) | [中文](STRATEGY_MODULE.zh-CN.md)
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## Overview
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This document describes the complete data flow of the NOFX strategy module, including coin selection, data assembly, prompt construction, AI request, response parsing, and decision execution.
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---
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## Complete Data Flow
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```
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┌─────────────────────────────────────────────────────────────────┐
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│ Trading Cycle (Every N Minutes) │
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└─────────────────────────────────────────────────────────────────┘
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1. Coin Selection (GetCandidateCoins)
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├─ Static (Static list)
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├─ AI500 Pool (AI rating pool)
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├─ OI Top (Position growth ranking)
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└─ Mixed (Mixed mode)
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↓
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2. Data Assembly (buildTradingContext)
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├─ Account balance → equity, available, unrealizedPnL
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├─ Current positions → symbol, side, entry, mark, qty, leverage
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├─ K-line data → OHLCV (5m, 15m, 1h, 4h)
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├─ Technical indicators → EMA, MACD, RSI, ATR, Volume
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├─ On-chain data → OI, Funding Rate
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├─ Quant data → Capital flow, OI changes (optional)
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└─ Recent trades → Last 10 closed trades
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↓
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3. System Prompt (BuildSystemPrompt)
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├─ Role definition
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├─ Trading mode (aggressive/conservative/scalping)
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├─ Hard constraints (code enforced)
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├─ AI guidance (suggested values)
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├─ Trading frequency
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├─ Entry standards
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├─ Decision process
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└─ Output format (XML + JSON)
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↓
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4. User Prompt (BuildUserPrompt)
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├─ System status (time, cycle number)
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├─ BTC market overview
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├─ Account information
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├─ Current positions (with indicators)
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├─ Candidate coins (full market data)
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└─ "Please analyze and output decisions..."
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↓
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5. AI Request (CallWithMessages)
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├─ Select AI model
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├─ POST: system_prompt + user_prompt
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├─ Timeout: 120s, Retries: 3
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└─ Return raw response
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↓
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6. AI Parsing (parseFullDecisionResponse)
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├─ Extract Chain of Thought <reasoning>
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├─ Extract JSON decision <decision>
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├─ Fix character encoding
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├─ Validate JSON format
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├─ Parse decision array
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└─ Validate risk parameters
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↓
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7. Decision Execution
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├─ Sort: Close first → Open → hold/wait
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├─ Risk control enforcement
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├─ Submit orders
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├─ Confirm fills
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└─ Record to database
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```
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---
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## 1. Coin Selection
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**Core File:** `decision/engine.go:380-454`
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**Entry Method:** `StrategyEngine.GetCandidateCoins()`
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### 1.1 Static Coin List
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```go
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// decision/engine.go:395-403
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if config.CoinSource.SourceType == "static" {
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for _, symbol := range config.CoinSource.StaticCoins {
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coins = append(coins, CandidateCoin{
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Symbol: market.Normalize(symbol),
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Sources: []string{"static"},
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})
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}
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}
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```
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- **Config:** `StrategyConfig.CoinSource.StaticCoins`
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- **Usage:** Manually specify trading coins
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- **Tag:** `["static"]`
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### 1.2 AI500 Coin Pool
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```go
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// decision/engine.go:405-406, 456-474
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func (e *StrategyEngine) getCoinPoolCoins(limit int) []CandidateCoin {
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coins, err := e.provider.GetTopRatedCoins(limit)
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// ...
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for _, coin := range coins {
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result = append(result, CandidateCoin{
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Symbol: coin.Symbol,
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Sources: []string{"ai500"},
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})
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}
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}
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```
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- **API:** `config.CoinSource.CoinPoolAPIURL`
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- **Usage:** Get top N coins by AI rating
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- **Tag:** `["ai500"]`
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### 1.3 OI Top Coins (Position Growth Ranking)
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```go
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// decision/engine.go:408-409, 476-498
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func (e *StrategyEngine) getOITopCoins() []CandidateCoin {
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positions, err := e.provider.GetOITopPositions()
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// ...
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for _, pos := range positions {
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result = append(result, CandidateCoin{
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Symbol: pos.Symbol,
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Sources: []string{"oi_top"},
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})
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}
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}
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```
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- **API:** `config.CoinSource.OITopAPIURL`
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- **Usage:** Get coins with fastest OI growth
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- **Tag:** `["oi_top"]`
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### 1.4 Mixed Mode
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```go
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// decision/engine.go:411-449
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if config.CoinSource.SourceType == "mixed" {
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if config.CoinSource.UseCoinPool {
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// Add AI500 coins
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}
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if config.CoinSource.UseOITop {
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// Add OI Top coins
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}
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if len(config.CoinSource.StaticCoins) > 0 {
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// Add static coins
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}
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// Deduplicate and merge, keep multi-source tags
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}
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```
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- **Feature:** Use multiple data sources simultaneously
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- **Tag Example:** `["ai500", "oi_top"]` (dual signal coin)
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---
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## 2. Data Assembly
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**Core File:** `trader/auto_trader.go:562-791`, `decision/engine.go:299-374`
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**Entry Method:** `AutoTrader.buildTradingContext()`
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### 2.1 Account Data
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```go
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// trader/auto_trader.go:565-583
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balance, err := at.trader.GetBalance()
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equity := balance["total_equity"].(float64)
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available := balance["available_balance"].(float64)
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unrealizedPnL := balance["total_pnl"].(float64)
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```
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**Extracted Fields:**
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- `total_equity` - Total account equity
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- `available_balance` - Available balance
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- `total_pnl` - Unrealized PnL
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### 2.2 Position Data
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```go
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// trader/auto_trader.go:588-682
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positions, err := at.trader.GetPositions()
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for _, pos := range positions {
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position := decision.Position{
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Symbol: pos.Symbol,
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Side: pos.Side, // "long" / "short"
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EntryPrice: pos.EntryPrice,
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MarkPrice: pos.MarkPrice,
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Quantity: pos.Quantity,
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Leverage: pos.Leverage,
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UnrealizedPnL: pos.UnrealizedPnL,
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LiquidationPrice: pos.LiquidationPrice,
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}
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}
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```
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### 2.3 Market Data Fetching
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```go
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// decision/engine.go:299-374
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func (e *StrategyEngine) fetchMarketDataWithStrategy(symbols []string) map[string]*market.Data {
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timeframes := config.Indicators.Klines.SelectedTimeframes // ["5m", "15m", "1h", "4h"]
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primaryTF := config.Indicators.Klines.PrimaryTimeframe // "5m"
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count := config.Indicators.Klines.PrimaryCount // 30
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for _, symbol := range symbols {
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data := market.GetWithTimeframes(symbol, timeframes, primaryTF, count)
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result[symbol] = data
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}
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}
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```
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### 2.4 Technical Indicator Calculation
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**File:** `market/data.go:59-98`
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| Indicator | Config | Calculation |
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|-----------|--------|-------------|
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| **EMA** | `EnableEMA`, `EMAPeriods` | `calculateEMA(klines, period)` |
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| **MACD** | `EnableMACD` | `calculateMACD(klines)` - 12/26/9 |
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| **RSI** | `EnableRSI`, `RSIPeriods` | `calculateRSI(klines, period)` |
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| **ATR** | `EnableATR`, `ATRPeriods` | `calculateATR(klines, period)` |
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| **Volume** | `EnableVolume` | Raw volume data |
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| **OI** | `EnableOI` | Open interest data |
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| **Funding Rate** | `EnableFundingRate` | Funding rate |
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### 2.5 Quant Data (Optional)
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```go
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// trader/auto_trader.go:759-778
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if config.Indicators.EnableQuantData {
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quantData := provider.GetQuantData(symbol)
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// Contains: Capital flow, OI changes, Price changes
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}
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```
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**Data Structure:**
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```go
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QuantData {
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Netflow {
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Institution: {Future, Spot}, // Institutional flow
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Personal: {Future, Spot} // Retail flow
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},
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OI {
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CurrentOI: float64,
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Delta: {1h, 4h, 24h} // OI changes
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},
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PriceChange {
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"1h", "4h", "24h": float64 // Price change %
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}
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}
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```
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---
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## 3. System Prompt
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**Core File:** `decision/engine.go:700-818`
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**Entry Method:** `StrategyEngine.BuildSystemPrompt(accountEquity, variant)`
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### 3.1 Prompt Structure (8 Sections)
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```
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1. Role Definition [Editable]
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2. Trading Mode Variant [Runtime determined]
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3. Hard Constraints [Code enforced + AI guided]
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4. Trading Frequency [Editable]
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5. Entry Standards [Editable]
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6. Decision Process [Editable]
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7. Output Format [Fixed XML + JSON structure]
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8. Custom Prompt [Optional]
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```
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### 3.2 Role Definition
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```go
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// decision/engine.go:706-713
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roleDefinition := config.PromptSections.RoleDefinition
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if roleDefinition == "" {
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roleDefinition = "You are a professional cryptocurrency trading AI..."
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}
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```
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### 3.3 Trading Mode Variants
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| Mode | Characteristics |
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|------|-----------------|
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| `aggressive` | Trend breakout, higher position tolerance |
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| `conservative` | Multi-signal confirmation, conservative money management |
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| `scalping` | Short-term momentum, tight take-profit |
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### 3.4 Hard Constraints
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**Code Enforced:**
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```go
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// decision/engine.go:725-749
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maxPositions := config.RiskControl.MaxPositions // Default: 3
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altcoinMaxRatio := config.RiskControl.AltcoinMaxPositionValueRatio // Default: 1.0
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btcethMaxRatio := config.RiskControl.BTCETHMaxPositionValueRatio // Default: 5.0
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maxMarginUsage := config.RiskControl.MaxMarginUsage // Default: 90%
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minPositionSize := config.RiskControl.MinPositionSize // Default: 12 USDT
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```
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**AI Guided (Suggested Values):**
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```go
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altcoinMaxLeverage := config.RiskControl.AltcoinMaxLeverage // Default: 5x
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btcethMaxLeverage := config.RiskControl.BTCETHMaxLeverage // Default: 5x
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minRiskRewardRatio := config.RiskControl.MinRiskRewardRatio // Default: 1:3
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minConfidence := config.RiskControl.MinConfidence // Default: 75
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```
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### 3.5 Output Format Requirements
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```xml
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<reasoning>
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[Chain of Thought analysis process]
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</reasoning>
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<decision>
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```json
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[
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{
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"symbol": "BTCUSDT",
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"action": "open_long",
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"leverage": 5,
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"position_size_usd": 100.00,
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"stop_loss": 65000.00,
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"take_profit": 72000.00,
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"confidence": 85,
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"risk_usd": 20.00,
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"reasoning": "..."
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}
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]
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```
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</decision>
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```
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---
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## 4. User Prompt
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**Core File:** `decision/engine.go:884-1007`
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**Entry Method:** `StrategyEngine.BuildUserPrompt(ctx)`
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### 4.1 Prompt Content Structure
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```
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1. System Status [Time, cycle number, runtime]
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2. BTC Market Overview [Price, change%, MACD, RSI]
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3. Account Info [Equity, balance%, PnL%, margin%, positions]
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4. Recent Trades [Last 10 closed trades]
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5. Current Positions [Detailed position data + indicators]
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6. Candidate Coins [Full market data]
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7. Quant Data [Capital flow, OI data] (optional)
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8. OI Ranking Data [Market OI change ranking] (optional)
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```
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### 4.2 Account Info Format
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```
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Account: Equity 1000.00 | Balance 800.00 (80.0%) | PnL +5.5% | Margin 20.0% | Positions 2
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```
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### 4.3 Position Info Format
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```
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1. BTCUSDT LONG | Entry 68000.0000 Current 69500.0000
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Qty 0.0100 | Position Value $695.00
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PnL +2.21% | Amount +$15.00
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Peak PnL +3.50% | Leverage 5x
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Margin $139.00 | Liquidation Price 55000.0000
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Holding Duration 2 hours 30 minutes
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Market: price=69500, ema20=68800, macd=150.5, rsi7=62.3
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OI: Latest=15000000, Avg=14500000
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Funding Rate: 0.0100%
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```
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### 4.4 Candidate Coin Format
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```
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### 1. ETHUSDT (AI500+OI_Top dual signal)
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current_price = 3500.00, current_ema20 = 3450.00, current_macd = 25.5, current_rsi7 = 58.0
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Open Interest: Latest: 8500000.00 Average: 8200000.00
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Funding Rate: 0.0050
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=== 5M TIMEFRAME (oldest → latest) ===
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Prices: [3480, 3485, 3490, 3495, 3500]
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Volumes: [1000, 1200, 1100, 1300, 1150]
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EMA20: [3470, 3475, 3478, 3482, 3485]
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MACD: [20.1, 21.5, 22.8, 24.0, 25.5]
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RSI7: [55.0, 56.2, 57.1, 57.8, 58.0]
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=== 15M TIMEFRAME ===
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...
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```
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---
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## 5. AI Request
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**Core File:** `decision/engine.go:222-293`, `mcp/client.go:136-150`
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### 5.1 Request Flow
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```go
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// decision/engine.go:263-268
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aiCallStart := time.Now()
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aiResponse, err := mcpClient.CallWithMessages(systemPrompt, userPrompt)
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aiCallDuration := time.Since(aiCallStart)
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```
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### 5.2 Supported AI Models
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| Model | Client File | Default Model |
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|-------|-------------|---------------|
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| **DeepSeek** | `mcp/deepseek_client.go` | deepseek-chat |
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| **Qwen** | `mcp/qwen_client.go` | qwen-max |
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| **Claude** | `mcp/claude_client.go` | claude-3-5-sonnet |
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| **Gemini** | `mcp/gemini_client.go` | gemini-pro |
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| **Grok** | `mcp/grok_client.go` | grok-beta |
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| **OpenAI** | `mcp/openai_client.go` | gpt-5.2 |
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| **Kimi** | `mcp/kimi_client.go` | moonshot-v1-8k |
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### 5.3 Request Parameters
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```go
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// mcp/client.go
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Timeout: 120 seconds
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MaxRetries: 3
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RetryDelay: 2 seconds (exponential backoff)
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```
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---
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## 6. AI Response Parsing
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**Core File:** `decision/engine.go:1303-1604`
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**Entry Method:** `parseFullDecisionResponse(response, accountEquity, leverage, ratio)`
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### 6.1 Parsing Flow
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```
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Raw AI Response (text)
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↓
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1. Extract Chain of Thought [extractCoTTrace()]
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↓
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2. Extract JSON Decision [extractDecisions()]
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↓
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3. Validate JSON Format [validateJSONFormat()]
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↓
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4. Parse JSON [json.Unmarshal()]
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↓
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5. Validate Decisions [validateDecisions()]
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↓
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6. Build FullDecision [Return structured result]
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```
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### 6.2 Chain of Thought Extraction
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```go
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// decision/engine.go:1327-1345
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func extractCoTTrace(response string) string {
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// Priority 1: <reasoning> XML tag
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if match := reReasoningTag.FindStringSubmatch(response); len(match) > 1 {
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return strings.TrimSpace(match[1])
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}
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// Priority 2: Text before <decision> tag
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// Priority 3: Text before JSON [
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// Priority 4: Full response
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}
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```
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### 6.3 JSON Decision Extraction
|
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```go
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// decision/engine.go:1347-1408
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func extractDecisions(response string) (string, error) {
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// 1. Remove invisible characters
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response = removeInvisibleRunes(response)
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// 2. Fix character encoding
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response = fixMissingQuotes(response)
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// 3. Extract JSON (priority)
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// - <decision> XML tag + ```json
|
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// - Standalone ```json code block
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// - Bare JSON array
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}
|
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```
|
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|
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### 6.4 Character Encoding Fix
|
||
|
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```go
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// decision/engine.go:1410-1432
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func fixMissingQuotes(s string) string {
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// Chinese quotes → ASCII
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s = strings.ReplaceAll(s, """, "\"")
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s = strings.ReplaceAll(s, """, "\"")
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|
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// Chinese brackets → ASCII
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s = strings.ReplaceAll(s, "［", "[")
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s = strings.ReplaceAll(s, "］", "]")
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s = strings.ReplaceAll(s, "｛", "{")
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s = strings.ReplaceAll(s, "｝", "}")
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// Chinese punctuation → ASCII
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s = strings.ReplaceAll(s, "：", ":")
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s = strings.ReplaceAll(s, "，", ",")
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}
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```
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### 6.5 Decision Validation
|
||
|
||
```go
|
||
// decision/engine.go:1480-1602
|
||
func validateDecisions(decisions []Decision, equity, leverage, ratio float64) error {
|
||
for _, d := range decisions {
|
||
// 1. Validate action type
|
||
validActions := []string{"open_long", "open_short", "close_long", "close_short", "hold", "wait"}
|
||
|
||
// 2. Open position validation
|
||
if isOpenAction(d.Action) {
|
||
// Leverage range check
|
||
// Position size check
|
||
// Stop loss/take profit check
|
||
// Risk/reward ratio check
|
||
// Confidence check
|
||
}
|
||
|
||
// 3. Close position validation
|
||
if isCloseAction(d.Action) {
|
||
// Symbol must exist
|
||
}
|
||
}
|
||
}
|
||
```
|
||
|
||
### 6.6 Decision Structure
|
||
|
||
```go
|
||
// decision/engine.go:128-143
|
||
type Decision struct {
|
||
Symbol string // Trading pair: "BTCUSDT"
|
||
Action string // "open_long", "open_short", "close_long", "close_short", "hold", "wait"
|
||
Leverage int // Leverage multiplier
|
||
PositionSizeUSD float64 // Position value (USDT)
|
||
StopLoss float64 // Stop loss price
|
||
TakeProfit float64 // Take profit price
|
||
Confidence int // Confidence 0-100
|
||
RiskUSD float64 // Max risk (USDT)
|
||
Reasoning string // Decision reasoning
|
||
}
|
||
```
|
||
|
||
---
|
||
|
||
## 7. Decision Execution
|
||
|
||
**Core File:** `trader/auto_trader.go:392-560`
|
||
|
||
### 7.1 Decision Sorting
|
||
|
||
```go
|
||
// trader/auto_trader.go:519-526
|
||
sort.SliceStable(decisions, func(i, j int) bool {
|
||
priority := map[string]int{
|
||
"close_long": 1, "close_short": 1, // Highest priority
|
||
"open_long": 2, "open_short": 2, // Second priority
|
||
"hold": 3, "wait": 3, // Lowest priority
|
||
}
|
||
return priority[decisions[i].Action] < priority[decisions[j].Action]
|
||
})
|
||
```
|
||
|
||
### 7.2 Risk Control Enforcement
|
||
|
||
**File:** `trader/auto_trader.go:1769-1851`
|
||
|
||
| Check | Method | Action |
|
||
|-------|--------|--------|
|
||
| Max positions | `enforceMaxPositions()` | Reject new opens |
|
||
| Position value cap | `enforcePositionValueRatio()` | Auto reduce size |
|
||
| Min position | `enforceMinPositionSize()` | Reject small orders |
|
||
| Margin adjustment | Auto calculate | Adjust by available balance |
|
||
|
||
### 7.3 Order Execution
|
||
|
||
```go
|
||
// trader/auto_trader.go:1631-1767
|
||
func (at *AutoTrader) recordAndConfirmOrder(orderID, symbol, side, action string) {
|
||
// 1. Poll order status (5 retries, 500ms interval)
|
||
for i := 0; i < 5; i++ {
|
||
status := at.trader.GetOrderStatus(orderID)
|
||
if status.Status == "FILLED" {
|
||
break
|
||
}
|
||
time.Sleep(500 * time.Millisecond)
|
||
}
|
||
|
||
// 2. Extract fill info
|
||
filledPrice := status.AvgPrice
|
||
filledQty := status.FilledQty
|
||
fee := status.Fee
|
||
|
||
// 3. Record to database
|
||
at.store.Position().SaveOrder(...)
|
||
}
|
||
```
|
||
|
||
### 7.4 Decision Log Saving
|
||
|
||
```go
|
||
// trader/auto_trader.go:1235-1256
|
||
record := &store.DecisionRecord{
|
||
CycleNumber: cycleNumber,
|
||
TraderID: traderID,
|
||
Timestamp: time.Now(),
|
||
SystemPrompt: systemPrompt, // Full system prompt
|
||
InputPrompt: userPrompt, // Full user prompt
|
||
CoTTrace: cotTrace, // AI chain of thought
|
||
DecisionJSON: decisionsJSON, // Parsed decisions
|
||
RawResponse: rawResponse, // Raw AI response
|
||
ExecutionLog: executionResults, // Execution results
|
||
CandidateCoins: candidateCoins, // Candidate coins
|
||
Success: success, // Execution status
|
||
}
|
||
at.store.Decision().LogDecision(record)
|
||
```
|
||
|
||
---
|
||
|
||
## Core File Index
|
||
|
||
| Module | File | Key Methods |
|
||
|--------|------|-------------|
|
||
| **Main Loop** | `trader/auto_trader.go` | `Run()`, `runCycle()`, `buildTradingContext()` |
|
||
| **Coin Selection** | `decision/engine.go:380-454` | `GetCandidateCoins()` |
|
||
| **Data Fetching** | `market/data.go` | `Get()`, `GetWithTimeframes()` |
|
||
| **Indicator Calc** | `market/data.go:59-98` | `calculateEMA()`, `calculateMACD()`, `calculateRSI()` |
|
||
| **System Prompt** | `decision/engine.go:700-818` | `BuildSystemPrompt()` |
|
||
| **User Prompt** | `decision/engine.go:884-1007` | `BuildUserPrompt()` |
|
||
| **Market Format** | `decision/engine.go:1029-1099` | `formatMarketData()` |
|
||
| **AI Request** | `decision/engine.go:222-293` | `GetFullDecisionWithStrategy()` |
|
||
| **MCP Client** | `mcp/client.go:136-150` | `CallWithMessages()` |
|
||
| **Response Parse** | `decision/engine.go:1303-1604` | `parseFullDecisionResponse()` |
|
||
| **CoT Extract** | `decision/engine.go:1327-1345` | `extractCoTTrace()` |
|
||
| **JSON Extract** | `decision/engine.go:1347-1408` | `extractDecisions()` |
|
||
| **Decision Valid** | `decision/engine.go:1480-1602` | `validateDecisions()` |
|
||
| **Risk Enforce** | `trader/auto_trader.go:1769-1851` | `enforceMaxPositions()`, `enforcePositionValueRatio()` |
|
||
| **Strategy Config** | `store/strategy.go` | `StrategyConfig`, `RiskControlConfig` |
|
||
| **Data Provider** | `provider/data_provider.go` | `GetAI500Data()`, `GetOITopPositions()` |
|
||
|
||
---
|
||
|
||
## Configuration Reference
|
||
|
||
### Strategy Config Structure
|
||
|
||
```go
|
||
// store/strategy.go
|
||
type StrategyConfig struct {
|
||
// Coin Source
|
||
CoinSource struct {
|
||
SourceType string // "static", "coinpool", "oi_top", "mixed"
|
||
StaticCoins []string // Static coin list
|
||
UseCoinPool bool // Use AI500
|
||
UseOITop bool // Use OI ranking
|
||
CoinPoolLimit int // AI500 fetch limit
|
||
CoinPoolAPIURL string // AI500 API URL
|
||
OITopAPIURL string // OI ranking API URL
|
||
}
|
||
|
||
// Technical Indicators
|
||
Indicators struct {
|
||
EnableEMA bool
|
||
EMAPeriods []int // [20, 50]
|
||
EnableMACD bool
|
||
EnableRSI bool
|
||
RSIPeriods []int // [7, 14]
|
||
EnableATR bool
|
||
ATRPeriods []int // [14]
|
||
EnableVolume bool
|
||
EnableOI bool
|
||
EnableFundingRate bool
|
||
EnableQuantData bool
|
||
EnableOIRanking bool
|
||
|
||
Klines struct {
|
||
PrimaryTimeframe string // "5m"
|
||
SelectedTimeframes []string // ["5m", "15m", "1h", "4h"]
|
||
PrimaryCount int // 30
|
||
}
|
||
}
|
||
|
||
// Risk Control
|
||
RiskControl struct {
|
||
MaxPositions int // Max positions
|
||
BTCETHMaxLeverage int // BTC/ETH max leverage
|
||
AltcoinMaxLeverage int // Altcoin max leverage
|
||
BTCETHMaxPositionValueRatio float64 // BTC/ETH position ratio cap
|
||
AltcoinMaxPositionValueRatio float64 // Altcoin position ratio cap
|
||
MaxMarginUsage float64 // Max margin usage
|
||
MinPositionSize float64 // Min position size
|
||
MinRiskRewardRatio float64 // Min risk/reward ratio
|
||
MinConfidence int // Min confidence
|
||
}
|
||
|
||
// Prompt Sections
|
||
PromptSections struct {
|
||
RoleDefinition string
|
||
TradingFrequency string
|
||
EntryStandards string
|
||
DecisionProcess string
|
||
}
|
||
|
||
// Custom Prompt
|
||
CustomPrompt string
|
||
}
|
||
```
|
||
|
||
---
|
||
|
||
**Document Version:** 1.0.0
|
||
**Last Updated:** 2025-01-15
|