Fix opportunity ignore_dust handling

This commit is contained in:
2026-04-21 10:44:00 +08:00
parent a9f6cf4c46
commit 4761067c30
4 changed files with 73 additions and 2 deletions

View File

@@ -90,6 +90,7 @@ def get_positions(
config: dict[str, Any],
*,
spot_client: Any,
ignore_dust: bool = True,
) -> dict[str, Any]:
quote = str(config.get("market", {}).get("default_quote", "USDT")).upper()
dust = float(config.get("trading", {}).get("dust_usdt_threshold", 0.0))
@@ -102,7 +103,7 @@ def get_positions(
asset = item["asset"]
mark_price = price_map.get(asset, 1.0 if asset == quote else 0.0)
notional = quantity * mark_price
if notional < dust:
if ignore_dust and notional < dust:
continue
rows.append(
asdict(

View File

@@ -48,13 +48,14 @@ def scan_opportunities(
symbols: list[str] | None = None,
) -> dict[str, Any]:
opportunity_config = config.get("opportunity", {})
ignore_dust = bool(opportunity_config.get("ignore_dust", True))
signal_weights = get_signal_weights(config)
interval = get_signal_interval(config)
thresholds = _opportunity_thresholds(config)
scan_limit = int(opportunity_config.get("scan_limit", 50))
top_n = int(opportunity_config.get("top_n", 10))
quote = str(config.get("market", {}).get("default_quote", "USDT")).upper()
held_positions = get_positions(config, spot_client=spot_client)["positions"]
held_positions = get_positions(config, spot_client=spot_client, ignore_dust=ignore_dust)["positions"]
concentration_map = {normalize_symbol(item["symbol"]): float(item["notional_usdt"]) for item in held_positions}
total_held = sum(concentration_map.values()) or 1.0

View File

@@ -93,3 +93,14 @@ class AccountMarketServicesTestCase(unittest.TestCase):
universe = market_service.get_scan_universe(config, spot_client=FakeSpotClient())
self.assertEqual([item["symbol"] for item in universe], ["BTCUSDT", "ETHUSDT"])
def test_get_positions_can_include_dust(self):
config = {
"market": {"default_quote": "USDT"},
"trading": {"dust_usdt_threshold": 10.0},
}
ignored = account_service.get_positions(config, spot_client=FakeSpotClient())
included = account_service.get_positions(config, spot_client=FakeSpotClient(), ignore_dust=False)
self.assertEqual([item["symbol"] for item in ignored["positions"]], ["USDT", "BTCUSDT"])
self.assertEqual([item["symbol"] for item in included["positions"]], ["USDT", "BTCUSDT", "DOGEUSDT"])

View File

@@ -100,6 +100,39 @@ class FakeSpotClient:
return rows
class DustOverlapSpotClient(FakeSpotClient):
def account_info(self):
return {"balances": [{"asset": "XRP", "free": "5", "locked": "0"}]}
def ticker_price(self, symbols=None):
mapping = {"XRPUSDT": {"symbol": "XRPUSDT", "price": "1.5"}}
return [mapping[symbol] for symbol in symbols]
def ticker_stats(self, symbols=None, *, window="1d"):
rows = {
"XRPUSDT": {
"symbol": "XRPUSDT",
"lastPrice": "1.5",
"priceChangePercent": "10",
"quoteVolume": "5000000",
"highPrice": "1.52",
"lowPrice": "1.2",
}
}
if not symbols:
return list(rows.values())
return [rows[symbol] for symbol in symbols]
def exchange_info(self):
return {"symbols": [{"symbol": "XRPUSDT", "status": "TRADING"}]}
def klines(self, symbol, interval, limit):
rows = []
for index, close in enumerate([1.0, 1.1, 1.2, 1.3, 1.4, 1.45, 1.5][-limit:]):
rows.append([index, close * 0.98, close * 1.01, close * 0.97, close, 100 + index * 10, index + 1, close * 100])
return rows
class OpportunityServiceTestCase(unittest.TestCase):
def setUp(self):
self.config = {
@@ -149,6 +182,31 @@ class OpportunityServiceTestCase(unittest.TestCase):
self.assertEqual([item["symbol"] for item in payload["recommendations"]], ["SOLUSDT", "BTCUSDT"])
self.assertEqual([item["action"] for item in payload["recommendations"]], ["enter", "enter"])
def test_scan_respects_ignore_dust_for_overlap_penalty(self):
client = DustOverlapSpotClient()
base_config = self.config | {
"opportunity": self.config["opportunity"] | {
"top_n": 1,
"ignore_dust": True,
"overlap_penalty": 2.0,
}
}
with patch.object(opportunity_service, "audit_event", return_value=None):
ignored = opportunity_service.scan_opportunities(base_config, spot_client=client, symbols=["XRPUSDT"])
included = opportunity_service.scan_opportunities(
base_config | {"opportunity": base_config["opportunity"] | {"ignore_dust": False}},
spot_client=client,
symbols=["XRPUSDT"],
)
ignored_rec = ignored["recommendations"][0]
included_rec = included["recommendations"][0]
self.assertEqual(ignored_rec["action"], "enter")
self.assertEqual(ignored_rec["metrics"]["position_weight"], 0.0)
self.assertEqual(included_rec["action"], "skip")
self.assertEqual(included_rec["metrics"]["position_weight"], 1.0)
self.assertLess(included_rec["score"], ignored_rec["score"])
def test_signal_score_handles_empty_klines(self):
score, metrics = signal_service.score_market_signal([], [], {"price_change_pct": 1.0}, {})
self.assertEqual(score, 0.0)