""" Squeeze-VWAP Bot — Market Screener ===================================== 3-фазное сканирование: 1. Volume + Trades фильтр (1 API call) 2. ATR волатильность фильтр 3. Squeeze + Z-VWAP combo signal → watchlist Ищет монеты где: - Squeeze сжат ИЛИ только что released - Z-VWAP отклонился от fair value - Waddah показывает силу """ import time import json import logging from datetime import datetime, timezone from src.config import ( BLACKLIST, MIN_VOLUME_24H, MIN_TRADES_24H, ATR_MIN_PCT, ATR_PERIOD, NATR_5M_MIN, TIMEFRAME, WATCHLIST_FILE, COOLDOWNS_FILE, COOLDOWN_MIN, ZVWAP_ENTRY_THRESHOLD, ) from src.indicators import ( calc_atr_pct, calc_squeeze_momentum, calc_z_vwap, calc_waddah_attar, calc_adx, calc_combo_signal, ) logger = logging.getLogger("screener") class Screener: def __init__(self, exchange, notifier=None): self.exchange = exchange self.notifier = notifier self.watchlist = [] self.get_open_positions = None # callback self._load_watchlist() # ============================================================ # PHASE 1: Quick filter (1 API call) # ============================================================ def get_candidates(self): """Фильтр первого уровня — vol + trades + blacklist.""" tickers = self.exchange.get_all_tickers_24h() candidates = [] for t in tickers: symbol = t["symbol"] if not symbol.endswith("USDT"): continue if symbol in BLACKLIST: continue volume_24h = float(t.get("quoteVolume", 0)) trades_24h = int(t.get("count", 0)) if volume_24h < MIN_VOLUME_24H: continue if trades_24h < MIN_TRADES_24H: continue candidates.append({ "symbol": symbol, "volume_24h": volume_24h, "trades_24h": trades_24h, "price": float(t.get("lastPrice", 0)), "change_pct": float(t.get("priceChangePercent", 0)), }) logger.info( f"Phase 1: {len(candidates)} candidates " f"(vol>${MIN_VOLUME_24H / 1e6:.0f}M, trades>{MIN_TRADES_24H / 1e3:.0f}K)" ) return candidates # ============================================================ # PHASE 2: ATR volatility filter # ============================================================ def filter_by_atr(self, candidates): """Фильтр второго уровня — ATR(14)/1h >= порога + NATR(14)/5m >= 1.2%.""" passed = [] for c in candidates: symbol = c["symbol"] try: # ATR on 1h klines = self.exchange.get_klines(symbol, "1h", limit=ATR_PERIOD + 5) if len(klines) < ATR_PERIOD + 1: continue atr_pct = calc_atr_pct(klines, ATR_PERIOD) if atr_pct is None: continue if atr_pct < ATR_MIN_PCT: continue # NATR on 5m — skip sleepy coins klines_5m = self.exchange.get_klines(symbol, "5m", limit=ATR_PERIOD + 5) if len(klines_5m) >= ATR_PERIOD + 1: natr_5m = calc_atr_pct(klines_5m, ATR_PERIOD) if natr_5m is not None and natr_5m < NATR_5M_MIN: logger.debug(f"NATR/5m skip {symbol}: {natr_5m:.2f}% < {NATR_5M_MIN}%") continue c["natr_5m"] = round(natr_5m, 2) if natr_5m else None c["atr_pct"] = round(atr_pct, 2) passed.append(c) time.sleep(0.05) except Exception as e: logger.debug(f"ATR error {symbol}: {e}") continue logger.info(f"Phase 2: {len(passed)} passed ATR filter (>={ATR_MIN_PCT}%) + NATR/5m>={NATR_5M_MIN}%") return passed # ============================================================ # PHASE 3: Squeeze + Z-VWAP combo → watchlist # ============================================================ def check_combo_signals(self, candidates): """ Фильтр третьего уровня — полный combo signal. Добавляет в watchlist если: - Z-VWAP отклонился (|Z| > threshold) → direction - Squeeze: в сжатии ИЛИ только что released - Любой дополнительный confluence (Waddah, histogram, ADX) Минимальный score для watchlist: 2 (direction + хотя бы 1 confluence) Score >= 3 нужен для ВХОДА (проверяется в manager) """ new_entries = [] cooldowns = self._load_cooldowns() for c in candidates: symbol = c["symbol"] # Cooldown check if symbol in cooldowns and time.time() < cooldowns[symbol]: continue try: # 300 свечей 5m для всех индикаторов klines = self.exchange.get_klines(symbol, TIMEFRAME, limit=300) if len(klines) < 100: continue combo = calc_combo_signal(klines) if combo is None: continue # Минимум score 2 для watchlist (direction + 1 confluence) if combo['score'] < 2: continue entry = { "symbol": symbol, "direction": combo['direction'], # 1=long, -1=short "score": combo['score'], "z_score": round(combo['zvwap']['z_score'], 2), "vwap": round(combo['zvwap']['vwap'], 6), "is_squeeze": bool(combo['squeeze']['is_squeeze']), "squeeze_released": bool(combo['squeeze']['squeeze_released']), "histogram": round(combo['squeeze']['histogram'], 6), "waddah_strong": bool(combo['waddah']['is_strong']), "waddah_dir": combo['waddah']['direction'], "adx": round(combo['adx']['adx'], 1), "is_trending": bool(combo['adx']['is_trending']), "reasons": combo['reasons'], "price": float(klines[-2][4]), "atr_pct": c.get("atr_pct", 0), "volume_24h": c["volume_24h"], "added_at": datetime.now(timezone.utc).isoformat(), } new_entries.append(entry) dir_str = "🟢 LONG" if combo['direction'] == 1 else "🔴 SHORT" logger.info( f"→ WATCHLIST: {symbol} {dir_str} score={combo['score']}/5 " f"Z={combo['zvwap']['z_score']:.2f} " f"sqz={'SQZ' if combo['squeeze']['is_squeeze'] else 'REL' if combo['squeeze']['squeeze_released'] else '---'} " f"wad={'STR' if combo['waddah']['is_strong'] else 'low'}" ) time.sleep(0.05) except Exception as e: logger.debug(f"Combo error {symbol}: {e}") continue # Update watchlist — add new, skip duplicates & open positions existing_symbols = {e["symbol"] for e in self.watchlist} open_positions = set() if self.get_open_positions: try: open_positions = set(self.get_open_positions().keys()) except Exception: pass actually_added = [] for entry in new_entries: if entry["symbol"] in open_positions: continue if entry["symbol"] not in existing_symbols: self.watchlist.append(entry) actually_added.append(entry) else: # Update existing entry with fresh data for i, existing in enumerate(self.watchlist): if existing["symbol"] == entry["symbol"]: self.watchlist[i] = entry break self._save_watchlist() logger.info( f"Phase 3: {len(actually_added)} new, " f"{len(self.watchlist)} total in watchlist" ) # Notify new entries for entry in actually_added: dir_str = "🟢 LONG" if entry["direction"] == 1 else "🔴 SHORT" sqz_str = "🔴 In Squeeze" if entry["is_squeeze"] else ("💥 Released!" if entry["squeeze_released"] else "⚪ No squeeze") reasons_str = "\n".join(f" • {r}" for r in entry["reasons"]) msg = ( f"📋 *WATCHLIST: {entry['symbol']}*\n" f"{dir_str} | Score: {entry['score']}/5\n" f"Z-VWAP: {entry['z_score']:+.2f}\n" f"Squeeze: {sqz_str}\n" f"Waddah: {'💪 Strong' if entry['waddah_strong'] else '🤏 Weak'}\n" f"ADX: {entry['adx']:.0f} ({'trending ⚠️' if entry['is_trending'] else 'ranging ✓'})\n" f"{reasons_str}\n" f"⏳ Ждём score ≥ 3 для входа..." ) self._notify(msg) return actually_added # ============================================================ # FULL SCAN # ============================================================ def _cleanup_stale_watchlist(self): """Убрать: 1) open positions, 2) старше 2ч, 3) Z вернулся к neutral.""" if not self.watchlist: return open_positions = set() if self.get_open_positions: try: open_positions = set(self.get_open_positions().keys()) except Exception: pass now = datetime.now(timezone.utc) before = len(self.watchlist) fresh = [] for entry in self.watchlist: symbol = entry["symbol"] # Skip if has open position if symbol in open_positions: continue # TTL: 2 hours max added = entry.get("added_at", "") if added: try: age_min = (now - datetime.fromisoformat(added)).total_seconds() / 60 if age_min > 120: logger.info(f"Watchlist expired: {symbol} (age={age_min:.0f}min)") continue except Exception: pass # Z-VWAP check: if Z returned to neutral, remove # (only after 15 min grace period) try: age_min_check = 0 if added: try: age_min_check = (now - datetime.fromisoformat(added)).total_seconds() / 60 except Exception: pass if age_min_check >= 15: klines = self.exchange.get_klines(symbol, TIMEFRAME, limit=100) if len(klines) >= 60: zvwap = calc_z_vwap(klines) if zvwap and abs(zvwap['z_score']) < 0.8: logger.info( f"Watchlist removed: {symbol} Z returned to neutral " f"(Z={zvwap['z_score']:.2f})" ) continue time.sleep(0.05) except Exception: pass fresh.append(entry) self.watchlist = fresh if len(fresh) < before: self._save_watchlist() def run_scan(self): """Полный цикл сканирования.""" logger.info("=" * 40) logger.info("SCAN START") start = time.time() self._cleanup_stale_watchlist() candidates = self.get_candidates() if not candidates: logger.warning("No candidates found") return [] atr_passed = self.filter_by_atr(candidates) if not atr_passed: logger.info("No candidates passed ATR filter") return [] new_entries = self.check_combo_signals(atr_passed) elapsed = round(time.time() - start, 1) logger.info( f"SCAN DONE in {elapsed}s | " f"candidates={len(candidates)} → ATR={len(atr_passed)} → " f"new WL={len(new_entries)}" ) return new_entries # ============================================================ # WATCHLIST MANAGEMENT # ============================================================ def remove_from_watchlist(self, symbol): """Убрать символ из watchlist.""" self.watchlist = [e for e in self.watchlist if e["symbol"] != symbol] self._save_watchlist() def get_watchlist(self): """Текущий watchlist.""" return self.watchlist.copy() def add_cooldown(self, symbol): """Добавить cooldown после стопа.""" cooldowns = self._load_cooldowns() cooldowns[symbol] = time.time() + (COOLDOWN_MIN * 60) self._save_cooldowns(cooldowns) logger.info(f"Cooldown {COOLDOWN_MIN}min set for {symbol}") # ============================================================ # PERSISTENCE # ============================================================ def _load_watchlist(self): try: with open(WATCHLIST_FILE, "r") as f: data = json.load(f) self.watchlist = data.get("watchlist", []) if isinstance(data, dict) else data except Exception: self.watchlist = [] def _save_watchlist(self): try: with open(WATCHLIST_FILE, "w") as f: json.dump({ "watchlist": self.watchlist, "updated_at": datetime.now(timezone.utc).isoformat(), }, f, indent=2) except Exception as e: logger.error(f"Error saving watchlist: {e}") def _load_cooldowns(self): try: with open(COOLDOWNS_FILE, "r") as f: cooldowns = json.load(f) now = time.time() return {k: v for k, v in cooldowns.items() if v > now} except Exception: return {} def _save_cooldowns(self, cooldowns): try: with open(COOLDOWNS_FILE, "w") as f: json.dump(cooldowns, f, indent=2) except Exception as e: logger.error(f"Error saving cooldowns: {e}") def _notify(self, msg): if self.notifier: try: self.notifier(msg) except Exception as e: logger.debug(f"Notify error: {e}")