"""
WT Bot v3 — Market Screener
==============================
Сканирует ВСЕ USDT фьючерсы на Binance, фильтрует по:
1. Volume 24h > $50M
2. Trades 24h > 1M
3. ATR(14) в зоне 5-12%
4. Не в чёрном списке
Из прошедших: считает WT + EMA200, кто в зоне → в вайтлист.
"""
import time
import json
import logging
from datetime import datetime, timezone
import numpy as np
import pandas as pd
from src.config import (
BLACKLIST, MIN_VOLUME_24H, MIN_TRADES_24H,
ATR_MIN_PCT, ATR_MAX_PCT, ATR_PERIOD, NATR_5M_MIN,
TIMEFRAME, WHITELIST_FILE, COOLDOWNS_FILE, COOLDOWN_MIN,
)
from src.indicators import calc_wavetrend, calc_ema, calc_atr_pct, is_in_wt_zone
logger = logging.getLogger("screener")
class Screener:
def __init__(self, exchange, notifier=None):
self.exchange = exchange
self.notifier = notifier # async notify function
self.whitelist = []
self.get_open_positions = None # callback: returns dict of open positions
self._load_whitelist()
# ============================================================
# PHASE 1: Quick filter (1 API call for ALL pairs)
# ============================================================
def get_candidates(self):
"""
Фильтр первого уровня — один запрос ticker/24hr.
Возвращает список символов прошедших vol + trades + blacklist.
"""
tickers = self.exchange.get_all_tickers_24h()
candidates = []
for t in tickers:
symbol = t["symbol"]
# Только USDT пары
if not symbol.endswith("USDT"):
continue
# Чёрный список
if symbol in BLACKLIST:
continue
volume_24h = float(t.get("quoteVolume", 0))
trades_24h = int(t.get("count", 0))
# Фильтры
if volume_24h < MIN_VOLUME_24H:
continue
if trades_24h < MIN_TRADES_24H:
continue
candidates.append({
"symbol": symbol,
"volume_24h": volume_24h,
"trades_24h": trades_24h,
"price": float(t.get("lastPrice", 0)),
"change_pct": float(t.get("priceChangePercent", 0)),
})
logger.info(f"Phase 1: {len(candidates)} candidates (vol>${MIN_VOLUME_24H/1e6:.0f}M, trades>{MIN_TRADES_24H/1e3:.0f}K)")
return candidates
# ============================================================
# PHASE 2: ATR filter (klines for each candidate)
# ============================================================
def filter_by_atr(self, candidates):
"""
Фильтр второго уровня — ATR(14)/1h в зоне + NATR(14)/5m >= 1.2%.
NATR/5m отсекает "спящие" монеты с низкой внутрисвечной волатильностью.
"""
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 not (ATR_MIN_PCT <= atr_pct <= ATR_MAX_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) # Rate limit
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}-{ATR_MAX_PCT}%) + NATR/5m>={NATR_5M_MIN}%")
return passed
# ============================================================
# PHASE 3: WT zone check → whitelist
# ============================================================
def check_wt_zones(self, candidates):
"""
Фильтр третьего уровня — WT в зоне перекупленности/перепроданности
+ EMA200 тренд фильтр. Добавляет в вайтлист.
"""
new_whitelist_entries = []
cooldowns = self._load_cooldowns()
for c in candidates:
symbol = c["symbol"]
# Проверка cooldown
if symbol in cooldowns:
cooldown_until = cooldowns[symbol]
if time.time() < cooldown_until:
continue
try:
# Получаем 250 свечей 5m для WT + EMA200
klines = self.exchange.get_klines(symbol, TIMEFRAME, limit=250)
if len(klines) < 210:
continue
# Считаем индикаторы
wt1, wt2 = calc_wavetrend(klines)
ema200 = calc_ema(klines, 200)
if wt1 is None or ema200 is None:
continue
last_close = float(klines[-2][4]) # Закрытая свеча, не текущая!
zone = is_in_wt_zone(wt1, wt2)
if zone == 0:
continue # Не в зоне
# EMA200 фильтр
if zone == 1 and last_close <= ema200:
continue # Oversold но цена ниже EMA — нет лонга
if zone == -1 and last_close >= ema200:
continue # Overbought но цена выше EMA — нет шорта
entry = {
"symbol": symbol,
"zone": zone, # 1 = oversold (long), -1 = overbought (short)
"wt1": round(wt1, 2),
"wt2": round(wt2, 2),
"ema200": round(ema200, 4),
"price": last_close,
"atr_pct": c.get("atr_pct", 0),
"volume_24h": c["volume_24h"],
"added_at": datetime.now(timezone.utc).isoformat(),
}
new_whitelist_entries.append(entry)
logger.info(
f"→ WHITELIST: {symbol} zone={'OVERSOLD' if zone == 1 else 'OVERBOUGHT'} "
f"WT1={wt1:.1f} price={last_close} EMA200={ema200:.4f}"
)
time.sleep(0.05)
except Exception as e:
logger.debug(f"WT check error {symbol}: {e}")
continue
# Обновляем вайтлист — добавляем ТОЛЬКО новые, убираем дубли и открытые позиции
existing_symbols = {e["symbol"] for e in self.whitelist}
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_whitelist_entries:
if entry["symbol"] in open_positions:
logger.debug(f"Skip WL {entry['symbol']}: already have open position")
continue
if entry["symbol"] not in existing_symbols:
self.whitelist.append(entry)
actually_added.append(entry)
self._save_whitelist()
logger.info(f"Phase 3: {len(actually_added)} new, {len(self.whitelist)} total in whitelist")
# Notify ONLY for actually new entries (not already in whitelist)
for entry in actually_added:
zone_str = "🟢 OVERSOLD → Long" if entry["zone"] == 1 else "🔴 OVERBOUGHT → Short"
msg = (
f"📋 **WHITELIST: {entry['symbol']}**\n"
f"{zone_str}\n"
f"WT1={entry['wt1']:.1f} | WT2={entry['wt2']:.1f}\n"
f"ATR={entry.get('atr_pct', '?')}% | Price={entry['price']}\n"
f"⏳ Ждём WT cross..."
)
self._notify(msg)
return actually_added
# ============================================================
# FULL SCAN
# ============================================================
def _cleanup_stale_whitelist(self):
"""Убрать записи: 1) с открытой позицией, 2) старше 4 часов, 3) вышедшие из WT зоны."""
if not self.whitelist:
return
# Get open positions to exclude
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.whitelist)
fresh = []
for entry in self.whitelist:
# Skip symbols with open positions
if entry["symbol"] in open_positions:
logger.info(f"Whitelist removed: {entry['symbol']} has open position")
continue
symbol = entry["symbol"]
# TTL check
added = entry.get("added_at", "")
if added:
try:
added_dt = datetime.fromisoformat(added)
age_min = (now - added_dt).total_seconds() / 60
if age_min > 240: # 4 часа
logger.info(f"Whitelist expired: {symbol} (age={age_min:.0f}min)")
continue
except Exception:
pass
# Zone check — если WT вышел из зоны, монета неактуальна
# НО: grace period 30 мин — кросс часто происходит при выходе из зоны
try:
age_min_zone = 0
if added:
try:
age_min_zone = (now - datetime.fromisoformat(added)).total_seconds() / 60
except Exception:
pass
if age_min_zone >= 30: # grace period: не удалять первые 30 мин
klines = self.exchange.get_klines(symbol, TIMEFRAME, limit=50)
if len(klines) >= 35:
wt1, wt2 = calc_wavetrend(klines)
if wt1 is not None:
zone_now = is_in_wt_zone(wt1, wt2)
if zone_now == 0:
logger.info(f"Whitelist removed: {symbol} left WT zone (WT1={wt1:.1f})")
continue
time.sleep(0.05)
except Exception:
pass
fresh.append(entry)
self.whitelist = fresh
if len(fresh) < before:
self._save_whitelist()
def run_scan(self):
"""Полный цикл сканирования."""
logger.info("=" * 40)
logger.info("SCAN START")
start = time.time()
self._cleanup_stale_whitelist()
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_wt_zones(atr_passed)
elapsed = round(time.time() - start, 1)
logger.info(f"SCAN DONE in {elapsed}s | candidates={len(candidates)} → ATR={len(atr_passed)} → new WL={len(new_entries)}")
return new_entries
# ============================================================
# WHITELIST MANAGEMENT
# ============================================================
def remove_from_whitelist(self, symbol):
"""Убрать символ из вайтлиста (после входа или выхода из зоны)."""
self.whitelist = [e for e in self.whitelist if e["symbol"] != symbol]
self._save_whitelist()
def get_whitelist(self):
"""Текущий вайтлист."""
return self.whitelist.copy()
def add_cooldown(self, symbol):
"""Добавить cooldown на символ (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_whitelist(self):
try:
with open(WHITELIST_FILE, "r") as f:
data = json.load(f)
self.whitelist = data.get("whitelist", []) if isinstance(data, dict) else data
except Exception:
self.whitelist = []
def _save_whitelist(self):
try:
with open(WHITELIST_FILE, "w") as f:
json.dump({
"whitelist": self.whitelist,
"updated_at": datetime.now(timezone.utc).isoformat(),
}, f, indent=2)
except Exception as e:
logger.error(f"Error saving whitelist: {e}")
def _load_cooldowns(self):
try:
with open(COOLDOWNS_FILE, "r") as f:
cooldowns = json.load(f)
# Cleanup expired
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}")
📜 Git History
c6f6bd5chore: initial commit — version control setup5 weeks ago
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