feat: 添加布林带宽度计算功能及相关配置项，优化趋势引擎以支持布林带宽度过滤

src/config.ts

@@ -12,6 +12,9 @@ export interface TradingConfig {
   maxCloseSlippagePct: number;
   priceTick: number; // price tick size, e.g. 0.1 for BTCUSDT
   qtyStep: number;   // quantity step size, e.g. 0.001 BTC
+  bollingerLength: number;
+  bollingerStdMultiplier: number;
+  minBollingerBandwidth: number;
 }
 
 function parseNumber(value: string | undefined, fallback: number): number {
@@ -34,6 +37,9 @@ export const tradingConfig: TradingConfig = {
   maxCloseSlippagePct: parseNumber(process.env.MAX_CLOSE_SLIPPAGE_PCT, 0.05),
   priceTick: parseNumber(process.env.PRICE_TICK, 0.1),
   qtyStep: parseNumber(process.env.QTY_STEP, 0.001),
+  bollingerLength: parseNumber(process.env.BOLLINGER_LENGTH, 20),
+  bollingerStdMultiplier: parseNumber(process.env.BOLLINGER_STD_MULTIPLIER, 2),
+  minBollingerBandwidth: parseNumber(process.env.MIN_BOLLINGER_BANDWIDTH, 0.1),
 };
 
 export interface MakerConfig {

src/core/trend-engine.ts

@@ -11,6 +11,7 @@ import type {
 import {
   calcStopLossPrice,
   calcTrailingActivationPrice,
+  computeBollingerBandwidth,
   getPosition,
   getSMA,
   type PositionSnapshot,
@@ -37,6 +38,7 @@ export interface TrendEngineSnapshot {
   symbol: string;
   lastPrice: number | null;
   sma30: number | null;
+  bollingerBandwidth: number | null;
   trend: "做多" | "做空" | "无信号";
   position: PositionSnapshot;
   pnl: number;
@@ -78,6 +80,7 @@ export class TrendEngine {
   private processing = false;
   private lastPrice: number | null = null;
   private lastSma30: number | null = null;
+  private lastBollingerBandwidth: number | null = null;
   private totalProfit = 0;
   private totalTrades = 0;
   private lastOpenPlan: OpenOrderPlan = { side: null, price: null };
@@ -99,6 +102,7 @@ export class TrendEngine {
   private lastEntryMinute: number | null = null;
   // 止损后冷却：止损发生后的 60s 内忽略 SMA 入场信号
   private lastStopLossAt: number | null = null;
+  private lastBollingerBlockLogged = 0;
 
   private ordersSnapshotReady = false;
   private startupLogged = false;
@@ -243,11 +247,12 @@ export class TrendEngine {
   }
 
   private isReady(): boolean {
+    const minKlines = Math.max(30, this.config.bollingerLength);
     return Boolean(
       this.accountSnapshot &&
         this.tickerSnapshot &&
         this.depthSnapshot &&
-        this.klineSnapshot.length >= 30
+        this.klineSnapshot.length >= minKlines
     );
   }
 
@@ -277,13 +282,19 @@ export class TrendEngine {
       if (sma30 == null) {
         return;
       }
+      const bollingerBandwidth = computeBollingerBandwidth(
+        this.klineSnapshot,
+        this.config.bollingerLength,
+        this.config.bollingerStdMultiplier
+      );
+      this.lastBollingerBandwidth = bollingerBandwidth;
       const ticker = this.tickerSnapshot!;
       const price = Number(ticker.lastPrice);
       const position = getPosition(this.accountSnapshot, this.config.symbol);
 
       if (Math.abs(position.positionAmt) < 1e-5) {
         if (!this.rateLimit.shouldBlockEntries()) {
-          await this.handleOpenPosition(price, sma30);
+          await this.handleOpenPosition(price, sma30, bollingerBandwidth);
         }
       } else {
         const result = await this.handlePositionManagement(position, price);
@@ -345,7 +356,11 @@ export class TrendEngine {
     this.startupLogged = true;
   }
 
-  private async handleOpenPosition(currentPrice: number, currentSma: number): Promise<void> {
+  private async handleOpenPosition(
+    currentPrice: number,
+    currentSma: number,
+    currentBandwidth: number | null
+  ): Promise<void> {
     this.entryPricePendingLogged = false;
     const now = Date.now();
     const currentMinute = Math.floor(now / 60_000);
@@ -360,6 +375,20 @@ export class TrendEngine {
       this.tradeLog.push("info", "本分钟已入场，忽略新的 SMA 入场信号");
       return;
     }
+    if (
+      Number.isFinite(currentBandwidth) &&
+      this.config.minBollingerBandwidth > 0 &&
+      Number(currentBandwidth) < this.config.minBollingerBandwidth
+    ) {
+      if (now - this.lastBollingerBlockLogged > 15_000) {
+        this.tradeLog.push(
+          "info",
+          `布林带宽度不足：${Number(currentBandwidth).toFixed(4)} < ${this.config.minBollingerBandwidth}，忽略入场信号`
+        );
+        this.lastBollingerBlockLogged = now;
+      }
+      return;
+    }
     if (this.lastPrice == null) {
       this.lastPrice = currentPrice;
       return;
@@ -852,6 +881,7 @@ export class TrendEngine {
       symbol: this.config.symbol,
       lastPrice: price,
       sma30,
+      bollingerBandwidth: this.lastBollingerBandwidth,
       trend,
       position,
       pnl,

src/utils/strategy.ts

@@ -52,6 +52,37 @@ export function calcTrailingActivationPrice(entryPrice: number, qty: number, sid
   return entryPrice - profit / Math.abs(qty);
 }
 
+export function computeBollingerBandwidth(
+  values: AsterKline[],
+  length: number,
+  stdMultiplier: number
+): number | null {
+  const period = Number.isInteger(length) ? Number(length) : 0;
+  const multiplier = Number.isFinite(stdMultiplier) ? stdMultiplier : 0;
+  if (!Array.isArray(values) || period <= 0 || values.length < period || multiplier <= 0) {
+    return null;
+  }
+  const window = values.slice(-period);
+  const closes = window.map((kline) => Number(kline.close));
+  if (closes.some((close) => !Number.isFinite(close))) {
+    return null;
+  }
+  const mean = closes.reduce((sum, price) => sum + price, 0) / period;
+  if (!Number.isFinite(mean) || mean <= 0) {
+    return null;
+  }
+  const variance = closes.reduce((sum, price) => {
+    const diff = price - mean;
+    return sum + diff * diff;
+  }, 0) / period;
+  const std = Math.sqrt(Math.max(variance, 0));
+  const width = std * multiplier * 2;
+  if (!Number.isFinite(width)) {
+    return null;
+  }
+  return width / mean;
+}
+
 /**
  * Return true if the intended order price is within the allowed deviation from mark price.
  * - For BUY: orderPrice must be <= markPrice * (1 + maxPct)