增加策略交易

strategy_roll_lib.py

@@ -0,0 +1,170 @@
+"""顺势加仓（滚仓）：纯计算。人工触发；止盈锁定首仓；斐波仅算限价。"""
+from __future__ import annotations
+
+from typing import Any, Optional, Tuple
+
+from fib_key_monitor_lib import calc_fib_plan, fib_ratio_from_type
+
+ROLL_MAX_LEGS_LONG = 3
+ROLL_MAX_LEGS_SHORT = 3
+FIB_MODES = frozenset({"fib_618", "fib_786"})
+
+
+def fib_ratio_from_mode(mode: str) -> Optional[float]:
+    m = (mode or "").strip().lower()
+    if m in ("fib_618", "618", "0.618"):
+        return 0.618
+    if m in ("fib_786", "786", "0.786"):
+        return 0.786
+    return None
+
+
+def fib_limit_entry(direction: str, upper: float, lower: float, mode: str) -> Tuple[Optional[float], Optional[str]]:
+    """H/L 仅用于计算限价加仓价；多：下沿=止损侧；空：上沿=止损侧。"""
+    ratio = fib_ratio_from_mode(mode)
+    if ratio is None:
+        return None, "斐波档位无效"
+    h, l = float(upper), float(lower)
+    if h <= l:
+        return None, "上沿须大于下沿"
+    direction = (direction or "long").strip().lower()
+    if direction == "short":
+        plan = calc_fib_plan("short", h, l, ratio)
+    else:
+        plan = calc_fib_plan("long", h, l, ratio)
+    if not plan:
+        return None, "无法计算斐波限价"
+    entry, _sl, _tp = plan
+    return float(entry), None
+
+
+def max_roll_legs(direction: str) -> int:
+    return ROLL_MAX_LEGS_LONG if (direction or "long").strip().lower() == "long" else ROLL_MAX_LEGS_SHORT
+
+
+def solve_add_amount_for_total_risk(
+    direction: str,
+    qty_existing: float,
+    entry_existing: float,
+    add_price: float,
+    new_stop: float,
+    risk_budget_usdt: float,
+) -> Tuple[Optional[float], Optional[str]]:
+    """
+    已知合并后若触及 new_stop 总亏损=risk_budget，反推本次加仓张数 Q2。
+    long:  (avg - SL) * (Q1+Q2) = B  => Q2 = (B - Q1*(E1-SL)) / (E2-SL)
+    short: (SL - avg) * (Q1+Q2) = B  => Q2 = (B - Q1*(SL-E1)) / (SL-E2)
+    """
+    try:
+        q1 = float(qty_existing)
+        e1 = float(entry_existing)
+        e2 = float(add_price)
+        sl = float(new_stop)
+        b = float(risk_budget_usdt)
+    except (TypeError, ValueError):
+        return None, "参数格式错误"
+    if q1 <= 0 or e1 <= 0 or e2 <= 0 or b <= 0:
+        return None, "持仓或风险预算无效"
+    direction = (direction or "long").strip().lower()
+    if direction == "short":
+        denom = sl - e2
+        numer = b - q1 * (sl - e1)
+        if denom <= 0:
+            return None, "做空：新止损须高于限价加仓价"
+    else:
+        denom = e2 - sl
+        numer = b - q1 * (e1 - sl)
+        if denom <= 0:
+            return None, "做多：新止损须低于限价/市价加仓价"
+    q2 = numer / denom
+    if q2 <= 0:
+        return None, "按当前新止损与总风险%，无需加仓或无法再加（已满足风险上限）"
+    return q2, None
+
+
+def preview_roll(
+    *,
+    direction: str,
+    symbol: str,
+    qty_existing: float,
+    entry_existing: float,
+    initial_take_profit: float,
+    add_mode: str,
+    new_stop_loss: float,
+    risk_percent: float,
+    capital_base_usdt: float,
+    add_price: Optional[float] = None,
+    fib_upper: Optional[float] = None,
+    fib_lower: Optional[float] = None,
+    legs_done: int = 0,
+) -> Tuple[Optional[dict[str, Any]], Optional[str]]:
+    direction = (direction or "long").strip().lower()
+    if legs_done >= max_roll_legs(direction):
+        return None, f"{'做多' if direction == 'long' else '做空'}滚仓已达 {max_roll_legs(direction)} 次上限"
+    mode = (add_mode or "market").strip().lower()
+    if mode == "market":
+        if add_price is None or add_price <= 0:
+            return None, "市价加仓需要有效参考价"
+        entry_add = float(add_price)
+        mode_label = "市价"
+    elif mode in FIB_MODES:
+        if fib_upper is None or fib_lower is None:
+            return None, "斐波限价须填写上沿与下沿"
+        entry_add, err = fib_limit_entry(direction, float(fib_upper), float(fib_lower), mode)
+        if err:
+            return None, err
+        mode_label = "斐波0.618" if "618" in mode else "斐波0.786"
+    else:
+        return None, "加仓方式无效"
+    try:
+        sl = float(new_stop_loss)
+        tp = float(initial_take_profit)
+    except (TypeError, ValueError):
+        return None, "止损/止盈格式错误"
+    if sl <= 0 or tp <= 0:
+        return None, "止损与首仓止盈须大于0"
+    if direction == "long":
+        if sl >= entry_add:
+            return None, "做多：新止损须低于加仓价"
+        if tp <= entry_existing:
+            return None, "做多：首仓止盈须高于当前持仓均价参考"
+    else:
+        if sl <= entry_add:
+            return None, "做空：新止损须高于加仓价"
+        if tp >= entry_existing:
+            return None, "做空：首仓止盈须低于当前持仓均价参考"
+    risk_budget = float(capital_base_usdt) * (float(risk_percent) / 100.0)
+    q2_raw, err = solve_add_amount_for_total_risk(
+        direction, qty_existing, entry_existing, entry_add, sl, risk_budget
+    )
+    if err:
+        return None, err
+    q2 = float(q2_raw)
+    new_qty = qty_existing + q2
+    new_avg = (qty_existing * entry_existing + q2 * entry_add) / new_qty
+    if direction == "long":
+        loss_at_sl = (new_avg - sl) * new_qty
+        reward_at_tp = (tp - new_avg) * new_qty
+    else:
+        loss_at_sl = (sl - new_avg) * new_qty
+        reward_at_tp = (new_avg - tp) * new_qty
+    return {
+        "symbol": symbol,
+        "direction": direction,
+        "add_mode": mode,
+        "add_mode_label": mode_label,
+        "add_price": round(entry_add, 10),
+        "new_stop_loss": sl,
+        "initial_take_profit": tp,
+        "risk_percent": float(risk_percent),
+        "risk_budget_usdt": round(risk_budget, 4),
+        "add_amount_raw": q2,
+        "qty_after": new_qty,
+        "avg_entry_after": round(new_avg, 10),
+        "loss_at_sl_usdt": round(loss_at_sl, 4),
+        "reward_at_tp_usdt": round(reward_at_tp, 4),
+        "legs_done": int(legs_done),
+        "leg_index_next": int(legs_done) + 1,
+        "fib_upper": fib_upper,
+        "fib_lower": fib_lower,
+    }, None