From 32f4eec1d3ec5b288ca7ccfb434f2454b212ac68 Mon Sep 17 00:00:00 2001 From: dekun Date: Fri, 5 Jun 2026 16:20:59 +0800 Subject: [PATCH] fix: trend preview uses USDT profit, snapshot risk budget, and money RR across four exchanges Co-authored-by: Cursor --- crypto_monitor_gate_bot/app.py | 9 + hub_bridge.py | 19 +- strategy_templates/strategy_trend_panel.html | 16 +- strategy_trend_lib.py | 183 +++++++++++++++---- strategy_trend_register.py | 16 ++ tests/test_trend_preview_tp.py | 50 ++--- 6 files changed, 223 insertions(+), 70 deletions(-) diff --git a/crypto_monitor_gate_bot/app.py b/crypto_monitor_gate_bot/app.py index e529c3f..2af65d5 100644 --- a/crypto_monitor_gate_bot/app.py +++ b/crypto_monitor_gate_bot/app.py @@ -2839,6 +2839,7 @@ def parse_and_compute_trend_pullback_plan(form_dict): "leg_amounts_json": leg_json, "grid": grid, "leg_amounts": leg_list, + "contract_size": float(market.get("contractSize") or 1), } return payload, None @@ -5611,6 +5612,14 @@ def render_main_page(page="trade"): trend_preview = row_to_dict(pr) preview_expires_ms = int(pr["expires_at_ms"]) + if not trend_preview.get("contract_size"): + try: + ensure_markets_loaded() + ex_sym = trend_preview.get("exchange_symbol") or trend_preview.get("symbol") + mk = exchange.market(ex_sym) + trend_preview["contract_size"] = float(mk.get("contractSize") or 1) + except Exception: + pass trend_preview, trend_preview_levels = build_trend_preview_level_rows(trend_preview) elif pr: trend_preview_expired = True diff --git a/hub_bridge.py b/hub_bridge.py index fcdc55a..e50ab8b 100644 --- a/hub_bridge.py +++ b/hub_bridge.py @@ -597,7 +597,14 @@ def _fetch_preview(pid): from strategy_trend_lib import build_trend_preview_level_rows enriched, level_rows = build_trend_preview_level_rows(d) - for key in ("preview_target_rr", "preview_first_take_profit", "preview_unified_stop_loss"): + for key in ( + "preview_target_rr", + "preview_first_take_profit", + "preview_unified_stop_loss", + "preview_risk_amount_u", + "preview_first_profit_u", + "preview_take_profit_price", + ): if key in enriched: d[key] = enriched[key] d["preview_level_rows"] = level_rows @@ -607,9 +614,15 @@ def _fetch_preview(pid): "label": row.get("label"), "price": row.get("price"), "contracts": row.get("contracts"), + "cum_contracts": row.get("cum_contracts"), "avg_entry": row.get("avg_entry"), - "take_profit": row.get("take_profit"), - "stop_loss": row.get("stop_loss"), + "take_profit_price": row.get("take_profit_price"), + "profit_u": row.get("profit_u"), + "risk_u": row.get("risk_u"), + "rr": row.get("rr"), + "stop_loss_price": row.get("stop_loss_price"), + "take_profit": row.get("profit_u"), + "stop_loss": row.get("risk_u"), } for row in level_rows ] diff --git a/strategy_templates/strategy_trend_panel.html b/strategy_templates/strategy_trend_panel.html index 1e59553..4a3f041 100644 --- a/strategy_templates/strategy_trend_panel.html +++ b/strategy_templates/strategy_trend_panel.html @@ -47,19 +47,20 @@ {{ trend_preview.symbol }} {{ '做多' if trend_preview.direction == 'long' else '做空' }} {{ trend_preview.leverage }}x ｜ 预览可用快照 {{ mf(trend_preview.snapshot_available_usdt) }} U ｜ 参考价 {{ price_fmt(trend_preview.symbol, trend_preview.live_price_ref) }} ｜ 计划保证金≈{{ mf(trend_preview.plan_margin_capital) }} U ｜ 总张≈{{ amt_disp(trend_preview.symbol, trend_preview.target_order_amount) }}（首仓 {{ amt_disp(trend_preview.symbol, trend_preview.first_order_amount) }} + 补仓 {{ amt_disp(trend_preview.symbol, trend_preview.remainder_total) }}）
- 统一止损 {{ price_fmt(trend_preview.symbol, trend_preview.preview_unified_stop_loss or trend_preview.stop_loss) }} ｜ {{ trend_add_zone_label(trend_preview.direction) }} {{ price_fmt(trend_preview.symbol, trend_preview.add_upper) }} ｜ 表单止盈 {{ price_fmt(trend_preview.symbol, trend_preview.take_profit) }} ｜ 目标RR {% if trend_preview.preview_target_rr is not none %}{{ '%.2f'|format(trend_preview.preview_target_rr) }}{% else %}—{% endif %} ｜ 风险比例 {{ trend_preview.risk_percent }}% + 止损价 {{ price_fmt(trend_preview.symbol, trend_preview.preview_unified_stop_loss or trend_preview.stop_loss) }} ｜ 止损金额 {% if trend_preview.preview_risk_amount_u is not none %}{{ mf(trend_preview.preview_risk_amount_u) }}U{% else %}—{% endif %}（快照×风险{{ trend_preview.risk_percent }}%）｜ {{ trend_add_zone_label(trend_preview.direction) }} {{ price_fmt(trend_preview.symbol, trend_preview.add_upper) }} ｜ 止盈价 {{ price_fmt(trend_preview.symbol, trend_preview.take_profit) }} ｜ 首仓盈亏比 {% if trend_preview.preview_target_rr is not none %}{{ '%.2f'|format(trend_preview.preview_target_rr) }}{% else %}—{% endif %}
- + {% for row in trend_preview_levels %} - - + + + {% endfor %}
档位触发/参考价张数加仓后均价止盈止损
档位触发/参考价张数加仓后均价止盈盈利(U)止损(U)盈亏比
{{ row.label or row.i }} {{ price_fmt(trend_preview.symbol, row.price) }} {{ amt_disp(trend_preview.symbol, row.contracts) }} {% if row.avg_entry is not none %}{{ price_fmt(trend_preview.symbol, row.avg_entry) }}{% else %}—{% endif %}{% if row.take_profit is not none %}{{ price_fmt(trend_preview.symbol, row.take_profit) }}{% else %}—{% endif %}{% if row.stop_loss is not none %}{{ price_fmt(trend_preview.symbol, row.stop_loss) }}{% else %}—{% endif %}{% if row.profit_u is not none %}{{ mf(row.profit_u) }}{% else %}—{% endif %}{% if row.risk_u is not none %}{{ mf(row.risk_u) }}{% else %}—{% endif %}{% if row.rr is not none %}{{ '%.2f'|format(row.rr) }}{% else %}—{% endif %}
@@ -166,15 +167,16 @@
补仓计划明细
- + {% for lv in t.dca_levels %} - - + + + {% endfor %} diff --git a/strategy_trend_lib.py b/strategy_trend_lib.py index 8305a55..aaf8d88 100644 --- a/strategy_trend_lib.py +++ b/strategy_trend_lib.py @@ -241,6 +241,48 @@ def calc_take_profit_for_rr( return None +def calc_risk_budget_usdt(snapshot_usdt: float, risk_percent: float) -> Optional[float]: + """计划止损金额 U = 可用快照 × 风险比例。""" + try: + snap = float(snapshot_usdt) + rp = float(risk_percent) + if snap <= 0 or rp <= 0: + return None + return round(snap * rp / 100.0, 4) + except (TypeError, ValueError): + return None + + +def calc_money_reward_risk_ratio(profit_u: float, risk_u: float) -> Optional[float]: + """金额盈亏比 = 止盈盈利 U / 止损金额 U。""" + try: + r = float(risk_u) + p = float(profit_u) + if r <= 0: + return None + return round(p / r, 4) + except (TypeError, ValueError): + return None + + +def calc_tp_profit_usdt( + direction: str, + avg_entry: float, + take_profit_price: float, + contracts: float, + contract_size: float = 1.0, +) -> Optional[float]: + """到达止盈价时，按累计张数与加仓后均价的盈利 U。""" + try: + from hub_position_metrics import estimate_linear_swap_upnl_usdt + + return estimate_linear_swap_upnl_usdt( + direction, float(avg_entry), float(take_profit_price), float(contracts), float(contract_size) + ) + except (TypeError, ValueError): + return None + + def weighted_avg_entry(legs: list[tuple[float, float]]) -> Optional[float]: """按 (成交价, 张数) 加权均价。""" total = 0.0 @@ -262,7 +304,7 @@ def weighted_avg_entry(legs: list[tuple[float, float]]) -> Optional[float]: def build_trend_preview_level_rows(preview: dict) -> tuple[dict, list[dict]]: """ - 预览：参考价首仓止盈 + 每档补仓后止盈；止损统一为计划止损（加仓后最大止损）。 + 预览：表单止盈价下每档累计持仓的盈利 U；止损金额 = 快照×风险；盈亏比按金额对比。 返回 (增强后的 preview 字段, 表格行列表，含首仓行)。 """ p = dict(preview or {}) @@ -272,16 +314,24 @@ def build_trend_preview_level_rows(preview: dict) -> tuple[dict, list[dict]]: sl = float(p.get("stop_loss")) user_tp = float(p.get("take_profit")) first_amt = float(p.get("first_order_amount")) + snapshot = float(p.get("snapshot_available_usdt")) + risk_percent = float(p.get("risk_percent")) except (TypeError, ValueError): return p, [] - rr = calc_planned_reward_risk_ratio(direction, ref, sl, user_tp) - if rr is None: + risk_u = calc_risk_budget_usdt(snapshot, risk_percent) + if risk_u is None or risk_u <= 0: return p, [] - first_tp = calc_take_profit_for_rr(direction, ref, sl, rr) - p["preview_target_rr"] = rr - p["preview_first_take_profit"] = first_tp + try: + contract_size = float(p.get("contract_size") or 1.0) + if contract_size <= 0: + contract_size = 1.0 + except (TypeError, ValueError): + contract_size = 1.0 + + p["preview_risk_amount_u"] = risk_u + p["preview_take_profit_price"] = user_tp p["preview_unified_stop_loss"] = sl try: @@ -297,45 +347,81 @@ def build_trend_preview_level_rows(preview: dict) -> tuple[dict, list[dict]]: except Exception: leg_amounts = [] - rows: list[dict] = [ - { - "i": 0, - "label": "首仓", - "price": ref, - "contracts": first_amt, - "avg_entry": ref, - "take_profit": first_tp, - "stop_loss": sl, - "is_first": True, + def _row_dict( + *, + i: int, + label: str, + price: float, + leg_contracts: float, + cum_contracts: float, + avg: float, + is_first: bool, + ) -> dict: + profit_u = calc_tp_profit_usdt(direction, avg, user_tp, cum_contracts, contract_size) + rr_money = calc_money_reward_risk_ratio(profit_u, risk_u) if profit_u is not None else None + return { + "i": i, + "label": label, + "price": price, + "contracts": leg_contracts, + "cum_contracts": cum_contracts, + "avg_entry": avg, + "take_profit_price": user_tp, + "profit_u": profit_u, + "risk_u": risk_u, + "rr": rr_money, + "stop_loss_price": sl, + "take_profit": profit_u, + "stop_loss": risk_u, + "is_first": is_first, } + + cum_contracts = first_amt + first_profit = calc_tp_profit_usdt(direction, ref, user_tp, cum_contracts, contract_size) + first_rr = calc_money_reward_risk_ratio(first_profit, risk_u) if first_profit is not None else None + p["preview_first_profit_u"] = first_profit + p["preview_target_rr"] = first_rr + p["preview_first_take_profit"] = user_tp + + rows: list[dict] = [ + _row_dict( + i=0, + label="首仓", + price=ref, + leg_contracts=first_amt, + cum_contracts=cum_contracts, + avg=ref, + is_first=True, + ) ] accumulated: list[tuple[float, float]] = [(ref, first_amt)] for i, pair in enumerate(zip(grid, leg_amounts), 1): try: price = float(pair[0]) - contracts = float(pair[1]) + leg_contracts = float(pair[1]) except (TypeError, ValueError): continue - accumulated.append((price, contracts)) + accumulated.append((price, leg_contracts)) avg = weighted_avg_entry(accumulated) - tp_after = calc_take_profit_for_rr(direction, avg, sl, rr) if avg is not None else None + if avg is None: + continue + cum_contracts += leg_contracts rows.append( - { - "i": i, - "label": f"补仓{i}", - "price": price, - "contracts": contracts, - "avg_entry": avg, - "take_profit": tp_after, - "stop_loss": sl, - "is_first": False, - } + _row_dict( + i=i, + label=f"补仓{i}", + price=price, + leg_contracts=leg_contracts, + cum_contracts=cum_contracts, + avg=avg, + is_first=False, + ) ) return p, rows def enrich_trend_dca_levels_with_tp(plan: dict, levels: list[dict]) -> list[dict]: - """运行中计划：为 dca_levels 补充加仓后均价、止盈、统一止损。""" + """运行中计划：为 dca_levels 补充加仓后均价、止盈盈利 U、止损金额 U、金额盈亏比。""" if not levels: return levels p = plan or {} @@ -344,9 +430,15 @@ def enrich_trend_dca_levels_with_tp(plan: dict, levels: list[dict]) -> list[dict sl = float(p.get("stop_loss")) user_tp = float(p.get("take_profit")) first_amt = float(p.get("first_order_amount")) + snapshot = float(p.get("snapshot_available_usdt")) + risk_percent = float(p.get("risk_percent")) except (TypeError, ValueError): return levels + risk_u = calc_risk_budget_usdt(snapshot, risk_percent) + if risk_u is None or risk_u <= 0: + return levels + ref_raw = p.get("live_price_ref") if ref_raw in (None, ""): ref_raw = p.get("avg_entry_price") @@ -355,12 +447,16 @@ def enrich_trend_dca_levels_with_tp(plan: dict, levels: list[dict]) -> list[dict except (TypeError, ValueError): return levels - rr = calc_planned_reward_risk_ratio(direction, ref, sl, user_tp) - if rr is None: - return levels + try: + contract_size = float(p.get("contract_size") or 1.0) + if contract_size <= 0: + contract_size = 1.0 + except (TypeError, ValueError): + contract_size = 1.0 out: list[dict] = [] accumulated: list[tuple[float, float]] = [] + cum_contracts = 0.0 for lv in levels: row = dict(lv) is_first = row.get("leg_key") == "first" or row.get("label") == "首仓" or row.get("i") == 0 @@ -371,21 +467,32 @@ def enrich_trend_dca_levels_with_tp(plan: dict, levels: list[dict]) -> list[dict except (TypeError, ValueError): amt_f = first_amt accumulated = [(ref, amt_f)] + cum_contracts = amt_f row["avg_entry"] = ref - row["take_profit"] = calc_take_profit_for_rr(direction, ref, sl, rr) - row["stop_loss"] = sl else: price = row.get("price") contracts = row.get("contracts") if price is not None and contracts is not None: try: - accumulated.append((float(price), float(contracts))) + leg_contracts = float(contracts) + accumulated.append((float(price), leg_contracts)) avg = weighted_avg_entry(accumulated) if avg is not None: row["avg_entry"] = avg - row["take_profit"] = calc_take_profit_for_rr(direction, avg, sl, rr) - row["stop_loss"] = sl + cum_contracts += leg_contracts except (TypeError, ValueError): pass + avg_entry = row.get("avg_entry") + if avg_entry is not None: + profit_u = calc_tp_profit_usdt( + direction, float(avg_entry), user_tp, cum_contracts, contract_size + ) + row["take_profit_price"] = user_tp + row["profit_u"] = profit_u + row["risk_u"] = risk_u + row["rr"] = calc_money_reward_risk_ratio(profit_u, risk_u) if profit_u is not None else None + row["take_profit"] = profit_u + row["stop_loss"] = risk_u + row["stop_loss_price"] = sl out.append(row) return out diff --git a/strategy_trend_register.py b/strategy_trend_register.py index 8984f0e..a6605c1 100644 --- a/strategy_trend_register.py +++ b/strategy_trend_register.py @@ -249,6 +249,7 @@ def parse_trend_plan(cfg: dict, form_dict) -> tuple[Optional[dict], Optional[str leg_list = json.loads(leg_json) except Exception: leg_list = [] + contract_size = float(market.get("contractSize") or 1) return { "symbol": symbol, "exchange_symbol": exchange_symbol, @@ -271,6 +272,7 @@ def parse_trend_plan(cfg: dict, form_dict) -> tuple[Optional[dict], Optional[str "leg_amounts_json": leg_json, "grid": grid, "leg_amounts": leg_list, + "contract_size": contract_size, }, None @@ -486,6 +488,12 @@ def enrich_trend_plan(cfg: dict, row) -> dict: d["floating_mark"] = None else: d["floating_pnl"] = d["floating_mark"] = None + get_cs = getattr(m, "get_contract_size", None) + if callable(get_cs): + try: + d["contract_size"] = float(get_cs(ex_sym)) + except (TypeError, ValueError): + pass from strategy_snapshot_lib import attach_trend_dca_levels d = attach_trend_dca_levels(d) @@ -1097,6 +1105,14 @@ def load_trend_page_context(conn, request_obj, cfg: dict) -> dict[str, Any]: trend_preview = _row(cfg, pr) preview_expires_ms = int(pr["expires_at_ms"]) + get_cs = getattr(m, "get_contract_size", None) + if callable(get_cs) and not trend_preview.get("contract_size"): + try: + trend_preview["contract_size"] = float( + get_cs(trend_preview.get("exchange_symbol") or trend_preview.get("symbol") or "") + ) + except (TypeError, ValueError): + pass trend_preview, trend_preview_levels = build_trend_preview_level_rows(trend_preview) elif pr: trend_preview_expired = True diff --git a/tests/test_trend_preview_tp.py b/tests/test_trend_preview_tp.py index 2d3f65f..368bf8c 100644 --- a/tests/test_trend_preview_tp.py +++ b/tests/test_trend_preview_tp.py @@ -1,4 +1,4 @@ -"""趋势回调预览：参考价首仓止盈与补仓后止盈。""" +"""趋势回调预览：止盈盈利 U、止损金额 U、金额盈亏比。""" from __future__ import annotations import json @@ -11,41 +11,47 @@ sys.path.insert(0, str(ROOT)) from strategy_trend_lib import ( # noqa: E402 build_trend_preview_level_rows, - calc_planned_reward_risk_ratio, - calc_take_profit_for_rr, + calc_money_reward_risk_ratio, + calc_risk_budget_usdt, + calc_tp_profit_usdt, ) class TestTrendPreviewTp(unittest.TestCase): - def test_short_ref_price_first_tp_matches_form_tp(self): - ref, sl, tp = 72.6, 75.5, 65.0 - rr = calc_planned_reward_risk_ratio("short", ref, sl, tp) - self.assertIsNotNone(rr) - first_tp = calc_take_profit_for_rr("short", ref, sl, rr) - self.assertAlmostEqual(first_tp, tp, places=2) + def test_risk_budget_from_snapshot(self): + self.assertAlmostEqual(calc_risk_budget_usdt(110.73, 5), 5.5365, places=2) - def test_preview_levels_include_first_and_dca_tp(self): + def test_short_profit_at_form_take_profit(self): + profit = calc_tp_profit_usdt("short", 72.53, 66.0, 1114, 0.00167) + self.assertIsNotNone(profit) + self.assertGreater(profit, 0) + rr = calc_money_reward_risk_ratio(profit, 5.5365) + self.assertIsNotNone(rr) + self.assertGreater(rr, 1.5) + + def test_preview_levels_use_money_rr(self): preview = { "direction": "short", - "live_price_ref": 72.6, + "live_price_ref": 72.53, "stop_loss": 75.5, - "take_profit": 65.0, - "first_order_amount": 1113, + "take_profit": 66.0, + "first_order_amount": 1114, + "snapshot_available_usdt": 110.73, + "risk_percent": 5, + "contract_size": 0.00167, "grid_prices_json": json.dumps([73.42, 73.83]), "leg_amounts_json": json.dumps([222, 222]), } enriched, rows = build_trend_preview_level_rows(preview) - self.assertEqual(enriched["preview_unified_stop_loss"], 75.5) - self.assertAlmostEqual(enriched["preview_first_take_profit"], 65.0, places=1) + self.assertAlmostEqual(enriched["preview_risk_amount_u"], 5.5365, places=2) + self.assertEqual(enriched["preview_take_profit_price"], 66.0) self.assertEqual(len(rows), 3) self.assertEqual(rows[0]["label"], "首仓") - self.assertAlmostEqual(rows[0]["take_profit"], 65.0, places=1) - self.assertEqual(rows[0]["stop_loss"], 75.5) - self.assertIsNotNone(rows[1]["avg_entry"]) - self.assertIsNotNone(rows[1]["take_profit"]) - self.assertEqual(rows[1]["stop_loss"], 75.5) - # 做空：补仓价上移 → 均价上移 → 同等 RR 下止盈价上移 - self.assertGreater(rows[2]["take_profit"], rows[1]["take_profit"]) + self.assertEqual(rows[0]["risk_u"], enriched["preview_risk_amount_u"]) + self.assertIsNotNone(rows[0]["profit_u"]) + self.assertAlmostEqual(rows[0]["rr"], rows[0]["profit_u"] / 5.5365, places=2) + self.assertEqual(rows[1]["risk_u"], enriched["preview_risk_amount_u"]) + self.assertGreater(rows[2]["profit_u"], rows[1]["profit_u"]) if __name__ == "__main__":
档位触发价张数加仓后均价止盈止损状态
档位触发价张数加仓后均价止盈盈利(U)止损(U)盈亏比状态
{{ lv.label }} {% if lv.price is not none %}{{ price_fmt(sym, lv.price) }}{% else %}—{% endif %} {% if lv.contracts is not none %}{{ amt_disp(sym, lv.contracts) }}{% else %}—{% endif %} {% if lv.avg_entry is not none %}{{ price_fmt(sym, lv.avg_entry) }}{% else %}—{% endif %}{% if lv.take_profit is not none %}{{ price_fmt(sym, lv.take_profit) }}{% else %}—{% endif %}{% if lv.stop_loss is not none %}{{ price_fmt(sym, lv.stop_loss) }}{% else %}—{% endif %}{% if lv.profit_u is not none %}{{ mf(lv.profit_u) }}{% else %}—{% endif %}{% if lv.risk_u is not none %}{{ mf(lv.risk_u) }}{% else %}—{% endif %}{% if lv.rr is not none %}{{ '%.2f'|format(lv.rr) }}{% else %}—{% endif %} {{ lv.status_label }}