refactor: 将共用代码迁入 lib/ 模块化目录
统一 strategy、key_monitor、trade、hub 等共用库到 lib/ 子包，并补充 lib-structure 文档，便于四所与中控维护。 Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
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"""顺势加仓（滚仓）：纯计算。人工触发；止盈锁定首仓；程序监控触价市价成交。"""
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from __future__ import annotations
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from typing import Any, Optional, Tuple
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from lib.key_monitor.fib_key_monitor_lib import calc_fib_plan, fib_invalidate_by_mark
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ROLL_MAX_LEGS_LONG = 3
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ROLL_MAX_LEGS_SHORT = 3
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MARKET_MODE = "market"
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FIB_MODES = frozenset({"fib_618", "fib_786"})
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BREAKOUT_MODE = "breakout"
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MODE_LABELS = {
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MARKET_MODE: "市价加仓",
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"fib_618": "斐波0.618",
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"fib_786": "斐波0.786",
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BREAKOUT_MODE: "突破加仓",
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}
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def fib_ratio_from_mode(mode: str) -> Optional[float]:
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m = (mode or "").strip().lower()
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if m in ("fib_618", "618", "0.618"):
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return 0.618
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if m in ("fib_786", "786", "0.786"):
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return 0.786
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return None
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def mode_label(mode: str) -> str:
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m = (mode or MARKET_MODE).strip().lower()
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return MODE_LABELS.get(m, m)
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def fib_limit_entry(direction: str, upper: float, lower: float, mode: str) -> Tuple[Optional[float], Optional[str]]:
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"""H/L 仅用于计算限价加仓价；多：下沿=止损侧；空：上沿=止损侧。"""
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ratio = fib_ratio_from_mode(mode)
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if ratio is None:
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return None, "斐波档位无效"
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h, l = float(upper), float(lower)
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if h <= l:
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return None, "上沿须大于下沿"
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direction = (direction or "long").strip().lower()
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if direction == "short":
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plan = calc_fib_plan("short", h, l, ratio)
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else:
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plan = calc_fib_plan("long", h, l, ratio)
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if not plan:
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return None, "无法计算斐波限价"
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entry, _sl, _tp = plan
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return float(entry), None
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def max_roll_legs(direction: str) -> int:
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return ROLL_MAX_LEGS_LONG if (direction or "long").strip().lower() == "long" else ROLL_MAX_LEGS_SHORT
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def avg_entry_after_add(
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qty_existing: float,
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entry_existing: float,
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add_qty: float,
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add_price: float,
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) -> float:
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q1 = float(qty_existing)
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e1 = float(entry_existing)
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q2 = float(add_qty)
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e2 = float(add_price)
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total = q1 + q2
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if total <= 0:
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return 0.0
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return (q1 * e1 + q2 * e2) / total
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def calc_risk_budget_usdt(capital_base_usdt: float, risk_percent: float) -> float:
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return float(capital_base_usdt) * (float(risk_percent) / 100.0)
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def solve_add_amount_for_total_risk(
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direction: str,
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qty_existing: float,
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entry_existing: float,
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add_price: float,
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new_stop: float,
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risk_budget_usdt: float,
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contract_size: float = 1.0,
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) -> Tuple[Optional[float], Optional[str]]:
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"""
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合并持仓打到 new_stop 时总亏损 ≈ risk_budget（方案 C）。
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long: (avg - SL) * (Q1+Q2) * cs = B => Q2 = (B/cs - Q1*(E1-SL)) / (E2-SL)
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short: (SL - avg) * (Q1+Q2) * cs = B => Q2 = (B/cs - Q1*(SL-E1)) / (SL-E2)
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"""
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try:
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q1 = float(qty_existing)
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e1 = float(entry_existing)
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e2 = float(add_price)
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sl = float(new_stop)
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b = float(risk_budget_usdt)
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cs = float(contract_size) if contract_size else 1.0
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except (TypeError, ValueError):
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return None, "参数格式错误"
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if q1 <= 0 or e1 <= 0 or e2 <= 0 or b <= 0 or cs <= 0:
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return None, "持仓或风险预算无效"
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direction = (direction or "long").strip().lower()
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if direction == "short":
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denom = sl - e2
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numer = b / cs - q1 * (sl - e1)
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if denom <= 0:
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return None, "做空：新止损须高于加仓价"
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else:
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denom = e2 - sl
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numer = b / cs - q1 * (e1 - sl)
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if denom <= 0:
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return None, "做多：新止损须低于加仓价"
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q2 = numer / denom
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if q2 <= 0:
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return None, "按当前新止损与风险预算，无需加仓或无法再加（已满足风险上限）"
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return q2, None
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def loss_at_stop_usdt(
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direction: str,
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avg: float,
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qty: float,
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stop: float,
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contract_size: float = 1.0,
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) -> float:
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cs = float(contract_size or 1.0)
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direction = (direction or "long").strip().lower()
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if direction == "short":
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return (float(stop) - float(avg)) * float(qty) * cs
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return (float(avg) - float(stop)) * float(qty) * cs
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def reward_at_tp_usdt(
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direction: str,
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avg: float,
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take_profit: float,
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qty: float,
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contract_size: float = 1.0,
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) -> float:
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cs = float(contract_size or 1.0)
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direction = (direction or "long").strip().lower()
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if direction == "short":
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return (float(avg) - float(take_profit)) * float(qty) * cs
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return (float(take_profit) - float(avg)) * float(qty) * cs
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def roll_fib_trigger_crossed(
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direction: str,
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prev_mark: Optional[float],
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mark: float,
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limit_price: float,
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) -> bool:
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"""斐波：多=向下穿越限价；空=向上穿越限价。"""
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try:
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m = float(mark)
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lv = float(limit_price)
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pm = float(prev_mark) if prev_mark is not None else None
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except (TypeError, ValueError):
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return False
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direction = (direction or "long").strip().lower()
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if direction == "long":
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if pm is None:
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return m <= lv
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return pm > lv and m <= lv
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if pm is None:
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return m >= lv
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return pm < lv and m >= lv
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def roll_breakout_trigger_crossed(
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direction: str,
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prev_mark: Optional[float],
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mark: float,
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breakthrough_price: float,
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) -> bool:
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"""突破：多=向上穿越突破价；空=向下穿越突破价。"""
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try:
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m = float(mark)
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bp = float(breakthrough_price)
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pm = float(prev_mark) if prev_mark is not None else None
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except (TypeError, ValueError):
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return False
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direction = (direction or "long").strip().lower()
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if direction == "long":
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if pm is None:
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return m > bp
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return pm <= bp and m > bp
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if pm is None:
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return m < bp
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return pm >= bp and m < bp
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def roll_fib_invalidate(direction: str, mark: float, upper: float, lower: float) -> bool:
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"""斐波 pending 失效：止盈侧突破（多 mark>=H；空 mark<=L）。"""
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return fib_invalidate_by_mark(direction, mark, upper, lower)
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def roll_breakout_invalidate(direction: str, mark: float, stop_loss: float) -> bool:
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"""突破 pending 失效：未到突破价先触达止损侧（多 mark<=S；空 mark>=S）。"""
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try:
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m = float(mark)
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sl = float(stop_loss)
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except (TypeError, ValueError):
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return False
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direction = (direction or "long").strip().lower()
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if direction == "long":
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return m <= sl
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return m >= sl
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def validate_roll_geometry(
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direction: str,
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add_mode: str,
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*,
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new_stop_loss: float,
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add_price: Optional[float] = None,
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fib_upper: Optional[float] = None,
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fib_lower: Optional[float] = None,
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breakthrough_price: Optional[float] = None,
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entry_existing: float = 0.0,
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initial_take_profit: float = 0.0,
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mark_price: Optional[float] = None,
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) -> Optional[str]:
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direction = (direction or "long").strip().lower()
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mode = (add_mode or MARKET_MODE).strip().lower()
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try:
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sl = float(new_stop_loss)
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tp = float(initial_take_profit)
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e1 = float(entry_existing or 0)
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except (TypeError, ValueError):
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return "止损/止盈格式错误"
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if sl <= 0 or tp <= 0:
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return "止损与首仓止盈须大于0"
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if direction == "long":
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if e1 > 0 and tp <= e1:
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return "做多：首仓止盈须高于当前持仓均价"
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else:
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if e1 > 0 and tp >= e1:
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return "做空：首仓止盈须低于当前持仓均价"
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if mode == MARKET_MODE:
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if add_price is None or float(add_price) <= 0:
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return "市价加仓需要有效参考价"
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entry_add = float(add_price)
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elif mode in FIB_MODES:
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if fib_upper is None or fib_lower is None:
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return "斐波须填写上沿 H 与下沿 L"
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entry_add, err = fib_limit_entry(direction, float(fib_upper), float(fib_lower), mode)
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if err:
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return err
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if entry_add is None or entry_add <= 0:
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return "无法计算斐波限价"
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elif mode == BREAKOUT_MODE:
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if breakthrough_price is None:
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return "突破加仓须填写突破价"
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try:
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bp = float(breakthrough_price)
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except (TypeError, ValueError):
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return "突破价格式错误"
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if bp <= 0:
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return "突破价须大于0"
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entry_add = bp
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if direction == "long":
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if sl >= bp:
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return "做多：止损须低于突破价"
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if mark_price is not None and float(mark_price) >= bp:
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return "做多：当前价须低于突破价（等待向上突破）"
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else:
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if sl <= bp:
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return "做空：止损须高于突破价"
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if mark_price is not None and float(mark_price) <= bp:
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return "做空：当前价须高于突破价（等待向下跌破）"
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else:
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return "加仓方式无效"
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if mode != BREAKOUT_MODE:
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entry_add = float(entry_add) # type: ignore[arg-type]
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if direction == "long":
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if sl >= entry_add:
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return "做多：新止损须低于加仓价"
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else:
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if sl <= entry_add:
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return "做空：新止损须高于加仓价"
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return None
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def preview_roll(
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*,
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direction: str,
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symbol: str,
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qty_existing: float,
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entry_existing: float,
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initial_take_profit: float,
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add_mode: str,
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new_stop_loss: Optional[float] = None,
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risk_percent: float,
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capital_base_usdt: float,
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add_price: Optional[float] = None,
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fib_upper: Optional[float] = None,
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fib_lower: Optional[float] = None,
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breakthrough_price: Optional[float] = None,
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legs_done: int = 0,
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contract_size: float = 1.0,
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) -> Tuple[Optional[dict[str, Any]], Optional[str]]:
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direction = (direction or "long").strip().lower()
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if legs_done >= max_roll_legs(direction):
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return None, f"{'做多' if direction == 'long' else '做空'}滚仓已达 {max_roll_legs(direction)} 次上限"
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mode = (add_mode or MARKET_MODE).strip().lower()
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if new_stop_loss is None:
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return None, "请填写新止损价"
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try:
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sl = float(new_stop_loss)
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except (TypeError, ValueError):
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return None, "止损价格式错误"
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if sl <= 0:
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return None, "止损须大于0"
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geom_err = validate_roll_geometry(
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direction,
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mode,
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new_stop_loss=sl,
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add_price=add_price,
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fib_upper=fib_upper,
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fib_lower=fib_lower,
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breakthrough_price=breakthrough_price,
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entry_existing=entry_existing,
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initial_take_profit=initial_take_profit,
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mark_price=add_price if mode == BREAKOUT_MODE else add_price,
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)
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if geom_err:
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return None, geom_err
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if mode == MARKET_MODE:
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entry_add = float(add_price) # validated
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elif mode in FIB_MODES:
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entry_add, _ = fib_limit_entry(direction, float(fib_upper), float(fib_lower), mode)
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entry_add = float(entry_add or 0)
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else:
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entry_add = float(breakthrough_price or 0)
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risk_budget = calc_risk_budget_usdt(capital_base_usdt, risk_percent)
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q2_raw, err = solve_add_amount_for_total_risk(
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direction,
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qty_existing,
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entry_existing,
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entry_add,
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sl,
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risk_budget,
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contract_size,
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)
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if err:
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return None, err
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q2 = float(q2_raw)
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new_qty = qty_existing + q2
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new_avg = avg_entry_after_add(qty_existing, entry_existing, q2, entry_add)
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cs = float(contract_size or 1.0)
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loss_sl = loss_at_stop_usdt(direction, new_avg, new_qty, sl, cs)
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reward_tp = reward_at_tp_usdt(direction, new_avg, initial_take_profit, new_qty, cs)
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return {
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"symbol": symbol,
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"direction": direction,
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"add_mode": mode,
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"add_mode_label": mode_label(mode),
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"add_price": round(entry_add, 10),
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"new_stop_loss": round(sl, 10),
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"breakthrough_price": float(breakthrough_price) if breakthrough_price not in (None, "") else None,
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"initial_take_profit": float(initial_take_profit),
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"risk_percent": float(risk_percent),
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"risk_budget_usdt": round(risk_budget, 4),
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"add_amount_raw": q2,
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"qty_existing": float(qty_existing),
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"entry_existing": float(entry_existing),
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"qty_after": new_qty,
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"avg_entry_after": round(new_avg, 10),
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"loss_at_sl_usdt": round(loss_sl, 4),
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"reward_at_tp_usdt": round(reward_tp, 4),
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"legs_done": int(legs_done),
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"leg_index_next": int(legs_done) + 1,
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"fib_upper": fib_upper,
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"fib_lower": fib_lower,
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"contract_size": cs,
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}, None
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