Redesign roll calculator with auto first entry and chained add legs.

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-06-23 17:44:27 +08:00
parent 253d353206
commit d938bc6c59
6 changed files with 482 additions and 112 deletions
@@ -3,7 +3,7 @@ from __future__ import annotations

 from typing import Any, Callable, Optional, Tuple

-from strategy_roll_lib import preview_roll
+from strategy_roll_lib import max_roll_legs, preview_roll
 from strategy_trend_lib import (
    build_trend_preview_level_rows,
    calc_risk_fraction,
@@ -159,68 +159,202 @@ def calc_trend_calculator(
    }, None


+def _round(v: Any, nd: int = 4) -> Any:
+    if v is None:
+        return None
+    try:
+        return round(float(v), nd)
+    except (TypeError, ValueError):
+        return v
+
+
+def _money_rr(profit_u: Optional[float], risk_u: Optional[float]) -> Optional[float]:
+    try:
+        if risk_u is None or float(risk_u) <= 0 or profit_u is None:
+            return None
+        return round(float(profit_u) / float(risk_u), 4)
+    except (TypeError, ValueError):
+        return None
+
+
+def calc_initial_roll_qty(
+    direction: str,
+    entry_price: float,
+    stop_loss: float,
+    risk_budget_usdt: float,
+) -> Tuple[Optional[float], Optional[str]]:
+    """首仓以损定仓：打到初始止损亏损 = 风险预算。"""
+    try:
+        entry = float(entry_price)
+        sl = float(stop_loss)
+        budget = float(risk_budget_usdt)
+    except (TypeError, ValueError):
+        return None, "参数格式错误"
+    if entry <= 0 or sl <= 0 or budget <= 0:
+        return None, "入场价、止损与风险预算须大于 0"
+    direction = (direction or "long").strip().lower()
+    if direction == "short":
+        per_unit = sl - entry
+        if per_unit <= 0:
+            return None, "做空：止损价须高于首仓入场价"
+    else:
+        per_unit = entry - sl
+        if per_unit <= 0:
+            return None, "做多：止损价须低于首仓入场价"
+    return budget / per_unit, None
+
+
 def calc_roll_calculator(
    *,
    direction: str,
    capital_usdt: float,
    risk_percent: float,
-    qty_existing: float,
-    entry_existing: float,
+    entry_price: float,
+    stop_loss: float,
    take_profit: float,
-    add_price: float,
-    new_stop_loss: float,
+    add_legs: list[dict[str, float]] | None = None,
    legs_done: int = 0,
 ) -> Tuple[Optional[dict[str, Any]], Optional[str]]:
-    preview, err = preview_roll(
-        direction=direction,
-        symbol="CALC",
-        qty_existing=qty_existing,
-        entry_existing=entry_existing,
-        initial_take_profit=take_profit,
-        add_mode="market",
-        new_stop_loss=new_stop_loss,
-        risk_percent=risk_percent,
-        capital_base_usdt=capital_usdt,
-        add_price=add_price,
-        legs_done=legs_done,
-    )
+    """
+    滚仓历史测算：首仓自动以损定仓；止盈锁定首仓价；最多 3 次滚仓加仓。
+    add_legs: [{add_price, new_stop_loss}, ...]，按顺序链式计算。
+    legs_done: 已完成滚仓次数（仅标记，仍参与链式状态推进）。
+    """
+    direction = (direction or "long").strip().lower()
+    if direction not in ("long", "short"):
+        return None, "方向须为 long 或 short"
+    try:
+        capital = float(capital_usdt)
+        rp = float(risk_percent)
+        entry = float(entry_price)
+        initial_sl = float(stop_loss)
+        tp = float(take_profit)
+        done = max(0, int(legs_done))
+    except (TypeError, ValueError):
+        return None, "参数格式错误"
+    if capital <= 0 or rp <= 0 or entry <= 0 or initial_sl <= 0 or tp <= 0:
+        return None, "资金、风险与价格须大于 0"
+    if done > max_roll_legs(direction):
+        return None, f"已完成滚仓次数不能超过 {max_roll_legs(direction)} 次"
+
+    legs_in: list[dict[str, float]] = []
+    for raw in add_legs or []:
+        if not isinstance(raw, dict):
+            continue
+        try:
+            ap = float(raw.get("add_price"))
+            nsl = float(raw.get("new_stop_loss"))
+        except (TypeError, ValueError):
+            return None, "加仓价与新止损须为有效数字"
+        if ap <= 0 or nsl <= 0:
+            return None, "加仓价与新止损须大于 0"
+        legs_in.append({"add_price": ap, "new_stop_loss": nsl})
+
+    if done + len(legs_in) > max_roll_legs(direction):
+        return None, f"已完成 {done} 次 + 待测算 {len(legs_in)} 次，合计不能超过 {max_roll_legs(direction)} 次滚仓"
+
+    if direction == "long":
+        if tp <= entry:
+            return None, "做多：止盈价须高于首仓入场价"
+    else:
+        if tp >= entry:
+            return None, "做空：止盈价须低于首仓入场价"
+
+    risk_budget = capital * (rp / 100.0)
+    qty, err = calc_initial_roll_qty(direction, entry, initial_sl, risk_budget)
    if err:
        return None, err
-    if not preview:
-        return None, "计算失败"
+    if qty is None or qty <= 0:
+        return None, "无法计算首仓张数"

-    def _f(v: Any, nd: int = 4) -> Any:
-        if v is None:
-            return None
-        try:
-            return round(float(v), nd)
-        except (TypeError, ValueError):
-            return v
+    qty_f = float(qty)
+    avg = entry
+    rows: list[dict[str, Any]] = []

-    rr = None
-    loss = preview.get("loss_at_sl_usdt")
-    reward = preview.get("reward_at_tp_usdt")
-    try:
-        if loss and float(loss) > 0 and reward is not None:
-            rr = round(float(reward) / float(loss), 4)
-    except (TypeError, ValueError):
-        rr = None
+    if direction == "long":
+        first_loss = (avg - initial_sl) * qty_f
+        first_profit = (tp - avg) * qty_f
+    else:
+        first_loss = (initial_sl - avg) * qty_f
+        first_profit = (avg - tp) * qty_f

+    rows.append(
+        {
+            "label": "首仓",
+            "leg_index": 0,
+            "already_done": False,
+            "entry_or_add_price": _round(entry, 8),
+            "stop_loss": _round(initial_sl, 8),
+            "add_contracts": _round(qty_f, 8),
+            "total_contracts": _round(qty_f, 8),
+            "avg_entry": _round(avg, 8),
+            "take_profit": _round(tp, 8),
+            "loss_at_sl_u": _round(first_loss),
+            "profit_at_tp_u": _round(first_profit),
+            "rr": _money_rr(first_profit, first_loss),
+        }
+    )
+
+    current_qty = qty_f
+    current_avg = avg
+
+    for i, leg in enumerate(legs_in):
+        leg_no = i + 1
+        preview, err = preview_roll(
+            direction=direction,
+            symbol="CALC",
+            qty_existing=current_qty,
+            entry_existing=current_avg,
+            initial_take_profit=tp,
+            add_mode="market",
+            new_stop_loss=leg["new_stop_loss"],
+            risk_percent=rp,
+            capital_base_usdt=capital,
+            add_price=leg["add_price"],
+            legs_done=i,
+        )
+        if err:
+            return None, f"滚仓第 {leg_no} 次：{err}"
+        if not preview:
+            return None, f"滚仓第 {leg_no} 次计算失败"
+
+        current_qty = float(preview["qty_after"])
+        current_avg = float(preview["avg_entry_after"])
+        loss = preview.get("loss_at_sl_usdt")
+        reward = preview.get("reward_at_tp_usdt")
+        rows.append(
+            {
+                "label": f"滚仓{leg_no}",
+                "leg_index": leg_no,
+                "already_done": leg_no <= done,
+                "entry_or_add_price": _round(preview.get("add_price"), 8),
+                "stop_loss": _round(preview.get("new_stop_loss"), 8),
+                "add_contracts": _round(preview.get("add_amount_raw"), 8),
+                "total_contracts": _round(current_qty, 8),
+                "avg_entry": _round(current_avg, 8),
+                "take_profit": _round(tp, 8),
+                "loss_at_sl_u": _round(loss),
+                "profit_at_tp_u": _round(reward),
+                "rr": _money_rr(reward, loss),
+            }
+        )
+
+    last = rows[-1]
    return {
-        "direction": preview.get("direction"),
-        "capital_usdt": _f(capital_usdt),
-        "risk_percent": _f(risk_percent, 2),
-        "risk_budget_u": _f(preview.get("risk_budget_usdt")),
-        "qty_existing": _f(qty_existing, 8),
-        "entry_existing": _f(entry_existing, 8),
-        "take_profit": _f(take_profit, 8),
-        "add_price": _f(preview.get("add_price"), 8),
-        "new_stop_loss": _f(new_stop_loss, 8),
-        "add_contracts": _f(preview.get("add_amount_raw"), 8),
-        "qty_after": _f(preview.get("qty_after"), 8),
-        "avg_entry_after": _f(preview.get("avg_entry_after"), 8),
-        "loss_at_sl_u": _f(loss),
-        "profit_at_tp_u": _f(reward),
-        "rr": rr,
-        "leg_index_next": preview.get("leg_index_next"),
+        "direction": direction,
+        "capital_usdt": _round(capital),
+        "risk_percent": _round(rp, 2),
+        "risk_budget_u": _round(risk_budget),
+        "entry_price": _round(entry, 8),
+        "stop_loss": _round(initial_sl, 8),
+        "take_profit": _round(tp, 8),
+        "legs_done": done,
+        "roll_legs_planned": len(legs_in),
+        "first_contracts": _round(qty_f, 8),
+        "final_contracts": last.get("total_contracts"),
+        "final_avg_entry": last.get("avg_entry"),
+        "final_loss_at_sl_u": last.get("loss_at_sl_u"),
+        "final_profit_at_tp_u": last.get("profit_at_tp_u"),
+        "final_rr": last.get("rr"),
+        "rows": rows,
    }, None