Fix Gate/Binance memory regression and roll stop offset from avg.
Stop fetch_tickers fallback for volume rank and keep stale cache on failed refresh. Compute roll unified stop as merge-average plus offset percent instead of break-even. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
+154
-14
@@ -7,6 +7,7 @@ from fib_key_monitor_lib import calc_fib_plan, fib_ratio_from_type
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ROLL_MAX_LEGS_LONG = 3
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ROLL_MAX_LEGS_SHORT = 3
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ROLL_STOP_OFFSET_PCT_DEFAULT = 1.0
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FIB_MODES = frozenset({"fib_618", "fib_786"})
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@@ -42,6 +43,105 @@ 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 resolve_roll_stop_spec(
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*,
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new_stop_loss: Optional[float] = None,
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stop_offset_pct: Optional[float] = None,
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entry_ref: float = 0.0,
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) -> tuple[str, float]:
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"""
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解析滚仓止损输入。
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- stop_offset_pct：相对合并均价的偏移%，如 1 表示 1%（多：均价下方；空：均价上方）。
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- new_stop_loss：兼容旧版绝对止损价；若数值很小（如 1.0）且相对均价过低，视为偏移%。
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"""
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if stop_offset_pct is not None:
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try:
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pct = float(stop_offset_pct)
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if pct > 0:
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return "offset", pct
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except (TypeError, ValueError):
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pass
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if new_stop_loss is not None:
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try:
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sl = float(new_stop_loss)
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if sl > 0:
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ref = float(entry_ref or 0)
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if ref > 0 and sl <= min(30.0, ref * 0.25):
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return "offset", sl
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return "absolute", sl
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except (TypeError, ValueError):
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pass
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return "offset", ROLL_STOP_OFFSET_PCT_DEFAULT
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def unified_stop_from_avg(direction: str, avg: float, offset_pct: float) -> float:
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"""合并均价 ± offset% 作为新统一止损（非保本）。"""
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avg_f = float(avg)
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pct = float(offset_pct) / 100.0
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if avg_f <= 0 or pct <= 0:
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return 0.0
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direction = (direction or "long").strip().lower()
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if direction == "short":
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return avg_f * (1.0 + pct)
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return avg_f * (1.0 - pct)
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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 solve_add_amount_for_avg_stop_offset(
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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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offset_pct: float,
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risk_budget_usdt: float,
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) -> Tuple[Optional[float], Optional[str]]:
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"""
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合并后止损 = 合并均价 ± offset%，且触及止损时总亏损 ≈ risk_budget。
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loss = offset% × (Q1·E1 + Q2·E2) => Q2 = (B/p − Q1·E1) / 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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b = float(risk_budget_usdt)
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p = float(offset_pct) / 100.0
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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:
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return None, "持仓或风险预算无效"
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if p <= 0 or p >= 1:
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return None, "止损偏移%须大于 0 且小于 100"
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direction = (direction or "long").strip().lower()
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need_notional = b / p
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q2 = (need_notional - q1 * e1) / e2
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if q2 <= 0:
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return None, "按当前偏移%与总风险%，无需加仓或无法再加（已满足风险上限）"
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new_avg = avg_entry_after_add(q1, e1, q2, e2)
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sl = unified_stop_from_avg(direction, new_avg, offset_pct)
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if direction == "short":
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if sl <= e2:
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return None, "做空：合并后止损须高于加仓价（请减小偏移%或风险%）"
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else:
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if sl >= e2:
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return None, "做多：合并后止损须低于加仓价（请减小偏移%或风险%）"
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return q2, None
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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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@@ -90,7 +190,8 @@ def preview_roll(
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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: float,
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new_stop_loss: Optional[float] = None,
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stop_offset_pct: 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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@@ -117,31 +218,49 @@ def preview_roll(
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else:
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return None, "加仓方式无效"
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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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except (TypeError, ValueError):
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return None, "止损/止盈格式错误"
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if sl <= 0 or tp <= 0:
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return None, "止损与首仓止盈须大于0"
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return None, "止盈格式错误"
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if tp <= 0:
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return None, "首仓止盈须大于0"
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stop_mode, stop_val = resolve_roll_stop_spec(
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new_stop_loss=new_stop_loss,
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stop_offset_pct=stop_offset_pct,
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entry_ref=entry_existing,
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)
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if direction == "long":
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if sl >= entry_add:
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return None, "做多：新止损须低于加仓价"
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if tp <= entry_existing:
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return None, "做多：首仓止盈须高于当前持仓均价参考"
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else:
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if sl <= entry_add:
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return None, "做空：新止损须高于加仓价"
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if tp >= entry_existing:
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return None, "做空：首仓止盈须低于当前持仓均价参考"
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risk_budget = float(capital_base_usdt) * (float(risk_percent) / 100.0)
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q2_raw, err = solve_add_amount_for_total_risk(
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direction, qty_existing, entry_existing, entry_add, sl, risk_budget
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)
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offset_pct: Optional[float] = None
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if stop_mode == "offset":
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offset_pct = float(stop_val)
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q2_raw, err = solve_add_amount_for_avg_stop_offset(
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direction, qty_existing, entry_existing, entry_add, offset_pct, risk_budget
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)
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else:
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sl = float(stop_val)
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if sl <= 0:
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return None, "止损须大于0"
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if direction == "long":
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if sl >= entry_add:
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return None, "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 None, "做空：新止损须高于加仓价"
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q2_raw, err = solve_add_amount_for_total_risk(
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direction, qty_existing, entry_existing, entry_add, sl, risk_budget
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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 = (qty_existing * entry_existing + q2 * entry_add) / new_qty
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new_avg = avg_entry_after_add(qty_existing, entry_existing, q2, entry_add)
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if stop_mode == "offset":
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sl = unified_stop_from_avg(direction, new_avg, offset_pct)
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if direction == "long":
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loss_at_sl = (new_avg - sl) * new_qty
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reward_at_tp = (tp - new_avg) * new_qty
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@@ -154,11 +273,15 @@ def preview_roll(
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"add_mode": mode,
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"add_mode_label": mode_label,
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"add_price": round(entry_add, 10),
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"new_stop_loss": sl,
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"new_stop_loss": round(sl, 10),
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"stop_offset_pct": offset_pct,
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"stop_mode": stop_mode,
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"initial_take_profit": tp,
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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_at_sl, 4),
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@@ -168,3 +291,20 @@ def preview_roll(
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"fib_upper": fib_upper,
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"fib_lower": fib_lower,
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}, None
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def roll_stop_after_fill(
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direction: str,
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qty_before: float,
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entry_before: float,
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add_qty: float,
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fill_price: float,
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*,
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stop_offset_pct: Optional[float] = None,
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absolute_stop: Optional[float] = None,
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) -> float:
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"""成交后按合并均价重算统一止损（偏移%模式）或沿用绝对止损。"""
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if stop_offset_pct is not None and float(stop_offset_pct) > 0:
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avg = avg_entry_after_add(qty_before, entry_before, add_qty, fill_price)
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return unified_stop_from_avg(direction, avg, float(stop_offset_pct))
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return float(absolute_stop or 0)
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