feat: add full-margin position sizing mode across four exchanges

Env POSITION_SIZING_MODE switches risk vs full-margin (available*buffer, BTC/ETH 10x). Blocks trend/roll/key auto opens in full margin, purges breakout/fib monitors with WeChat notice, keeps RR check and initial SL snapshot for records. Co-authored-by: Cursor <cursoragent@cursor.com>
2026-06-04 08:24:35 +08:00
parent d75527a9ca
commit f7bac11694
20 changed files with 866 additions and 107 deletions
@@ -48,6 +48,8 @@ UPLOAD_DIR=static/images

 # 已废弃：资金账户仅显示交易所 funding 余额，不再读取此变量
 # TOTAL_CAPITAL=100
+# 计仓：risk=以损定仓（默认）；full_margin=合约可用×FULL_MARGIN_BUFFER_RATIO 全仓杠杆（须无仓后重启）
+POSITION_SIZING_MODE=risk
 # 每天起始基数（U）
 DAILY_START_CAPITAL=30
 # 日内回撤后基数（U）
@@ -82,6 +82,21 @@ from key_sl_tp_lib import (
    sl_tp_mode_label,
    sl_tp_plan_summary_text,
 )
+from position_sizing_lib import (
+    OPEN_SOURCE_KEY_AUTO,
+    OPEN_SOURCE_MANUAL,
+    assert_open_source_allowed,
+    compute_full_margin_sizing,
+    full_margin_requires_flat_position,
+    is_full_margin_mode,
+    leverage_for_full_margin,
+    load_position_sizing_mode,
+    mode_label_zh,
+)
+from key_monitor_full_margin_lib import (
+    monitor_type_disallowed_in_full_margin,
+    purge_disallowed_key_monitors,
+)
 from key_monitor_lib import (
    KEY_DIRECTION_WATCH,
    KEY_MONITOR_ALERT_ONLY_TYPES,
@@ -240,6 +255,7 @@ FORCE_CLOSE_ENABLED = os.getenv("FORCE_CLOSE_ENABLED", "false").lower() == "true
 FORCE_CLOSE_BJ_HOUR = int(os.getenv("FORCE_CLOSE_BJ_HOUR", "0"))
 # 自动划转：仅在北京时间该整点「小时」内尝试；transfer_logs.transfer_day 存 UTC 自然日便于对账
 AUTO_TRANSFER_BJ_HOUR = int(os.getenv("AUTO_TRANSFER_BJ_HOUR", "8"))
+POSITION_SIZING_MODE = load_position_sizing_mode()
 WECHAT_TIMEOUT_SECONDS = int(os.getenv("WECHAT_TIMEOUT_SECONDS", "10"))
 AI_TIMEOUT_SECONDS = int(os.getenv("AI_TIMEOUT_SECONDS", "120"))
 MONITOR_POLL_SECONDS = int(os.getenv("MONITOR_POLL_SECONDS", "3"))
@@ -1442,6 +1458,27 @@ def init_db():

 init_db()

+
+def _purge_key_monitors_if_full_margin():
+    if not is_full_margin_mode(POSITION_SIZING_MODE):
+        return
+    conn = get_db()
+    try:
+        purge_disallowed_key_monitors(
+            conn,
+            sizing_mode=POSITION_SIZING_MODE,
+            select_rows=lambda c: c.execute("SELECT * FROM key_monitors").fetchall(),
+            cancel_fib_limit=_cancel_fib_monitor_limit,
+            delete_monitor=lambda c, kid: c.execute("DELETE FROM key_monitors WHERE id=?", (kid,)),
+            send_wechat=send_wechat_msg,
+        )
+        conn.commit()
+    except Exception as e:
+        print(f"[full_margin] purge key monitors: {e}", flush=True)
+    finally:
+        conn.close()
+
+
 def get_db():
    conn = sqlite3.connect(DB_PATH)
    conn.row_factory = sqlite3.Row
@@ -4369,6 +4406,9 @@ def _market_open_for_key_monitor(
    与手动「实盘下单」对齐的市价开仓与 order_monitors 写入。
    返回 (ok: bool, err_msg: Optional[str], detail: Optional[dict])
    """
+    ok_src, src_msg = assert_open_source_allowed(POSITION_SIZING_MODE, OPEN_SOURCE_KEY_AUTO)
+    if not ok_src:
+        return False, src_msg, None
    now = app_now()
    ok, reason = precheck_risk(conn, symbol, direction)
    if not ok:
@@ -6024,6 +6064,11 @@ def render_main_page(page="trade"):
        },
        key_alert_max_times=KEY_ALERT_MAX_TIMES,
        risk_percent=RISK_PERCENT,
+        position_sizing_mode=POSITION_SIZING_MODE,
+        position_sizing_mode_label=mode_label_zh(POSITION_SIZING_MODE),
+        open_position_button_label=(
+            "开仓（全仓杠杆）" if is_full_margin_mode(POSITION_SIZING_MODE) else "开仓（以损定仓）"
+        ),
        breakeven_rr_trigger=BREAKEVEN_RR_TRIGGER,
        breakeven_offset_pct=BREAKEVEN_OFFSET_PCT,
        occupied_miss_total=occupied_miss_total,
@@ -6732,6 +6777,12 @@ def add_key():
        if mt not in allowed_types:
            flash("监控类型无效")
            return redirect("/key_monitor")
+        if is_full_margin_mode(POSITION_SIZING_MODE) and monitor_type_disallowed_in_full_margin(mt):
+            flash(
+                "全仓杠杆模式下不可添加箱体/收敛突破或斐波监控；"
+                "请改用阻力/支撑（仅提醒），或切换 POSITION_SIZING_MODE=risk 并重启（须无持仓）。"
+            )
+            return redirect("/key_monitor")
        rank, total = _daily_volume_rank(symbol)
        if rank is None:
            flash("日成交量排名读取失败，请稍后重试")
@@ -6930,19 +6981,6 @@ def add_order():
        flash(f"风控拒绝下单：{reason_live}")
        return redirect("/trade")
    exchange_symbol = normalize_exchange_symbol(symbol)
-    default_leverage = get_synced_leverage(exchange_symbol, direction) or infer_leverage(symbol)
-    try:
-        leverage_input = parse_positive_float(d.get("leverage"))
-        leverage = int(leverage_input) if leverage_input is not None else default_leverage
-    except Exception:
-        conn.close()
-        flash("杠杆参数格式错误")
-        return redirect("/")
-    if leverage <= 0:
-        conn.close()
-        flash("杠杆必须大于0")
-        return redirect("/")
-
    trading_day = get_trading_day(now)
    opens_today_before = conn.execute(
        "SELECT COUNT(*) FROM order_monitors WHERE session_date=?",
@@ -7018,20 +7056,56 @@ def add_order():
        flash("止损方向不合法：请检查入场方向与止损价格关系")
        return redirect("/")
    risk_percent = max(0.01, float(RISK_PERCENT))
-    risk_amount = round(capital_base * risk_percent / 100.0, 4)
-    notional_value = round(risk_amount / risk_fraction, 4)
-    margin_capital = round(notional_value / leverage, 4)
-    if capital_base and margin_capital > capital_base:
-        conn.close()
-        flash("以损定仓后保证金超过当前交易资金，请放宽止损或降低风险比例")
-        return redirect("/")
-    if available_usdt is not None:
-        max_margin = round(max(available_usdt * FULL_MARGIN_BUFFER_RATIO, 0), 4)
-        if margin_capital > max_margin:
+    risk_amount = round(capital_base * risk_percent / 100.0, 2)
+    if is_full_margin_mode(POSITION_SIZING_MODE):
+        ok_flat, flat_msg = full_margin_requires_flat_position(get_active_position_count(conn))
+        if not ok_flat:
            conn.close()
-            flash(f"保证金不足：交易账户可用约 {round(available_usdt, 2)}U，当前最多建议 {round(max_margin, 2)}U")
+            flash(flat_msg)
            return redirect("/")
-    position_ratio = round(margin_capital / capital_base * 100, 2) if capital_base else 0
+        leverage = leverage_for_full_margin(symbol, BTC_LEVERAGE, ALT_LEVERAGE)
+        sizing, sizing_err = compute_full_margin_sizing(
+            symbol=symbol,
+            available_usdt=available_usdt if available_usdt is not None else 0.0,
+            capital_base=capital_base,
+            buffer_ratio=FULL_MARGIN_BUFFER_RATIO,
+            btc_leverage=BTC_LEVERAGE,
+            alt_leverage=ALT_LEVERAGE,
+            funds_decimals=2,
+        )
+        if sizing_err:
+            conn.close()
+            flash(sizing_err)
+            return redirect("/")
+        margin_capital = sizing["margin_capital"]
+        notional_value = sizing["notional_value"]
+        position_ratio = sizing["position_ratio"]
+    else:
+        default_leverage = get_synced_leverage(exchange_symbol, direction) or infer_leverage(symbol)
+        try:
+            leverage_input = parse_positive_float(d.get("leverage"))
+            leverage = int(leverage_input) if leverage_input is not None else default_leverage
+        except Exception:
+            conn.close()
+            flash("杠杆参数格式错误")
+            return redirect("/")
+        if leverage <= 0:
+            conn.close()
+            flash("杠杆必须大于0")
+            return redirect("/")
+        notional_value = round(risk_amount / risk_fraction, 2)
+        margin_capital = round(notional_value / leverage, 2)
+        if capital_base and margin_capital > capital_base:
+            conn.close()
+            flash("以损定仓后保证金超过当前交易资金，请放宽止损或降低风险比例")
+            return redirect("/")
+        if available_usdt is not None:
+            max_margin = round(max(available_usdt * FULL_MARGIN_BUFFER_RATIO, 0), 2)
+            if margin_capital > max_margin:
+                conn.close()
+                flash(f"保证金不足：交易账户可用约 {round(available_usdt, 2)}U，当前最多建议 {round(max_margin, 2)}U")
+                return redirect("/")
+        position_ratio = round(margin_capital / capital_base * 100, 2) if capital_base else 0
    try:
        amount, quote_price = prepare_order_amount(exchange_symbol, margin_capital, leverage, live_price)
        contract_size = get_contract_size(exchange_symbol)
@@ -8213,6 +8287,8 @@ from strategy_trend_register import install_strategy_trend
 install_strategy_trading(app, _REPO_ROOT, app_module=sys.modules[__name__])
 install_strategy_trend(app, _REPO_ROOT, app_module=sys.modules[__name__])

+_purge_key_monitors_if_full_margin()
+

 # 启动
 if __name__ == "__main__":
@@ -417,7 +417,13 @@
                人工开仓盈亏比不得低于 {{ manual_min_planned_rr }}:1
            </div>
            <div class="rule-tip">
-                以损定仓：风险 {{ risk_percent }}% ｜移动保本：下单可勾选关闭；开启时 {{ breakeven_rr_trigger }}R 触发（每 1R 阶梯上移），偏移 {{ breakeven_offset_pct }}%
+                计仓模式：<strong>{{ position_sizing_mode_label }}</strong>（仅 .env <code>POSITION_SIZING_MODE</code>，须无仓后重启）
+                {% if position_sizing_mode == 'full_margin' %}
+                ｜全仓：合约可用×{{ full_margin_buffer_ratio }}，BTC/ETH {{ btc_leverage }}x、其它 {{ alt_leverage }}x，单仓；张数按交易所精度
+                {% else %}
+                ｜以损定仓：风险 {{ risk_percent }}%
+                {% endif %}
+                ｜移动保本：下单可勾选关闭；开启时 {{ breakeven_rr_trigger }}R 触发（每 1R 阶梯上移），偏移 {{ breakeven_offset_pct }}%
            </div>
            <div class="rule-tip">
                划转：自动划转 {{ '开启' if auto_transfer_enabled else '关闭' }}（每天<strong>北京时间 {{ auto_transfer_bj_hour }}:00</strong>起该整点小时内尝试；账簿按 <strong>UTC 自然日</strong>去重；界面时间为北京；将 {{ auto_transfer_to }} 补足到 {{ auto_transfer_amount }}U，来自 {{ auto_transfer_from }}）
@@ -449,7 +455,9 @@
                    <option value="trend">趋势单</option>
                    <option value="swing">波段单</option>
                </select>
+                {% if position_sizing_mode != 'full_margin' %}
                <input id="order-leverage" name="leverage" type="number" min="1" step="1" placeholder="杠杆(可选)">
+                {% endif %}
                <label style="display:flex;align-items:center;gap:4px;font-size:.82rem;color:#cfd3ef">
                    <input type="checkbox" name="breakeven_enabled" value="1" checked> 启用移动保本（关闭则仅保留初始止损与交易所挂单）
                </label>
@@ -461,7 +469,7 @@
                <input id="order-tp" name="tgt" step="any" placeholder="止盈价格" required>
                <input id="order-sl-pct" name="sl_pct" type="number" min="0.01" step="0.01" placeholder="止损%" style="display:none">
                <input id="order-tp-pct" name="tp_pct" type="number" min="0.01" step="0.01" placeholder="止盈%" style="display:none">
-                <button type="submit">开仓（以损定仓）</button>
+                <button type="submit">{{ open_position_button_label }}</button>
            </form>
        </div>
        <div class="card">