"""顺势加仓(滚仓):纯计算。人工触发;止盈锁定首仓;斐波仅算限价。""" from __future__ import annotations from typing import Any, Optional, Tuple from fib_key_monitor_lib import calc_fib_plan, fib_ratio_from_type ROLL_MAX_LEGS_LONG = 3 ROLL_MAX_LEGS_SHORT = 3 FIB_MODES = frozenset({"fib_618", "fib_786"}) def fib_ratio_from_mode(mode: str) -> Optional[float]: m = (mode or "").strip().lower() if m in ("fib_618", "618", "0.618"): return 0.618 if m in ("fib_786", "786", "0.786"): return 0.786 return None def fib_limit_entry(direction: str, upper: float, lower: float, mode: str) -> Tuple[Optional[float], Optional[str]]: """H/L 仅用于计算限价加仓价;多:下沿=止损侧;空:上沿=止损侧。""" ratio = fib_ratio_from_mode(mode) if ratio is None: return None, "斐波档位无效" h, l = float(upper), float(lower) if h <= l: return None, "上沿须大于下沿" direction = (direction or "long").strip().lower() if direction == "short": plan = calc_fib_plan("short", h, l, ratio) else: plan = calc_fib_plan("long", h, l, ratio) if not plan: return None, "无法计算斐波限价" entry, _sl, _tp = plan return float(entry), None def max_roll_legs(direction: str) -> int: return ROLL_MAX_LEGS_LONG if (direction or "long").strip().lower() == "long" else ROLL_MAX_LEGS_SHORT def solve_add_amount_for_total_risk( direction: str, qty_existing: float, entry_existing: float, add_price: float, new_stop: float, risk_budget_usdt: float, ) -> Tuple[Optional[float], Optional[str]]: """ 已知合并后若触及 new_stop 总亏损=risk_budget,反推本次加仓张数 Q2。 long: (avg - SL) * (Q1+Q2) = B => Q2 = (B - Q1*(E1-SL)) / (E2-SL) short: (SL - avg) * (Q1+Q2) = B => Q2 = (B - Q1*(SL-E1)) / (SL-E2) """ try: q1 = float(qty_existing) e1 = float(entry_existing) e2 = float(add_price) sl = float(new_stop) b = float(risk_budget_usdt) except (TypeError, ValueError): return None, "参数格式错误" if q1 <= 0 or e1 <= 0 or e2 <= 0 or b <= 0: return None, "持仓或风险预算无效" direction = (direction or "long").strip().lower() if direction == "short": denom = sl - e2 numer = b - q1 * (sl - e1) if denom <= 0: return None, "做空:新止损须高于限价加仓价" else: denom = e2 - sl numer = b - q1 * (e1 - sl) if denom <= 0: return None, "做多:新止损须低于限价/市价加仓价" q2 = numer / denom if q2 <= 0: return None, "按当前新止损与总风险%,无需加仓或无法再加(已满足风险上限)" return q2, None def preview_roll( *, direction: str, symbol: str, qty_existing: float, entry_existing: float, initial_take_profit: float, add_mode: str, new_stop_loss: float, risk_percent: float, capital_base_usdt: float, add_price: Optional[float] = None, fib_upper: Optional[float] = None, fib_lower: Optional[float] = None, legs_done: int = 0, ) -> Tuple[Optional[dict[str, Any]], Optional[str]]: direction = (direction or "long").strip().lower() if legs_done >= max_roll_legs(direction): return None, f"{'做多' if direction == 'long' else '做空'}滚仓已达 {max_roll_legs(direction)} 次上限" mode = (add_mode or "market").strip().lower() if mode == "market": if add_price is None or add_price <= 0: return None, "市价加仓需要有效参考价" entry_add = float(add_price) mode_label = "市价" elif mode in FIB_MODES: if fib_upper is None or fib_lower is None: return None, "斐波限价须填写上沿与下沿" entry_add, err = fib_limit_entry(direction, float(fib_upper), float(fib_lower), mode) if err: return None, err mode_label = "斐波0.618" if "618" in mode else "斐波0.786" else: return None, "加仓方式无效" try: sl = float(new_stop_loss) tp = float(initial_take_profit) except (TypeError, ValueError): return None, "止损/止盈格式错误" if sl <= 0 or tp <= 0: return None, "止损与首仓止盈须大于0" if direction == "long": if sl >= entry_add: return None, "做多:新止损须低于加仓价" if tp <= entry_existing: return None, "做多:首仓止盈须高于当前持仓均价参考" else: if sl <= entry_add: return None, "做空:新止损须高于加仓价" if tp >= entry_existing: return None, "做空:首仓止盈须低于当前持仓均价参考" risk_budget = float(capital_base_usdt) * (float(risk_percent) / 100.0) q2_raw, err = solve_add_amount_for_total_risk( direction, qty_existing, entry_existing, entry_add, sl, risk_budget ) if err: return None, err q2 = float(q2_raw) new_qty = qty_existing + q2 new_avg = (qty_existing * entry_existing + q2 * entry_add) / new_qty if direction == "long": loss_at_sl = (new_avg - sl) * new_qty reward_at_tp = (tp - new_avg) * new_qty else: loss_at_sl = (sl - new_avg) * new_qty reward_at_tp = (new_avg - tp) * new_qty return { "symbol": symbol, "direction": direction, "add_mode": mode, "add_mode_label": mode_label, "add_price": round(entry_add, 10), "new_stop_loss": sl, "initial_take_profit": tp, "risk_percent": float(risk_percent), "risk_budget_usdt": round(risk_budget, 4), "add_amount_raw": q2, "qty_after": new_qty, "avg_entry_after": round(new_avg, 10), "loss_at_sl_usdt": round(loss_at_sl, 4), "reward_at_tp_usdt": round(reward_at_tp, 4), "legs_done": int(legs_done), "leg_index_next": int(legs_done) + 1, "fib_upper": fib_upper, "fib_lower": fib_lower, }, None