crypto_monitor/strategy_roll_lib.py

"""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