dekun
227 lines
7.0 KiB
Python
227 lines
7.0 KiB
Python
"""中控历史测算：趋势回调 / 滚仓，以损定仓（无交易所精度，张数按公式估算）。"""
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from __future__ import annotations
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from typing import Any, Callable, Optional, Tuple
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from strategy_roll_lib import preview_roll
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from strategy_trend_lib import (
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build_trend_preview_level_rows,
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calc_risk_fraction,
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compute_trend_plan_core,
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validate_trend_bounds,
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)
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DEFAULT_DCA_LEGS = 5
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DEFAULT_CONTRACT_SIZE = 1.0
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MARGIN_BUFFER = 0.95
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def _identity_amount_precise(_symbol: str, amount: float) -> Optional[float]:
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try:
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v = float(amount)
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except (TypeError, ValueError):
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return None
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if v <= 0:
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return None
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return round(v, 8)
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def amount_from_margin(
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margin_capital: float,
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leverage: int,
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price: float,
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contract_size: float = DEFAULT_CONTRACT_SIZE,
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) -> Optional[float]:
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try:
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margin = float(margin_capital)
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lev = int(leverage)
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px = float(price)
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cs = float(contract_size) if contract_size else DEFAULT_CONTRACT_SIZE
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except (TypeError, ValueError):
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return None
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if margin <= 0 or lev <= 0 or px <= 0 or cs <= 0:
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return None
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notional = margin * lev
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return notional / (px * cs)
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def calc_trend_calculator(
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*,
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direction: str,
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capital_usdt: float,
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risk_percent: float,
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leverage: int,
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entry_price: float,
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stop_loss: float,
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add_upper: float,
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take_profit: float,
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dca_legs: int = DEFAULT_DCA_LEGS,
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contract_size: float = DEFAULT_CONTRACT_SIZE,
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) -> Tuple[Optional[dict[str, Any]], Optional[str]]:
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direction = (direction or "long").strip().lower()
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if direction not in ("long", "short"):
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return None, "方向须为 long 或 short"
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try:
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capital = float(capital_usdt)
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rp = float(risk_percent)
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lev = int(leverage)
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entry = float(entry_price)
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sl = float(stop_loss)
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upper = float(add_upper)
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tp = float(take_profit)
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legs = max(1, int(dca_legs))
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cs = float(contract_size) if contract_size else DEFAULT_CONTRACT_SIZE
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except (TypeError, ValueError):
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return None, "参数格式错误"
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if capital <= 0 or rp <= 0 or lev <= 0 or entry <= 0 or sl <= 0 or upper <= 0 or tp <= 0:
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return None, "资金、风险、杠杆与价格须大于 0"
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bound_err = validate_trend_bounds(direction, sl, upper)
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if bound_err:
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return None, bound_err
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rf = calc_risk_fraction(direction, upper, sl)
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if rf is None or rf <= 0:
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return None, "止损与补仓区间边界组合无法计算风险比例"
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risk_budget = capital * (rp / 100.0)
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notional = risk_budget / rf
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margin_plan = min(notional / float(lev), capital * MARGIN_BUFFER)
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if margin_plan <= 0:
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return None, "计划保证金过小"
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target_amt = amount_from_margin(margin_plan, lev, entry, cs)
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if target_amt is None or target_amt <= 0:
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return None, "无法计算计划张数，请检查入场价与杠杆"
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payload, err = compute_trend_plan_core(
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direction=direction,
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stop_loss=sl,
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add_upper=upper,
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risk_percent=rp,
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snapshot_usdt=capital,
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leverage=lev,
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live_price=entry,
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target_order_amount=target_amt,
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exchange_symbol="CALC",
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dca_legs=legs,
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amount_precise=_identity_amount_precise,
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min_amount=0.0,
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full_margin_buffer_ratio=MARGIN_BUFFER,
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)
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if err:
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return None, err
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payload["take_profit"] = tp
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payload["leverage"] = lev
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payload["contract_size"] = cs
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preview, rows = build_trend_preview_level_rows(payload)
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def _f(v: Any, nd: int = 4) -> Any:
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if v is None:
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return None
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try:
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return round(float(v), nd)
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except (TypeError, ValueError):
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return v
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table = []
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for row in rows:
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table.append(
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{
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"label": row.get("label"),
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"price": _f(row.get("price"), 8),
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"contracts": _f(row.get("contracts"), 8),
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"avg_entry": _f(row.get("avg_entry"), 8),
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"profit_u": _f(row.get("profit_u")),
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"risk_u": _f(row.get("risk_u")),
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"rr": _f(row.get("rr"), 4),
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}
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)
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return {
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"direction": direction,
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"capital_usdt": _f(capital),
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"risk_percent": _f(rp, 2),
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"risk_budget_u": _f(preview.get("preview_risk_amount_u")),
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"leverage": lev,
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"entry_price": _f(entry, 8),
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"stop_loss": _f(sl, 8),
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"add_upper": _f(upper, 8),
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"take_profit": _f(tp, 8),
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"plan_margin_u": _f(preview.get("plan_margin_capital")),
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"target_contracts": _f(preview.get("target_order_amount"), 8),
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"first_contracts": _f(preview.get("first_order_amount"), 8),
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"dca_legs": int(preview.get("dca_legs") or legs),
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"first_profit_u": _f(preview.get("preview_first_profit_u")),
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"first_rr": _f(preview.get("preview_target_rr"), 4),
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"rows": table,
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}, None
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def calc_roll_calculator(
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*,
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direction: str,
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capital_usdt: float,
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risk_percent: float,
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qty_existing: float,
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entry_existing: float,
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take_profit: float,
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add_price: float,
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new_stop_loss: float,
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legs_done: int = 0,
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) -> Tuple[Optional[dict[str, Any]], Optional[str]]:
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preview, err = preview_roll(
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direction=direction,
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symbol="CALC",
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qty_existing=qty_existing,
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entry_existing=entry_existing,
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initial_take_profit=take_profit,
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add_mode="market",
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new_stop_loss=new_stop_loss,
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risk_percent=risk_percent,
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capital_base_usdt=capital_usdt,
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add_price=add_price,
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legs_done=legs_done,
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)
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if err:
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return None, err
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if not preview:
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return None, "计算失败"
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def _f(v: Any, nd: int = 4) -> Any:
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if v is None:
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return None
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try:
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return round(float(v), nd)
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except (TypeError, ValueError):
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return v
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rr = None
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loss = preview.get("loss_at_sl_usdt")
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reward = preview.get("reward_at_tp_usdt")
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try:
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if loss and float(loss) > 0 and reward is not None:
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rr = round(float(reward) / float(loss), 4)
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except (TypeError, ValueError):
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rr = None
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return {
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"direction": preview.get("direction"),
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"capital_usdt": _f(capital_usdt),
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"risk_percent": _f(risk_percent, 2),
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"risk_budget_u": _f(preview.get("risk_budget_usdt")),
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"qty_existing": _f(qty_existing, 8),
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"entry_existing": _f(entry_existing, 8),
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"take_profit": _f(take_profit, 8),
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"add_price": _f(preview.get("add_price"), 8),
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"new_stop_loss": _f(new_stop_loss, 8),
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"add_contracts": _f(preview.get("add_amount_raw"), 8),
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"qty_after": _f(preview.get("qty_after"), 8),
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"avg_entry_after": _f(preview.get("avg_entry_after"), 8),
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"loss_at_sl_u": _f(loss),
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"profit_at_tp_u": _f(reward),
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"rr": rr,
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"leg_index_next": preview.get("leg_index_next"),
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}, None
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