Add risk-based position sizing (以损定仓) with per-open k resize.
Manual vs risk modes are exclusive; each open floors k to 1 decimal so estimated premium+fees stay within the loss budget. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -48,6 +48,12 @@ KEYS = (
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"perp_qty_eth",
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"option_qty_eth",
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"show_manual_trade_buttons",
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"sizing_mode",
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"risk_loss_mode",
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"risk_loss_pct",
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"risk_loss_usdt",
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"risk_capital_source",
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"risk_manual_capital_usdt",
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)
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@@ -74,6 +80,14 @@ class StrategySettingsBody(BaseModel):
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option_qty_eth: float | None = Field(default=None, ge=0.01, le=100)
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show_manual_trade_buttons: bool | None = None
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exchange: str | None = Field(default=None, pattern="^(okx|binance|bn)$")
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sizing_mode: str | None = Field(default=None, pattern="^(manual|risk_based)$")
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risk_loss_mode: str | None = Field(default=None, pattern="^(percent|absolute)$")
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risk_loss_pct: float | None = Field(default=None, ge=0.01, le=100)
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risk_loss_usdt: float | None = Field(default=None, ge=0.1, le=1_000_000)
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risk_capital_source: str | None = Field(
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default=None, pattern="^(trading_account|manual)$"
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)
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risk_manual_capital_usdt: float | None = Field(default=None, ge=1, le=100_000_000)
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def _as_bool(raw: str | None, default: bool) -> bool:
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@@ -82,6 +96,15 @@ def _as_bool(raw: str | None, default: bool) -> bool:
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return str(raw).strip().lower() in ("1", "true", "yes", "on")
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def _risk_preview_safe() -> dict:
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try:
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from ..strategy.risk_sizing import preview_risk_sizing
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return preview_risk_sizing()
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except Exception as e:
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return {"ok": False, "detail": f"预览失败: {e}", "risk_based": False}
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def _read_settings() -> dict:
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db = get_db()
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s = get_settings()
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@@ -183,6 +206,45 @@ def _read_settings() -> dict:
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"show_manual_trade_buttons": _as_bool(
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db.get_setting("show_manual_trade_buttons", "0"), False
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),
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"sizing_mode": (
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sm
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if (
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sm := str(db.get_setting("sizing_mode", "manual") or "manual")
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.strip()
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.lower()
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)
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in ("manual", "risk_based")
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else "manual"
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),
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"risk_loss_mode": (
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lm
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if (
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lm := str(db.get_setting("risk_loss_mode", "percent") or "percent")
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.strip()
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.lower()
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)
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in ("percent", "absolute")
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else "percent"
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),
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"risk_loss_pct": float(db.get_setting("risk_loss_pct", "1") or 1),
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"risk_loss_usdt": float(db.get_setting("risk_loss_usdt", "15") or 15),
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"risk_capital_source": (
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cs
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if (
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cs := str(
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db.get_setting("risk_capital_source", "trading_account")
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or "trading_account"
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)
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.strip()
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.lower()
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)
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in ("trading_account", "manual")
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else "trading_account"
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),
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"risk_manual_capital_usdt": float(
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db.get_setting("risk_manual_capital_usdt", "10000") or 10000
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),
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"risk_sizing_preview": _risk_preview_safe(),
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"exchange": rt.exchange,
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"perp_inst_id": rt.perp_inst_id,
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"option_inst_family": rt.option_inst_family,
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@@ -244,6 +306,59 @@ async def put_strategy_settings(
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detail="有未平仓，无法切换永续保证金模式；请先平仓后再改",
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)
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# 以损定仓 ↔ 手动仓位互斥；开启以损定仓时强制 fixed_usdt，并忽略手填名义/出场
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sizing_mode = str(
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data.get(
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"sizing_mode",
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db.get_setting("sizing_mode", "manual") or "manual",
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)
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).strip().lower()
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if sizing_mode == "risk_based":
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data["exit_mode"] = "fixed_usdt"
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data.pop("perp_qty_eth", None)
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data.pop("option_qty_eth", None)
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data.pop("net_profit_target", None)
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loss_mode = str(
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data.get(
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"risk_loss_mode",
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db.get_setting("risk_loss_mode", "percent") or "percent",
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)
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).strip().lower()
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if loss_mode == "absolute":
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loss_u = data.get("risk_loss_usdt")
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if loss_u is None:
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loss_u = float(db.get_setting("risk_loss_usdt", "0") or 0)
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if float(loss_u) <= 0:
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raise HTTPException(
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status_code=400,
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detail="以损定仓选用亏损值时，须填写 risk_loss_usdt > 0",
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)
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else:
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src = str(
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data.get(
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"risk_capital_source",
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db.get_setting("risk_capital_source", "trading_account")
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or "trading_account",
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)
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).strip().lower()
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if src == "manual":
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cap = data.get("risk_manual_capital_usdt")
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if cap is None:
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cap = float(db.get_setting("risk_manual_capital_usdt", "0") or 0)
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if float(cap) <= 0:
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raise HTTPException(
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status_code=400,
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detail="以损定仓选用单独本金时，须填写 risk_manual_capital_usdt > 0",
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)
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pct = data.get("risk_loss_pct")
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if pct is None:
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pct = float(db.get_setting("risk_loss_pct", "0") or 0)
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if float(pct) <= 0:
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raise HTTPException(
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status_code=400,
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detail="以损定仓选用亏损幅度时，须填写 risk_loss_pct > 0",
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)
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for k, v in data.items():
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if k in KEYS:
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db.set_setting(k, str(v))
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@@ -96,9 +96,44 @@ async def sim_open_group(
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option_inst = (
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pick.pair.call_inst_id if option_side == "call" else pick.pair.put_inst_id
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)
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# 强制方向时用该腿卖一估权利金；否则用选向结果
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sizing_ask = float(
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option_ask
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if force in ("call", "put")
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else pick.option_ask
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)
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wkey = window_key()
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db = get_db()
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from ..strategy.risk_sizing import apply_risk_sizing_to_ledger
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rs = apply_risk_sizing_to_ledger(
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index_px=float(pick.underlying_px),
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option_ask=sizing_ask,
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db=db,
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)
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if not rs.ok:
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raise HTTPException(status_code=409, detail=rs.detail)
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try:
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from ..strategy.open_capacity import assess_open_capacity
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cap = assess_open_capacity(db)
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if cap.get("perp_can_open") is False or cap.get("option_can_open") is False:
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detail = (
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f"{cap.get('perp_label')} · {cap.get('option_label')}；"
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f"永续需≈{cap.get('perp_need_usdt')}U/有{cap.get('perp_have_usdt')}U，"
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f"期权需≈{cap.get('option_need_usdc')}U/有{cap.get('option_have_usdc')}U"
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)
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raise HTTPException(
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status_code=409,
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detail=f"资金不足，暂不可开新仓：{detail}",
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)
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except HTTPException:
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raise
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except Exception:
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pass
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count = len(
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db.fetchall("SELECT group_id FROM groups WHERE group_id LIKE ?", (f"G-{wkey}-%",))
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)
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@@ -716,6 +716,41 @@ class StrategyEngine:
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self._set_state(phase="open", last_error="有未平仓，禁止开下一组")
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return
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self._set_state(phase="wait_signal")
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pick = await get_session().pick_for_open_async()
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if pick is None:
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self._set_state(
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last_error="无合格期权：需剩余时长、杠杆（及已开启的ATM偏差）同时满足"
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)
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return
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# 以损定仓：每笔开仓前按指数/卖一重算 k，再写名义与出场（须在资金门前）
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try:
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from .risk_sizing import apply_risk_sizing_to_ledger
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rs = apply_risk_sizing_to_ledger(
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index_px=float(pick.underlying_px),
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option_ask=float(pick.option_ask),
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db=self.db,
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)
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if not rs.ok:
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self._set_state(phase="idle", last_error=rs.detail)
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try:
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from ..notify import wecom
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wecom.notify_fault(
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title="以损定仓失败",
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detail=rs.detail,
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dedupe_key=f"risk_sizing:{rs.detail[:80]}",
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)
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except Exception:
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pass
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return
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except Exception:
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logger.exception("risk sizing failed")
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self._set_state(phase="idle", last_error="以损定仓计算异常，暂不开仓")
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return
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try:
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cap = assess_open_capacity(self.db)
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if cap.get("perp_can_open") is False or cap.get("option_can_open") is False:
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@@ -732,14 +767,6 @@ class StrategyEngine:
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except Exception:
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logger.exception("open capacity gate failed")
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self._set_state(phase="wait_signal")
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pick = await get_session().pick_for_open_async()
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if pick is None:
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self._set_state(
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last_error="无合格期权：需剩余时长、杠杆（及已开启的ATM偏差）同时满足"
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)
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return
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self._set_state(phase="opening", last_error=None)
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wkey = window_key()
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count = self._count_groups_for_day(wkey)
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@@ -0,0 +1,337 @@
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"""以损定仓：按可承受最大亏损反推标准组倍数 k（永续1 / 期权2 / 出场15）。"""
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from __future__ import annotations
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import logging
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import math
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from dataclasses import dataclass
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from typing import Any
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from ..config import get_settings
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from ..models.db import Database, get_db
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from ..sim.ledger import Ledger
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logger = logging.getLogger(__name__)
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# 标准组基准（k=1）
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BASE_PERP_ETH = 1.0
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BASE_OPTION_ETH = 2.0
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BASE_EXIT_USDT = 15.0
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MIN_K = 0.1
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FEE_LEG_COUNT = 3 # 永续开/平 + 期权一次
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@dataclass(frozen=True, slots=True)
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class RiskSizingResult:
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ok: bool
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detail: str
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k: float | None = None
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budget: float | None = None
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capital_base: float | None = None
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premium_est: float | None = None
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fee_est: float | None = None
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max_loss: float | None = None
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perp_qty_eth: float | None = None
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option_qty_eth: float | None = None
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net_profit_target: float | None = None
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index_px: float | None = None
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option_ask: float | None = None
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def is_risk_based(ledger: Ledger | None = None) -> bool:
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led = ledger or Ledger()
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mode = (led.get_setting_str("sizing_mode", "manual") or "manual").strip().lower()
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return mode == "risk_based"
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def floor_k_1dp(k_raw: float) -> float:
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"""一位小数向下取整，保证不超预算。"""
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if k_raw <= 0 or not math.isfinite(k_raw):
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return 0.0
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return math.floor(k_raw * 10.0 + 1e-12) / 10.0
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def unit_cost(*, index_px: float, option_ask: float, fee_rate: float) -> float:
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"""k=1 时估算最大亏损 = 权利金(2ETH) + 手续费粗估。"""
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premium_unit = float(option_ask) * BASE_OPTION_ETH
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fee_unit = float(index_px) * float(fee_rate) * FEE_LEG_COUNT
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return premium_unit + fee_unit
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def compute_k(
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*,
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budget: float,
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index_px: float,
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option_ask: float,
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fee_rate: float,
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) -> RiskSizingResult:
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if budget is None or budget <= 0 or not math.isfinite(budget):
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return RiskSizingResult(ok=False, detail="以损定仓预算无效（须 > 0）")
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if index_px is None or index_px <= 0 or not math.isfinite(index_px):
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return RiskSizingResult(ok=False, detail="以损定仓缺少有效指数价")
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if option_ask is None or option_ask <= 0 or not math.isfinite(option_ask):
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return RiskSizingResult(ok=False, detail="以损定仓缺少有效期权卖一")
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cost1 = unit_cost(index_px=index_px, option_ask=option_ask, fee_rate=fee_rate)
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if cost1 <= 1e-12:
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return RiskSizingResult(ok=False, detail="以损定仓单位成本无效")
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k_raw = float(budget) / cost1
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k = floor_k_1dp(k_raw)
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if k < MIN_K - 1e-12:
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return RiskSizingResult(
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ok=False,
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detail=(
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f"以损定仓算出 k={k_raw:.4f}，向下取整后 < {MIN_K}，"
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f"预算 {budget:.2f}U 不足以开最小仓（单位成本≈{cost1:.2f}U）"
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),
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budget=float(budget),
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k=k,
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index_px=float(index_px),
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option_ask=float(option_ask),
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)
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# 若浮点导致仍略超，再降一档
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while k >= MIN_K - 1e-12:
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prem = float(option_ask) * BASE_OPTION_ETH * k
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fee = float(index_px) * float(fee_rate) * FEE_LEG_COUNT * k
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mx = prem + fee
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if mx <= float(budget) + 1e-6:
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return RiskSizingResult(
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ok=True,
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detail="ok",
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k=k,
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budget=float(budget),
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premium_est=prem,
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fee_est=fee,
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max_loss=mx,
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perp_qty_eth=round(BASE_PERP_ETH * k, 4),
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option_qty_eth=round(BASE_OPTION_ETH * k, 4),
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net_profit_target=round(BASE_EXIT_USDT * k, 4),
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index_px=float(index_px),
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option_ask=float(option_ask),
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)
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k = round(k - 0.1, 1)
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return RiskSizingResult(
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ok=False,
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detail=f"以损定仓无法在预算 {budget:.2f}U 内找到合规 k",
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budget=float(budget),
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index_px=float(index_px),
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option_ask=float(option_ask),
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)
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def resolve_capital_base(db: Database | None = None) -> tuple[float | None, str]:
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"""返回 (本金USDT口径, 说明)。"""
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database = db or get_db()
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ledger = Ledger(database)
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source = (
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ledger.get_setting_str("risk_capital_source", "trading_account") or "trading_account"
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).strip().lower()
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if source in ("manual", "manual_capital", "fixed"):
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cap = ledger.get_setting_float("risk_manual_capital_usdt", 0.0)
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if cap <= 0:
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return None, "单独本金未设置或 ≤ 0"
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return float(cap), "manual"
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# trading_account：交易账户 USDT + USDC（1:1 折算，与资金条交易账户一致）
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usdt, usdc = _trading_balances(database)
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if usdt is None and usdc is None:
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try:
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from ..exchange.runtime import load_runtime_settings
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ex = str(load_runtime_settings().exchange or "").strip().lower()
|
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if ex in ("binance", "bn") and not get_settings().is_sim:
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return (
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None,
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"币安实盘暂未接入交易账户余额，请改用「单独本金」或「亏损值」",
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)
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except Exception:
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pass
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return None, "无法读取交易账户资金"
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total = float(usdt or 0.0) + float(usdc or 0.0)
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if total <= 1e-9:
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return None, "交易账户总资金为 0"
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return total, "trading_account"
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|
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def resolve_budget(db: Database | None = None) -> tuple[float | None, str, float | None]:
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"""返回 (budget, detail, capital_base)。"""
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database = db or get_db()
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ledger = Ledger(database)
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loss_mode = (
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ledger.get_setting_str("risk_loss_mode", "percent") or "percent"
|
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).strip().lower()
|
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if loss_mode in ("absolute", "usdt", "value", "亏损值"):
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bud = ledger.get_setting_float("risk_loss_usdt", 0.0)
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if bud <= 0:
|
||||
return None, "亏损值未设置或 ≤ 0", None
|
||||
return float(bud), "absolute", None
|
||||
|
||||
capital, src = resolve_capital_base(database)
|
||||
if capital is None:
|
||||
return None, src, None
|
||||
pct = ledger.get_setting_float("risk_loss_pct", 1.0)
|
||||
if pct <= 0:
|
||||
return None, "亏损幅度须 > 0", capital
|
||||
return float(capital) * (float(pct) / 100.0), f"percent@{src}", capital
|
||||
|
||||
|
||||
def _trading_balances(db: Database) -> tuple[float | None, float | None]:
|
||||
s = get_settings()
|
||||
if s.is_sim:
|
||||
from ..sim.funds_wallets import SimFundsWallets
|
||||
|
||||
w = SimFundsWallets(db)
|
||||
v = w.view()
|
||||
return float(v["trading_usdt"]), float(v["trading_usdc"])
|
||||
try:
|
||||
from ..exchange.runtime import load_runtime_settings
|
||||
|
||||
ex = str(load_runtime_settings().exchange or "").strip().lower()
|
||||
if ex in ("binance", "bn"):
|
||||
return None, None
|
||||
from ..live.okx_funds import OkxFundsClient
|
||||
|
||||
client = OkxFundsClient()
|
||||
try:
|
||||
bal = client.fetch_balances()
|
||||
tu = bal.get("trading_usdt")
|
||||
tc = bal.get("trading_usdc")
|
||||
return (
|
||||
float(tu) if tu is not None else None,
|
||||
float(tc) if tc is not None else None,
|
||||
)
|
||||
finally:
|
||||
client.close()
|
||||
except Exception as e:
|
||||
logger.warning("risk_sizing trading balance failed: %s", e)
|
||||
return None, None
|
||||
|
||||
|
||||
def compute_risk_sizing(
|
||||
*,
|
||||
index_px: float,
|
||||
option_ask: float,
|
||||
db: Database | None = None,
|
||||
) -> RiskSizingResult:
|
||||
database = db or get_db()
|
||||
ledger = Ledger(database)
|
||||
s = get_settings()
|
||||
fee_rate = ledger.get_setting_float("fee_rate", s.fee_rate)
|
||||
budget, bud_detail, capital = resolve_budget(database)
|
||||
if budget is None:
|
||||
return RiskSizingResult(ok=False, detail=f"以损定仓预算失败: {bud_detail}")
|
||||
r = compute_k(
|
||||
budget=budget,
|
||||
index_px=index_px,
|
||||
option_ask=option_ask,
|
||||
fee_rate=fee_rate,
|
||||
)
|
||||
if not r.ok:
|
||||
return RiskSizingResult(
|
||||
ok=False,
|
||||
detail=r.detail,
|
||||
budget=budget,
|
||||
capital_base=capital,
|
||||
index_px=float(index_px),
|
||||
option_ask=float(option_ask),
|
||||
k=r.k,
|
||||
)
|
||||
return RiskSizingResult(
|
||||
ok=True,
|
||||
detail=r.detail,
|
||||
k=r.k,
|
||||
budget=budget,
|
||||
capital_base=capital,
|
||||
premium_est=r.premium_est,
|
||||
fee_est=r.fee_est,
|
||||
max_loss=r.max_loss,
|
||||
perp_qty_eth=r.perp_qty_eth,
|
||||
option_qty_eth=r.option_qty_eth,
|
||||
net_profit_target=r.net_profit_target,
|
||||
index_px=r.index_px,
|
||||
option_ask=r.option_ask,
|
||||
)
|
||||
|
||||
|
||||
def apply_risk_sizing_to_ledger(
|
||||
*,
|
||||
index_px: float,
|
||||
option_ask: float,
|
||||
db: Database | None = None,
|
||||
) -> RiskSizingResult:
|
||||
"""计算并写入 perp/option/exit；非以损定仓模式直接 ok 跳过。"""
|
||||
database = db or get_db()
|
||||
ledger = Ledger(database)
|
||||
if not is_risk_based(ledger):
|
||||
return RiskSizingResult(ok=True, detail="manual_sizing_skip")
|
||||
|
||||
r = compute_risk_sizing(index_px=index_px, option_ask=option_ask, db=database)
|
||||
if not r.ok:
|
||||
return r
|
||||
|
||||
# 以损定仓强制 fixed_usdt，保证出场 15×k
|
||||
database.set_setting("exit_mode", "fixed_usdt")
|
||||
database.set_setting("perp_qty_eth", str(r.perp_qty_eth))
|
||||
database.set_setting("option_qty_eth", str(r.option_qty_eth))
|
||||
database.set_setting("net_profit_target", str(r.net_profit_target))
|
||||
database.set_setting("risk_last_k", str(r.k))
|
||||
database.set_setting(
|
||||
"risk_last_max_loss",
|
||||
f"{r.max_loss:.6f}" if r.max_loss is not None else "",
|
||||
)
|
||||
logger.info(
|
||||
"risk_sizing applied k=%.1f perp=%.4f opt=%.4f exit=%.4f max_loss=%.4f budget=%.4f",
|
||||
r.k or 0,
|
||||
r.perp_qty_eth or 0,
|
||||
r.option_qty_eth or 0,
|
||||
r.net_profit_target or 0,
|
||||
r.max_loss or 0,
|
||||
r.budget or 0,
|
||||
)
|
||||
return r
|
||||
|
||||
|
||||
def preview_risk_sizing(db: Database | None = None) -> dict[str, Any]:
|
||||
"""设置页预览：用当前盘口粗估。"""
|
||||
database = db or get_db()
|
||||
ledger = Ledger(database)
|
||||
out: dict[str, Any] = {
|
||||
"sizing_mode": ledger.get_setting_str("sizing_mode", "manual") or "manual",
|
||||
"risk_based": is_risk_based(ledger),
|
||||
}
|
||||
if not is_risk_based(ledger):
|
||||
out["ok"] = True
|
||||
out["detail"] = "当前为手动仓位"
|
||||
return out
|
||||
try:
|
||||
from .open_capacity import _index_and_option_ask
|
||||
|
||||
idx, ask = _index_and_option_ask()
|
||||
except Exception:
|
||||
idx, ask = None, None
|
||||
if idx is None or ask is None:
|
||||
out["ok"] = False
|
||||
out["detail"] = "暂无指数或期权卖一，无法预览"
|
||||
return out
|
||||
r = compute_risk_sizing(index_px=float(idx), option_ask=float(ask), db=database)
|
||||
out.update(
|
||||
{
|
||||
"ok": r.ok,
|
||||
"detail": r.detail,
|
||||
"k": r.k,
|
||||
"budget": r.budget,
|
||||
"capital_base": r.capital_base,
|
||||
"premium_est": r.premium_est,
|
||||
"fee_est": r.fee_est,
|
||||
"max_loss": r.max_loss,
|
||||
"perp_qty_eth": r.perp_qty_eth,
|
||||
"option_qty_eth": r.option_qty_eth,
|
||||
"net_profit_target": r.net_profit_target,
|
||||
"index_px": r.index_px,
|
||||
"option_ask": r.option_ask,
|
||||
}
|
||||
)
|
||||
return out
|
||||
@@ -0,0 +1,53 @@
|
||||
"""以损定仓纯函数测试。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
from app.strategy.risk_sizing import (
|
||||
BASE_EXIT_USDT,
|
||||
BASE_OPTION_ETH,
|
||||
BASE_PERP_ETH,
|
||||
compute_k,
|
||||
floor_k_1dp,
|
||||
unit_cost,
|
||||
)
|
||||
|
||||
|
||||
def test_floor_k_1dp() -> None:
|
||||
assert floor_k_1dp(1.29) == 1.2
|
||||
assert floor_k_1dp(0.19) == 0.1
|
||||
assert floor_k_1dp(0.09) == 0.0
|
||||
assert floor_k_1dp(2.0) == 2.0
|
||||
|
||||
|
||||
def test_compute_k_scales_1_2_15() -> None:
|
||||
# I=2000, A=20, fee=0.0005 → unit = 2*20 + 2000*0.0005*3 = 40 + 3 = 43
|
||||
# budget=43 → k=1.0
|
||||
r = compute_k(budget=43.0, index_px=2000.0, option_ask=20.0, fee_rate=0.0005)
|
||||
assert r.ok
|
||||
assert r.k == 1.0
|
||||
assert r.perp_qty_eth == BASE_PERP_ETH
|
||||
assert r.option_qty_eth == BASE_OPTION_ETH
|
||||
assert r.net_profit_target == BASE_EXIT_USDT
|
||||
assert r.max_loss is not None and r.max_loss <= 43.0 + 1e-6
|
||||
|
||||
|
||||
def test_compute_k_never_exceeds_budget() -> None:
|
||||
r = compute_k(budget=50.0, index_px=1900.0, option_ask=18.5, fee_rate=0.0005)
|
||||
assert r.ok
|
||||
assert r.k is not None
|
||||
assert abs(r.k * 10 - round(r.k * 10)) < 1e-9 # 一位小数
|
||||
assert r.max_loss is not None and r.max_loss <= 50.0 + 1e-6
|
||||
assert r.perp_qty_eth == round(1.0 * r.k, 4)
|
||||
assert r.option_qty_eth == round(2.0 * r.k, 4)
|
||||
assert r.net_profit_target == round(15.0 * r.k, 4)
|
||||
|
||||
|
||||
def test_compute_k_too_small() -> None:
|
||||
# unit≈43, budget=2 → k_raw≪0.1
|
||||
r = compute_k(budget=2.0, index_px=2000.0, option_ask=20.0, fee_rate=0.0005)
|
||||
assert not r.ok
|
||||
assert "最小仓" in r.detail or "k=" in r.detail
|
||||
|
||||
|
||||
def test_unit_cost() -> None:
|
||||
assert abs(unit_cost(index_px=2000, option_ask=20, fee_rate=0.0005) - 43.0) < 1e-9
|
||||
Reference in New Issue
Block a user