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>
2026-07-29 23:32:42 +08:00
parent 0b51aa15ff
commit 3a4c8d639c
9 changed files with 803 additions and 16 deletions
@@ -48,6 +48,12 @@ KEYS = (
    "perp_qty_eth",
    "option_qty_eth",
    "show_manual_trade_buttons",
+    "sizing_mode",
+    "risk_loss_mode",
+    "risk_loss_pct",
+    "risk_loss_usdt",
+    "risk_capital_source",
+    "risk_manual_capital_usdt",
 )


@@ -74,6 +80,14 @@ class StrategySettingsBody(BaseModel):
    option_qty_eth: float | None = Field(default=None, ge=0.01, le=100)
    show_manual_trade_buttons: bool | None = None
    exchange: str | None = Field(default=None, pattern="^(okx|binance|bn)$")
+    sizing_mode: str | None = Field(default=None, pattern="^(manual|risk_based)$")
+    risk_loss_mode: str | None = Field(default=None, pattern="^(percent|absolute)$")
+    risk_loss_pct: float | None = Field(default=None, ge=0.01, le=100)
+    risk_loss_usdt: float | None = Field(default=None, ge=0.1, le=1_000_000)
+    risk_capital_source: str | None = Field(
+        default=None, pattern="^(trading_account|manual)$"
+    )
+    risk_manual_capital_usdt: float | None = Field(default=None, ge=1, le=100_000_000)


 def _as_bool(raw: str | None, default: bool) -> bool:
@@ -82,6 +96,15 @@ def _as_bool(raw: str | None, default: bool) -> bool:
    return str(raw).strip().lower() in ("1", "true", "yes", "on")


+def _risk_preview_safe() -> dict:
+    try:
+        from ..strategy.risk_sizing import preview_risk_sizing
+
+        return preview_risk_sizing()
+    except Exception as e:
+        return {"ok": False, "detail": f"预览失败: {e}", "risk_based": False}
+
+
 def _read_settings() -> dict:
    db = get_db()
    s = get_settings()
@@ -183,6 +206,45 @@ def _read_settings() -> dict:
        "show_manual_trade_buttons": _as_bool(
            db.get_setting("show_manual_trade_buttons", "0"), False
        ),
+        "sizing_mode": (
+            sm
+            if (
+                sm := str(db.get_setting("sizing_mode", "manual") or "manual")
+                .strip()
+                .lower()
+            )
+            in ("manual", "risk_based")
+            else "manual"
+        ),
+        "risk_loss_mode": (
+            lm
+            if (
+                lm := str(db.get_setting("risk_loss_mode", "percent") or "percent")
+                .strip()
+                .lower()
+            )
+            in ("percent", "absolute")
+            else "percent"
+        ),
+        "risk_loss_pct": float(db.get_setting("risk_loss_pct", "1") or 1),
+        "risk_loss_usdt": float(db.get_setting("risk_loss_usdt", "15") or 15),
+        "risk_capital_source": (
+            cs
+            if (
+                cs := str(
+                    db.get_setting("risk_capital_source", "trading_account")
+                    or "trading_account"
+                )
+                .strip()
+                .lower()
+            )
+            in ("trading_account", "manual")
+            else "trading_account"
+        ),
+        "risk_manual_capital_usdt": float(
+            db.get_setting("risk_manual_capital_usdt", "10000") or 10000
+        ),
+        "risk_sizing_preview": _risk_preview_safe(),
        "exchange": rt.exchange,
        "perp_inst_id": rt.perp_inst_id,
        "option_inst_family": rt.option_inst_family,
@@ -244,6 +306,59 @@ async def put_strategy_settings(
                detail="有未平仓，无法切换永续保证金模式；请先平仓后再改",
            )

+    # 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
+    sizing_mode = str(
+        data.get(
+            "sizing_mode",
+            db.get_setting("sizing_mode", "manual") or "manual",
+        )
+    ).strip().lower()
+    if sizing_mode == "risk_based":
+        data["exit_mode"] = "fixed_usdt"
+        data.pop("perp_qty_eth", None)
+        data.pop("option_qty_eth", None)
+        data.pop("net_profit_target", None)
+        loss_mode = str(
+            data.get(
+                "risk_loss_mode",
+                db.get_setting("risk_loss_mode", "percent") or "percent",
+            )
+        ).strip().lower()
+        if loss_mode == "absolute":
+            loss_u = data.get("risk_loss_usdt")
+            if loss_u is None:
+                loss_u = float(db.get_setting("risk_loss_usdt", "0") or 0)
+            if float(loss_u) <= 0:
+                raise HTTPException(
+                    status_code=400,
+                    detail="以损定仓选用亏损值时，须填写 risk_loss_usdt > 0",
+                )
+        else:
+            src = str(
+                data.get(
+                    "risk_capital_source",
+                    db.get_setting("risk_capital_source", "trading_account")
+                    or "trading_account",
+                )
+            ).strip().lower()
+            if src == "manual":
+                cap = data.get("risk_manual_capital_usdt")
+                if cap is None:
+                    cap = float(db.get_setting("risk_manual_capital_usdt", "0") or 0)
+                if float(cap) <= 0:
+                    raise HTTPException(
+                        status_code=400,
+                        detail="以损定仓选用单独本金时，须填写 risk_manual_capital_usdt > 0",
+                    )
+            pct = data.get("risk_loss_pct")
+            if pct is None:
+                pct = float(db.get_setting("risk_loss_pct", "0") or 0)
+            if float(pct) <= 0:
+                raise HTTPException(
+                    status_code=400,
+                    detail="以损定仓选用亏损幅度时，须填写 risk_loss_pct > 0",
+                )
+
    for k, v in data.items():
        if k in KEYS:
            db.set_setting(k, str(v))
@@ -96,9 +96,44 @@ async def sim_open_group(
    option_inst = (
        pick.pair.call_inst_id if option_side == "call" else pick.pair.put_inst_id
    )
+    # 强制方向时用该腿卖一估权利金；否则用选向结果
+    sizing_ask = float(
+        option_ask
+        if force in ("call", "put")
+        else pick.option_ask
+    )

    wkey = window_key()
    db = get_db()
+    from ..strategy.risk_sizing import apply_risk_sizing_to_ledger
+
+    rs = apply_risk_sizing_to_ledger(
+        index_px=float(pick.underlying_px),
+        option_ask=sizing_ask,
+        db=db,
+    )
+    if not rs.ok:
+        raise HTTPException(status_code=409, detail=rs.detail)
+
+    try:
+        from ..strategy.open_capacity import assess_open_capacity
+
+        cap = assess_open_capacity(db)
+        if cap.get("perp_can_open") is False or cap.get("option_can_open") is False:
+            detail = (
+                f"{cap.get('perp_label')} · {cap.get('option_label')}；"
+                f"永续需≈{cap.get('perp_need_usdt')}U/有{cap.get('perp_have_usdt')}U，"
+                f"期权需≈{cap.get('option_need_usdc')}U/有{cap.get('option_have_usdc')}U"
+            )
+            raise HTTPException(
+                status_code=409,
+                detail=f"资金不足，暂不可开新仓：{detail}",
+            )
+    except HTTPException:
+        raise
+    except Exception:
+        pass
+
    count = len(
        db.fetchall("SELECT group_id FROM groups WHERE group_id LIKE ?", (f"G-{wkey}-%",))
    )