dekun
410 lines
14 KiB
Python
410 lines
14 KiB
Python
"""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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# 标准组基准默认（k=1）；可由设置 risk_*_unit 覆盖
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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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def _round2(x: float | None) -> float | None:
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if x is None or not math.isfinite(float(x)):
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return None
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return round(float(x) + 0.0, 2)
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def read_risk_units(ledger: Ledger) -> tuple[float, float, float]:
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"""永续名义单位 / 期权名义单位 / 出场基数(k=1)。"""
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perp_u = ledger.get_setting_float("risk_perp_unit", BASE_PERP_ETH)
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opt_u = ledger.get_setting_float("risk_option_unit", BASE_OPTION_ETH)
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exit_u = ledger.get_setting_float("risk_exit_unit", BASE_EXIT_USDT)
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if perp_u <= 0:
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perp_u = BASE_PERP_ETH
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if opt_u <= 0:
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opt_u = BASE_OPTION_ETH
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if exit_u <= 0:
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exit_u = BASE_EXIT_USDT
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return float(perp_u), float(opt_u), float(exit_u)
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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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perp_unit: float | None = None
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option_unit: float | None = None
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exit_unit: 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(
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*,
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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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option_unit: float = BASE_OPTION_ETH,
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) -> float:
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"""k=1 时估算最大亏损 = 权利金(option_unit ETH) + 手续费粗估。"""
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premium_unit = float(option_ask) * float(option_unit)
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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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perp_unit: float = BASE_PERP_ETH,
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option_unit: float = BASE_OPTION_ETH,
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exit_unit: float = BASE_EXIT_USDT,
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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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if option_unit <= 0 or perp_unit <= 0 or exit_unit <= 0:
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return RiskSizingResult(ok=False, detail="以损定仓比例/出场基数须 > 0")
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cost1 = unit_cost(
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index_px=index_px,
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option_ask=option_ask,
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fee_rate=fee_rate,
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option_unit=option_unit,
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)
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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=_round2(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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perp_unit=float(perp_unit),
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option_unit=float(option_unit),
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exit_unit=float(exit_unit),
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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) * float(option_unit) * 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=_round2(float(budget)),
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premium_est=_round2(prem),
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fee_est=_round2(fee),
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max_loss=_round2(mx),
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perp_qty_eth=round(float(perp_unit) * k, 4),
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option_qty_eth=round(float(option_unit) * k, 4),
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net_profit_target=_round2(float(exit_unit) * k),
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index_px=float(index_px),
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option_ask=float(option_ask),
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perp_unit=float(perp_unit),
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option_unit=float(option_unit),
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exit_unit=float(exit_unit),
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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=_round2(float(budget)),
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index_px=float(index_px),
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option_ask=float(option_ask),
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perp_unit=float(perp_unit),
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option_unit=float(option_unit),
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exit_unit=float(exit_unit),
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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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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:
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return None, "亏损值未设置或 ≤ 0", None
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return float(bud), "absolute", None
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capital, src = resolve_capital_base(database)
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if capital is None:
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return None, src, None
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pct = ledger.get_setting_float("risk_loss_pct", 1.0)
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if pct <= 0:
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return None, "亏损幅度须 > 0", capital
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return float(capital) * (float(pct) / 100.0), f"percent@{src}", capital
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def _trading_balances(db: Database) -> tuple[float | None, float | None]:
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s = get_settings()
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if s.is_sim:
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from ..sim.funds_wallets import SimFundsWallets
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w = SimFundsWallets(db)
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v = w.view()
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return float(v["trading_usdt"]), float(v["trading_usdc"])
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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"):
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return None, None
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from ..live.okx_funds import OkxFundsClient
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client = OkxFundsClient()
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try:
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bal = client.fetch_balances()
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tu = bal.get("trading_usdt")
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tc = bal.get("trading_usdc")
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return (
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float(tu) if tu is not None else None,
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float(tc) if tc is not None else None,
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)
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finally:
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client.close()
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except Exception as e:
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logger.warning("risk_sizing trading balance failed: %s", e)
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return None, None
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def compute_risk_sizing(
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*,
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index_px: float,
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option_ask: float,
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db: Database | None = None,
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) -> RiskSizingResult:
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database = db or get_db()
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ledger = Ledger(database)
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s = get_settings()
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fee_rate = ledger.get_setting_float("fee_rate", s.fee_rate)
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perp_u, opt_u, exit_u = read_risk_units(ledger)
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budget, bud_detail, capital = resolve_budget(database)
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if budget is None:
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return RiskSizingResult(ok=False, detail=f"以损定仓预算失败: {bud_detail}")
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r = compute_k(
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budget=budget,
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index_px=index_px,
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option_ask=option_ask,
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fee_rate=fee_rate,
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perp_unit=perp_u,
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option_unit=opt_u,
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exit_unit=exit_u,
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)
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if not r.ok:
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return RiskSizingResult(
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ok=False,
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detail=r.detail,
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budget=_round2(budget),
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capital_base=_round2(capital) if capital is not None else None,
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index_px=float(index_px),
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option_ask=float(option_ask),
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k=r.k,
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perp_unit=perp_u,
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option_unit=opt_u,
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exit_unit=exit_u,
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)
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return RiskSizingResult(
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ok=True,
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detail=r.detail,
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k=r.k,
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budget=_round2(budget),
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capital_base=_round2(capital) if capital is not None else None,
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premium_est=r.premium_est,
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fee_est=r.fee_est,
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max_loss=r.max_loss,
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perp_qty_eth=r.perp_qty_eth,
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option_qty_eth=r.option_qty_eth,
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net_profit_target=r.net_profit_target,
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index_px=r.index_px,
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option_ask=r.option_ask,
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perp_unit=perp_u,
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option_unit=opt_u,
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exit_unit=exit_u,
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)
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def apply_risk_sizing_to_ledger(
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*,
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index_px: float,
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option_ask: float,
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db: Database | None = None,
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) -> RiskSizingResult:
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"""计算并写入 perp/option/exit；非以损定仓模式直接 ok 跳过。持仓中拒绝改写。"""
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database = db or get_db()
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ledger = Ledger(database)
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if not is_risk_based(ledger):
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return RiskSizingResult(ok=True, detail="manual_sizing_skip")
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# 有活跃仓：本组成场参数已锁定，禁止重算覆盖
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pos = database.fetchone("SELECT status, group_id FROM positions WHERE id=1")
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if pos is not None:
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st = str(pos["status"] or "flat")
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if st in ("open", "half_open", "option_closed_perp_pending", "opening"):
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return RiskSizingResult(
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ok=False,
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detail="持仓中已锁定本组成交目标与名义，平仓后再自动计算",
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)
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r = compute_risk_sizing(index_px=index_px, option_ask=option_ask, db=database)
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if not r.ok:
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return r
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# 以损定仓强制 fixed_usdt；出场 = exit_unit × k
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database.set_setting("exit_mode", "fixed_usdt")
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database.set_setting("perp_qty_eth", str(r.perp_qty_eth))
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database.set_setting("option_qty_eth", str(r.option_qty_eth))
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database.set_setting("net_profit_target", str(r.net_profit_target))
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database.set_setting("risk_last_k", str(r.k))
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database.set_setting(
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"risk_last_max_loss",
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f"{r.max_loss:.2f}" if r.max_loss is not None else "",
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)
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logger.info(
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"risk_sizing applied k=%.1f perp=%.4f opt=%.4f exit=%.4f max_loss=%.4f budget=%.4f",
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r.k or 0,
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r.perp_qty_eth or 0,
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r.option_qty_eth or 0,
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r.net_profit_target or 0,
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r.max_loss or 0,
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r.budget or 0,
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)
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return r
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def preview_risk_sizing(db: Database | None = None) -> dict[str, Any]:
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"""设置页预览：用当前盘口粗估。"""
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database = db or get_db()
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ledger = Ledger(database)
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out: dict[str, Any] = {
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"sizing_mode": ledger.get_setting_str("sizing_mode", "manual") or "manual",
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"risk_based": is_risk_based(ledger),
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}
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if not is_risk_based(ledger):
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out["ok"] = True
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out["detail"] = "当前为手动仓位"
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return out
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try:
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from .open_capacity import _index_and_option_ask
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idx, ask = _index_and_option_ask()
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except Exception:
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idx, ask = None, None
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if idx is None or ask is None:
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out["ok"] = False
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out["detail"] = "暂无指数或期权卖一，无法预览"
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return out
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r = compute_risk_sizing(index_px=float(idx), option_ask=float(ask), db=database)
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perp_u, opt_u, exit_u = read_risk_units(ledger)
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out.update(
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{
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"ok": r.ok,
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"detail": r.detail,
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"k": r.k,
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"budget": r.budget,
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"capital_base": r.capital_base,
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"premium_est": r.premium_est,
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"fee_est": r.fee_est,
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"max_loss": r.max_loss,
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"perp_qty_eth": r.perp_qty_eth,
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"option_qty_eth": r.option_qty_eth,
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"net_profit_target": r.net_profit_target,
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"index_px": r.index_px,
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"option_ask": r.option_ask,
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"perp_unit": perp_u,
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"option_unit": opt_u,
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"exit_unit": exit_u,
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}
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)
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return out
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