Add futures roll strategy with breakout monitoring and fixed-amount sizing.
Replace percent-based risk with system fixed amount, support market/breakout add modes only, allow pending submission outside trading hours, and fix short breakout geometry plus route registration. Co-authored-by: Cursor <cursoragent@cursor.com>
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dekun
+220
-25
@@ -3,25 +3,49 @@
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# 严禁用于：带单/代客理财、向他人推荐期货品种或买卖建议、融资配资等业务。
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# 详见 LICENSE.zh-CN.txt 与 docs/软件购买与使用协议.md
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"""顺势加仓（滚仓）：纯计算，期货版（手数整数、乘数计入盈亏）。"""
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"""顺势加仓（滚仓）：纯计算与校验，期货版（手数整数、乘数计入盈亏）。"""
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from __future__ import annotations
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import math
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from typing import Any, Optional, Tuple
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from position_sizing import MODE_AMOUNT
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from strategy.fib_lib import calc_fib_plan
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ROLL_MAX_LEGS_LONG = 3
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ROLL_MAX_LEGS_SHORT = 3
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ROLL_STOP_OFFSET_PCT_DEFAULT = 1.0
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FIB_MODES = frozenset({"fib_618", "fib_786"})
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ADD_MODE_MARKET = "market"
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ADD_MODE_FIB_618 = "fib_618"
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ADD_MODE_FIB_786 = "fib_786"
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ADD_MODE_BREAKOUT = "breakout"
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FIB_MODES = frozenset({ADD_MODE_FIB_618, ADD_MODE_FIB_786})
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PENDING_MODES = frozenset({ADD_MODE_FIB_618, ADD_MODE_FIB_786, ADD_MODE_BREAKOUT})
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ADD_MODE_LABELS = {
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ADD_MODE_MARKET: "市价加仓",
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ADD_MODE_FIB_618: "斐波0.618",
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ADD_MODE_FIB_786: "斐波0.786",
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ADD_MODE_BREAKOUT: "突破加仓",
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}
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LEG_STATUS_PENDING = "pending"
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LEG_STATUS_FILLED = "filled"
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LEG_STATUS_CANCELLED = "cancelled"
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LEG_STATUS_INVALIDATED = "invalidated"
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def add_mode_label(mode: str) -> str:
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return ADD_MODE_LABELS.get((mode or "").strip().lower(), mode or "")
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def fib_ratio_from_mode(mode: str) -> Optional[float]:
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m = (mode or "").strip().lower()
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if m in ("fib_618", "618", "0.618"):
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if m in (ADD_MODE_FIB_618, "618", "0.618"):
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return 0.618
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if m in ("fib_786", "786", "0.786"):
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if m in (ADD_MODE_FIB_786, "786", "0.786"):
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return 0.786
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return None
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@@ -75,6 +99,7 @@ def solve_add_lots_for_total_risk(
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risk_budget: float,
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mult: int,
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) -> Tuple[Optional[int], Optional[str]]:
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"""方案 C：合并持仓打到新止损 S 时总亏损 ≤ B。"""
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q1, e1, e2, sl, b = float(qty_existing), float(entry_existing), float(add_price), float(new_stop), float(risk_budget)
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m = float(mult)
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direction = (direction or "long").strip().lower()
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@@ -89,10 +114,142 @@ def solve_add_lots_for_total_risk(
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q2 = numer / denom
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lots = lots_precise(q2)
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if lots < 1:
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return None, "按总风险%无需再加仓或无法再加"
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return None, "已满足风险上限或无法再加"
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return lots, None
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def roll_eligibility_error(
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*,
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sizing_mode: str,
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monitor: dict,
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has_active_trend: bool,
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legs_done: int = 0,
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has_pending_leg: bool = False,
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) -> Optional[str]:
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if normalize_sizing_mode(sizing_mode) != MODE_AMOUNT:
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return "仅固定金额（以损定仓）模式可滚仓"
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if has_active_trend:
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return "趋势回调运行中，不可滚仓"
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if not monitor or (monitor.get("status") or "").strip().lower() != "active":
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return "无有效持仓监控"
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if int(monitor.get("trailing_be") or 0):
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return "移动保本持仓不可滚仓"
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direction = (monitor.get("direction") or "long").strip().lower()
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if legs_done >= max_roll_legs(direction):
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return f"滚仓已达 {max_roll_legs(direction)} 次上限"
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if has_pending_leg:
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return "已有监控中的加仓腿，请等待成交或删除后再提交"
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if int(monitor.get("lots") or 0) < 1:
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return "持仓手数为 0"
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if not float(monitor.get("take_profit") or 0):
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return "首仓须设置止盈（移动保本不可滚仓）"
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return None
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def normalize_sizing_mode(raw: str) -> str:
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from position_sizing import normalize_sizing_mode as _norm
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return _norm(raw)
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def resolve_risk_percent(monitor: dict, *, default: float) -> float:
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try:
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rp = float(monitor.get("risk_percent") or 0)
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if rp > 0:
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return rp
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except (TypeError, ValueError):
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pass
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return float(default)
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def validate_roll_geometry(
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direction: str,
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add_mode: str,
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new_stop: float,
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*,
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mark_price: float,
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limit_price: Optional[float] = None,
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breakthrough_price: Optional[float] = None,
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at_trigger: bool = False,
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) -> Optional[str]:
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"""几何校验。
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做多斐波（回调）：止损 < 触发价 < 当前价
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做多突破（向上）：止损 < 突破价 < 当前价
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做空斐波（反弹）：当前价 < 触发价 < 止损
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做空突破（向下）：突破价 < 当前价 < 止损（提交时）；触发后当前价可 ≤ 突破价
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"""
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direction = (direction or "long").strip().lower()
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mode = (add_mode or ADD_MODE_MARKET).strip().lower()
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sl = float(new_stop)
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mark = float(mark_price)
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if sl <= 0 or mark <= 0:
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return "止损或参考价无效"
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if mode == ADD_MODE_MARKET:
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if direction == "long" and sl >= mark:
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return "做多：新止损须低于当前价"
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if direction == "short" and sl <= mark:
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return "做空：新止损须高于当前价"
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return None
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trigger = None
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if mode in FIB_MODES:
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trigger = float(limit_price or 0)
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if trigger <= 0:
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return "须填写斐波触发价"
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if direction == "long":
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if not (sl < trigger < mark):
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return "做多斐波：须满足 止损 < 触发价 < 当前价"
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else:
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if not (mark < trigger < sl):
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return "做空斐波：须满足 当前价 < 触发价 < 止损"
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return None
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if mode == ADD_MODE_BREAKOUT:
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trigger = float(breakthrough_price or 0)
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if trigger <= 0:
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return "须填写突破价"
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if at_trigger:
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if direction == "long":
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if not (sl < trigger <= mark):
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return "做多突破：触发时须满足 止损 < 突破价 ≤ 当前价"
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else:
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if not (trigger < sl and mark < sl):
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return "做空突破：触发时须满足 突破价 < 止损且当前价 < 止损"
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return None
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if direction == "long":
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if not (sl < trigger < mark):
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return "做多突破：须满足 止损 < 突破价 < 当前价"
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else:
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if not (trigger < mark < sl):
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return "做空突破：须满足 突破价 < 当前价 < 止损"
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return None
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return "加仓方式无效"
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def detect_mark_cross(
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direction: str,
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add_mode: str,
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prev_mark: float,
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mark: float,
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trigger_price: float,
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) -> bool:
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"""标记价穿越触发价（上一 tick 与当前 tick 比较）。"""
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direction = (direction or "long").strip().lower()
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mode = (add_mode or "").strip().lower()
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p = float(trigger_price)
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prev_m = float(prev_mark)
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cur_m = float(mark)
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if p <= 0 or prev_m <= 0 or cur_m <= 0:
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return False
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if mode in FIB_MODES:
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if direction == "long":
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return prev_m > p and cur_m <= p
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return prev_m < p and cur_m >= p
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if mode == ADD_MODE_BREAKOUT:
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if direction == "long":
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return prev_m < p and cur_m >= p
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return prev_m > p and cur_m <= p
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return False
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def preview_roll(
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*,
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direction: str,
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@@ -102,39 +259,70 @@ def preview_roll(
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initial_take_profit: float,
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add_mode: str,
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new_stop_loss: float,
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risk_percent: float,
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capital_base: float,
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risk_budget: float,
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mult: int,
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mark_price: Optional[float] = None,
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add_price: Optional[float] = None,
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limit_price: Optional[float] = None,
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breakthrough_price: Optional[float] = None,
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fib_upper: Optional[float] = None,
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fib_lower: Optional[float] = None,
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legs_done: int = 0,
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at_trigger: bool = False,
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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 legs_done >= max_roll_legs(direction):
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return None, f"滚仓已达 {max_roll_legs(direction)} 次上限"
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mode = (add_mode or "market").strip().lower()
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if mode == "market":
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if not add_price or add_price <= 0:
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return None, "需要有效参考价"
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entry_add = float(add_price)
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mode_label = "市价"
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elif mode in FIB_MODES:
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if fib_upper is None or fib_lower is None:
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return None, "斐波须填上沿/下沿"
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entry_add, err = fib_limit_entry(direction, float(fib_upper), float(fib_lower), mode)
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if err:
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return None, err
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mode_label = "斐波0.618" if "618" in mode else "斐波0.786"
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else:
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return None, "加仓方式无效"
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mode = (add_mode or ADD_MODE_MARKET).strip().lower()
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mark = float(mark_price or add_price or 0)
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if mark <= 0:
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return None, "需要有效参考价"
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sl = float(new_stop_loss)
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tp = float(initial_take_profit)
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if sl <= 0 or tp <= 0:
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return None, "止损/止盈无效"
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risk_budget = float(capital_base) * float(risk_percent) / 100.0
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entry_add = mark
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mode_label = add_mode_label(mode)
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trigger_price = mark
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is_pending = mode in PENDING_MODES
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if mode == ADD_MODE_MARKET:
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entry_add = mark
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elif mode in FIB_MODES:
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if limit_price and float(limit_price) > 0:
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entry_add = float(limit_price)
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trigger_price = entry_add
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elif fib_upper is not None and fib_lower is not None:
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entry_add, err = fib_limit_entry(direction, float(fib_upper), float(fib_lower), mode)
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if err:
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return None, err
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trigger_price = entry_add
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else:
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return None, "斐波须填触发价或上沿/下沿"
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elif mode == ADD_MODE_BREAKOUT:
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if not breakthrough_price or float(breakthrough_price) <= 0:
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return None, "须填写突破价"
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entry_add = float(breakthrough_price)
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trigger_price = entry_add
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else:
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return None, "加仓方式无效"
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geom_err = validate_roll_geometry(
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direction, mode, sl,
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mark_price=mark,
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limit_price=trigger_price if mode in FIB_MODES else None,
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breakthrough_price=trigger_price if mode == ADD_MODE_BREAKOUT else None,
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at_trigger=at_trigger,
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)
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if geom_err:
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return None, geom_err
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budget = float(risk_budget)
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if budget <= 0:
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return None, "固定金额无效"
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q2, err = solve_add_lots_for_total_risk(
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direction, qty_existing, entry_existing, entry_add, sl, risk_budget, mult
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direction, qty_existing, entry_existing, entry_add, sl, budget, mult,
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)
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if err:
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return None, err
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@@ -150,15 +338,22 @@ def preview_roll(
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return {
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"symbol": symbol,
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"direction": direction,
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"add_mode": mode,
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"add_mode_label": mode_label,
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"is_pending": is_pending,
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"add_price": round(entry_add, 4),
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"trigger_price": round(trigger_price, 4),
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"limit_price": round(trigger_price, 4) if mode in FIB_MODES else None,
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"breakthrough_price": round(trigger_price, 4) if mode == ADD_MODE_BREAKOUT else None,
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"new_stop_loss": round(sl, 4),
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"initial_take_profit": tp,
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"risk_percent": float(risk_percent),
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"risk_budget": round(budget, 2),
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"fixed_amount": round(budget, 2),
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"add_lots": q2,
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"qty_after": int(new_qty),
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"avg_entry_after": round(new_avg, 4),
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"loss_at_sl": round(loss_at_sl, 2),
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"reward_at_tp": round(reward_at_tp, 2),
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"legs_done": legs_done,
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"mark_price": round(mark, 4),
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}, None
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