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>

templates/strategy.html

@@ -32,9 +32,11 @@
         </ul>
         <p><strong>顺势加仓（滚仓）</strong></p>
         <ul>
-            <li>在「下单监控」已有 <strong>active 持仓监控</strong> 上扩大仓位，统一抬高止损</li>
-            <li>预览后执行；<strong>仓位上限冻结时仍可滚仓</strong>，但受滚仓保证金上限约束</li>
-            <li>最多 3 腿；止盈锁定首仓逻辑</li>
+            <li>仅<strong>固定金额（以损定仓）</strong>模式；<strong>移动保本</strong>持仓不可滚仓</li>
+            <li>须「下单监控」有 active 持仓；与趋势回调互斥</li>
+            <li>风险预算 = 系统设置<strong>固定金额</strong>；合并持仓打到新止损总亏损 ≤ B</li>
+            <li>最多 3 腿（已成交）；同一组最多 1 条 pending 监控腿</li>
+            <li>止盈锁定首仓；突破由程序监控标记价穿越后市价加仓</li>
         </ul>
     </div>
 </details>
@@ -87,43 +89,111 @@
     <div class="card">
         <h2>顺势加仓（滚仓）</h2>
         <div class="card-body">
-        <p class="hint" style="margin-bottom:.65rem">在已有持仓上扩大仓位，统一抬高止损；最多 3 腿，止盈锁定首仓。</p>
-        {% if roll_groups %}
-        {% for g in roll_groups %}
-        <div class="strategy-active-roll">
-            运行中 · 监控 #{{ g.order_monitor_id }} · {{ g.leg_count or 1 }} 腿 · 止损 {{ g.current_stop_loss }}
-        </div>
-        {% endfor %}
+        <details class="module-rules" style="margin-bottom:.65rem">
+            <summary>顺势加仓规则说明</summary>
+            <div class="module-rules-body" style="font-size:.78rem;line-height:1.55">
+                <ul>
+                    <li>手动提交；须实盘已有同向持仓与 active 监控单</li>
+                    <li>计仓模式须为<strong>固定金额</strong>；移动保本不可滚仓</li>
+                    <li>做多/做空各最多 3 次滚仓（仅计已成交）；止盈为首仓 TP 不变</li>
+                    <li>风险预算 B = 系统设置中的<strong>固定金额</strong>；打到新止损 S 时合并持仓总亏损 ≤ B</li>
+                    <li>突破：标记价穿越触发价后按当时持仓重算手数再市价加仓</li>
+                    <li>pending 腿不可改，只能删除；手动平仓后滚仓组关闭</li>
+                </ul>
+            </div>
+        </details>
+        {% if not roll_allowed %}
+        <p class="hint text-muted">当前为「{{ sizing_mode_label }}」模式，滚仓不可用。请在系统设置切换为<strong>固定金额</strong>。</p>
         {% endif %}
         {% if monitors %}
+        <p class="hint" id="roll-risk-hint">风险预算（固定金额）：<strong id="roll-risk-budget">{{ '%.0f'|format(fixed_amount) }} 元</strong></p>
         <form id="roll-form" class="form-compact">
-            <div class="field" style="margin-bottom:.5rem">
-                <label class="text-label" style="font-size:.72rem">选择下单监控（开仓后生成）</label>
-                <select name="monitor_id" required>
+            <div class="form-line line-2">
+                <select name="monitor_id" id="roll-monitor-select" required {% if not roll_allowed %}disabled{% endif %}>
                     {% for m in monitors %}
-                    <option value="{{ m.id }}">{{ m.symbol_name or m.symbol }} {{ m.symbol }} · {{ '多' if m.direction == 'long' else '空' }} {{ m.lots }}手 · SL {{ m.stop_loss or '—' }}</option>
+                    <option value="{{ m.id }}"
+                            data-direction="{{ m.direction }}"
+                            data-eligible="{{ '1' if m.roll_eligible else '0' }}"
+                            data-block="{{ m.roll_block_reason or '' }}"
+                            {% if not m.roll_eligible %}disabled{% endif %}>
+                        {{ m.symbol_name or m.symbol }} {{ m.symbol }} · {{ '多' if m.direction == 'long' else '空' }} #{{ m.id }}
+                        · {{ m.lots }}手 · SL {{ m.stop_loss or '—' }}
+                        {% if not m.roll_eligible %} · {{ m.roll_block_reason }}{% endif %}
+                    </option>
                     {% endfor %}
                 </select>
+                <select name="add_mode" id="roll-add-mode" {% if not roll_allowed %}disabled{% endif %}>
+                    <option value="market">市价加仓</option>
+                    <option value="breakout">突破加仓</option>
+                </select>
             </div>
             <div class="form-line line-2">
-                <input name="new_stop_loss" type="number" step="any" placeholder="新统一止损" required>
-                <input name="risk_percent" type="number" step="0.1" value="2" placeholder="总风险 %" title="总风险%">
+                <input name="new_stop_loss" id="roll-new-sl" type="number" step="any" placeholder="新统一止损" required {% if not roll_allowed %}disabled{% endif %}>
+                <input name="breakthrough_price" id="roll-break-price" type="number" step="any" placeholder="突破价" hidden>
             </div>
             <div class="form-line line-2">
-                <input name="add_price" type="number" step="any" placeholder="加仓参考价（可选）">
-                <button type="button" class="btn-primary" id="btn-roll-preview">预览滚仓</button>
+                <button type="button" class="btn-primary" id="btn-roll-preview" {% if not roll_allowed %}disabled{% endif %}>预览</button>
+                <button type="button" class="btn-primary" id="btn-roll-exec" hidden {% if not roll_allowed %}disabled{% endif %}>执行滚仓</button>
             </div>
             <div id="roll-preview" class="strategy-preview" hidden></div>
-            <button type="button" class="btn-primary" id="btn-roll-exec" hidden style="margin-top:.65rem;width:100%">执行滚仓</button>
+            <p class="hint" id="roll-exec-hint" hidden style="font-size:.75rem;margin-top:.45rem">市价加仓：须交易时段内确认，10 秒倒计时执行；突破加仓：任意时间可提交，开盘后再监控触价</p>
         </form>
         {% else %}
         <p class="empty-hint">暂无可用持仓监控</p>
         <ol class="strategy-steps">
             <li>打开 <a href="{{ url_for('positions') }}">持仓监控</a>，连接 CTP</li>
-            <li>在「期货下单」填写品种、止损/止盈并<strong>开仓</strong></li>
-            <li>开仓成功后会生成本页可选的监控记录，即可滚仓</li>
+            <li>系统设置为<strong>固定金额</strong>，在「期货下单」开仓（勿开移动保本）</li>
+            <li>开仓成功后生成本页可选监控，即可滚仓</li>
         </ol>
         {% endif %}
+        <h3 style="font-size:.85rem;margin:1rem 0 .45rem">活跃滚仓组</h3>
+        {% if roll_groups %}
+        <table class="strategy-preview-table">
+            <thead><tr>
+                <th>ID</th><th>品种</th><th>方向</th><th>腿数</th><th>首仓TP</th><th>当前SL</th><th>当前均价</th><th>止盈盈利(元)</th>
+            </tr></thead>
+            <tbody>
+            {% for g in roll_groups %}
+            <tr>
+                <td>#{{ g.id }}</td>
+                <td>{{ g.symbol_name or g.symbol }}</td>
+                <td>{{ '多' if g.direction == 'long' else '空' }}</td>
+                <td>{{ g.leg_count or 0 }}/3</td>
+                <td>{{ g.initial_take_profit or '—' }}</td>
+                <td>{{ g.current_stop_loss or '—' }}</td>
+                <td>{{ g.avg_entry or '—' }}</td>
+                <td>{{ g.reward_at_tp if g.reward_at_tp is not none else '—' }}</td>
+            </tr>
+            {% endfor %}
+            </tbody>
+        </table>
+        {% else %}
+        <p class="hint text-muted">暂无</p>
+        {% endif %}
+        <h3 style="font-size:.85rem;margin:1rem 0 .45rem">最近滚仓腿</h3>
+        {% if roll_legs %}
+        <table class="strategy-preview-table">
+            <thead><tr>
+                <th>#</th><th>组</th><th>方式</th><th>手数</th><th>触发/限价</th><th>新SL</th><th>状态</th><th>操作</th>
+            </tr></thead>
+            <tbody>
+            {% for l in roll_legs %}
+            <tr>
+                <td>{{ l.id }}</td>
+                <td>#{{ l.roll_group_id }}</td>
+                <td>{{ add_mode_labels.get(l.add_mode, l.add_mode) }}</td>
+                <td>{{ l.lots or '—' }}</td>
+                <td>{{ l.breakthrough_price or l.limit_price or l.fill_price or '—' }}</td>
+                <td>{{ l.new_stop_loss or '—' }}</td>
+                <td title="{{ l.invalidated_reason or '' }}">{{ roll_leg_status_labels.get(l.status, l.status) }}{% if l.status == 'invalidated' and l.invalidated_reason %} · {{ l.invalidated_reason[:24] }}{% endif %}</td>
+                <td>{% if l.status == 'pending' %}<button type="button" class="btn-link roll-cancel-leg" data-leg-id="{{ l.id }}">删除</button>{% else %}—{% endif %}</td>
+            </tr>
+            {% endfor %}
+            </tbody>
+        </table>
+        {% else %}
+        <p class="hint text-muted">暂无</p>
+        {% endif %}
         </div>
     </div>
 </div>