接入 SimNow 模拟盘与期货下单、策略及品种推荐功能。

新增 vnpy CTP 桥接、以损定仓/固定张数、趋势回调与滚仓策略、按资金推荐品种及交易风控；模拟盘走 SimNow，实盘预留期货公司配置。

Co-authored-by: Cursor <cursoragent@cursor.com>

strategy/strategy_roll_lib.py

@@ -0,0 +1,159 @@
+"""顺势加仓（滚仓）：纯计算，期货版（手数整数、乘数计入盈亏）。"""
+from __future__ import annotations
+
+import math
+from typing import Any, Optional, Tuple
+
+from strategy.fib_lib import calc_fib_plan
+
+ROLL_MAX_LEGS_LONG = 3
+ROLL_MAX_LEGS_SHORT = 3
+ROLL_STOP_OFFSET_PCT_DEFAULT = 1.0
+FIB_MODES = frozenset({"fib_618", "fib_786"})
+
+
+def fib_ratio_from_mode(mode: str) -> Optional[float]:
+    m = (mode or "").strip().lower()
+    if m in ("fib_618", "618", "0.618"):
+        return 0.618
+    if m in ("fib_786", "786", "0.786"):
+        return 0.786
+    return None
+
+
+def fib_limit_entry(direction: str, upper: float, lower: float, mode: str) -> Tuple[Optional[float], Optional[str]]:
+    ratio = fib_ratio_from_mode(mode)
+    if ratio is None:
+        return None, "斐波档位无效"
+    h, l = float(upper), float(lower)
+    if h <= l:
+        return None, "上沿须大于下沿"
+    direction = (direction or "long").strip().lower()
+    plan = calc_fib_plan(direction, h, l, ratio)
+    if not plan:
+        return None, "无法计算斐波限价"
+    entry, _sl, _tp = plan
+    return float(entry), None
+
+
+def max_roll_legs(direction: str) -> int:
+    return ROLL_MAX_LEGS_LONG if (direction or "long").strip().lower() == "long" else ROLL_MAX_LEGS_SHORT
+
+
+def lots_precise(raw: float) -> int:
+    if raw is None or raw < 1:
+        return 0
+    return max(1, int(math.floor(float(raw))))
+
+
+def unified_stop_from_avg(direction: str, avg: float, offset_pct: float) -> float:
+    avg_f = float(avg)
+    pct = float(offset_pct) / 100.0
+    direction = (direction or "long").strip().lower()
+    if direction == "short":
+        return avg_f * (1.0 + pct)
+    return avg_f * (1.0 - pct)
+
+
+def avg_entry_after_add(qty_existing: float, entry_existing: float, add_qty: float, add_price: float) -> float:
+    q1, e1, q2, e2 = float(qty_existing), float(entry_existing), float(add_qty), float(add_price)
+    total = q1 + q2
+    return (q1 * e1 + q2 * e2) / total if total > 0 else 0.0
+
+
+def solve_add_lots_for_total_risk(
+    direction: str,
+    qty_existing: float,
+    entry_existing: float,
+    add_price: float,
+    new_stop: float,
+    risk_budget: float,
+    mult: int,
+) -> Tuple[Optional[int], Optional[str]]:
+    q1, e1, e2, sl, b = float(qty_existing), float(entry_existing), float(add_price), float(new_stop), float(risk_budget)
+    m = float(mult)
+    direction = (direction or "long").strip().lower()
+    if direction == "short":
+        denom = (sl - e2) * m
+        numer = b - q1 * (sl - e1) * m
+    else:
+        denom = (e2 - sl) * m
+        numer = b - q1 * (e1 - sl) * m
+    if denom <= 0:
+        return None, "止损与加仓价关系无效"
+    q2 = numer / denom
+    lots = lots_precise(q2)
+    if lots < 1:
+        return None, "按总风险%无需再加仓或无法再加"
+    return lots, None
+
+
+def preview_roll(
+    *,
+    direction: str,
+    symbol: str,
+    qty_existing: float,
+    entry_existing: float,
+    initial_take_profit: float,
+    add_mode: str,
+    new_stop_loss: float,
+    risk_percent: float,
+    capital_base: float,
+    mult: int,
+    add_price: Optional[float] = None,
+    fib_upper: Optional[float] = None,
+    fib_lower: Optional[float] = None,
+    legs_done: int = 0,
+) -> Tuple[Optional[dict[str, Any]], Optional[str]]:
+    direction = (direction or "long").strip().lower()
+    if legs_done >= max_roll_legs(direction):
+        return None, f"滚仓已达 {max_roll_legs(direction)} 次上限"
+    mode = (add_mode or "market").strip().lower()
+    if mode == "market":
+        if not add_price or add_price <= 0:
+            return None, "需要有效参考价"
+        entry_add = float(add_price)
+        mode_label = "市价"
+    elif mode in FIB_MODES:
+        if fib_upper is None or fib_lower is None:
+            return None, "斐波须填上沿/下沿"
+        entry_add, err = fib_limit_entry(direction, float(fib_upper), float(fib_lower), mode)
+        if err:
+            return None, err
+        mode_label = "斐波0.618" if "618" in mode else "斐波0.786"
+    else:
+        return None, "加仓方式无效"
+    sl = float(new_stop_loss)
+    tp = float(initial_take_profit)
+    if sl <= 0 or tp <= 0:
+        return None, "止损/止盈无效"
+    risk_budget = float(capital_base) * float(risk_percent) / 100.0
+    q2, err = solve_add_lots_for_total_risk(
+        direction, qty_existing, entry_existing, entry_add, sl, risk_budget, mult
+    )
+    if err:
+        return None, err
+    new_qty = qty_existing + q2
+    new_avg = avg_entry_after_add(qty_existing, entry_existing, q2, entry_add)
+    m = float(mult)
+    if direction == "long":
+        loss_at_sl = (new_avg - sl) * new_qty * m
+        reward_at_tp = (tp - new_avg) * new_qty * m
+    else:
+        loss_at_sl = (sl - new_avg) * new_qty * m
+        reward_at_tp = (new_avg - tp) * new_qty * m
+    return {
+        "symbol": symbol,
+        "direction": direction,
+        "add_mode_label": mode_label,
+        "add_price": round(entry_add, 4),
+        "new_stop_loss": round(sl, 4),
+        "initial_take_profit": tp,
+        "risk_percent": float(risk_percent),
+        "add_lots": q2,
+        "qty_after": int(new_qty),
+        "avg_entry_after": round(new_avg, 4),
+        "loss_at_sl": round(loss_at_sl, 2),
+        "reward_at_tp": round(reward_at_tp, 2),
+        "legs_done": legs_done,
+    }, None