Restructure into modules/ with single-process CTP and config/ layout.
Move business code under modules/, env template to config/, PM2 single qihuo process, and _legacy shims for old imports. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -0,0 +1,10 @@
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# Copyright (c) 2025-2026 马建军. All rights reserved.
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"""Strategy routes are registered via modules.trading (install_trading)."""
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def register(deps) -> None:
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del deps
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__all__ = ["register"]
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@@ -0,0 +1,23 @@
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# Copyright (c) 2025-2026 马建军. All rights reserved.
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# 专有软件 — 未经授权禁止复制、传播、转售。
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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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"""斐波计算（自 crypto_monitor 复制，期货共用）。"""
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def calc_fib_plan(direction, upper, lower, ratio):
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try:
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h = float(upper)
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l = float(lower)
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r = float(ratio)
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except (TypeError, ValueError):
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return None
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if h <= l or r <= 0 or r >= 1:
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return None
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span = h - l
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direction = (direction or "long").strip().lower()
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if direction == "short":
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entry = l + r * span
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return entry, h, l
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entry = h - r * span
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return entry, l, h
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@@ -0,0 +1,169 @@
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# Copyright (c) 2025-2026 马建军. All rights reserved.
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# 专有软件 — 未经授权禁止复制、传播、转售。
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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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"""策略相关表结构。"""
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from __future__ import annotations
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from modules.core.db_conn import rollback_if_postgres
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ROLL_GROUPS_SQL = """
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CREATE TABLE IF NOT EXISTS roll_groups (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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order_monitor_id INTEGER,
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symbol TEXT NOT NULL,
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direction TEXT NOT NULL,
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initial_take_profit REAL,
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initial_stop_loss REAL,
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current_stop_loss REAL,
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risk_percent REAL DEFAULT 2,
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leg_count INTEGER DEFAULT 0,
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status TEXT DEFAULT 'active',
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created_at TEXT,
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updated_at TEXT
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)
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"""
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ROLL_LEGS_SQL = """
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CREATE TABLE IF NOT EXISTS roll_legs (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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roll_group_id INTEGER NOT NULL,
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leg_index INTEGER NOT NULL,
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add_mode TEXT NOT NULL,
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fill_price REAL,
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lots INTEGER,
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new_stop_loss REAL,
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status TEXT DEFAULT 'filled',
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created_at TEXT
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)
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"""
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TREND_PLANS_SQL = """
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CREATE TABLE IF NOT EXISTS trend_pullback_plans (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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status TEXT DEFAULT 'active',
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symbol TEXT NOT NULL,
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symbol_name TEXT,
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direction TEXT NOT NULL DEFAULT 'long',
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stop_loss REAL NOT NULL,
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add_upper REAL NOT NULL,
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take_profit REAL NOT NULL,
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risk_percent REAL DEFAULT 5,
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capital_snapshot REAL,
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plan_margin REAL,
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target_lots INTEGER,
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first_lots INTEGER,
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remainder_lots INTEGER,
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dca_legs INTEGER DEFAULT 5,
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leg_amounts_json TEXT,
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grid_prices_json TEXT,
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legs_done INTEGER DEFAULT 0,
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first_order_done INTEGER DEFAULT 0,
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avg_entry_price REAL,
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lots_open INTEGER DEFAULT 0,
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opened_at TEXT,
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message TEXT,
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period TEXT DEFAULT '15m'
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)
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"""
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STRATEGY_SNAPSHOTS_SQL = """
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CREATE TABLE IF NOT EXISTS strategy_trade_snapshots (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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strategy_type TEXT NOT NULL,
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source_id INTEGER,
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symbol TEXT,
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direction TEXT,
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result_label TEXT,
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opened_at TEXT,
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closed_at TEXT,
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pnl_amount REAL,
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snapshot_json TEXT NOT NULL,
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created_at TEXT
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)
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"""
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TRADE_ORDER_MONITORS_SQL = """
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CREATE TABLE IF NOT EXISTS trade_order_monitors (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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symbol TEXT NOT NULL,
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symbol_name TEXT,
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market_code TEXT,
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direction TEXT NOT NULL,
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lots INTEGER NOT NULL,
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entry_price REAL,
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stop_loss REAL,
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take_profit REAL,
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open_time TEXT,
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monitor_type TEXT DEFAULT 'manual',
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status TEXT DEFAULT 'active',
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created_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP
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)
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"""
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CTP_SIM_ACCOUNT_SQL = """
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CREATE TABLE IF NOT EXISTS ctp_sim_account (
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id INTEGER PRIMARY KEY CHECK (id = 1),
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balance REAL DEFAULT 100000,
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available REAL DEFAULT 100000,
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updated_at TEXT
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)
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"""
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CTP_SIM_POSITIONS_SQL = """
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CREATE TABLE IF NOT EXISTS ctp_sim_positions (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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symbol TEXT NOT NULL,
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direction TEXT NOT NULL,
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lots INTEGER NOT NULL,
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avg_price REAL NOT NULL,
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updated_at TEXT,
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UNIQUE(symbol, direction)
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)
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"""
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ROLL_LEG_EXTRA_COLUMNS = (
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"ALTER TABLE roll_legs ADD COLUMN limit_price REAL",
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"ALTER TABLE roll_legs ADD COLUMN breakthrough_price REAL",
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"ALTER TABLE roll_legs ADD COLUMN last_mark_price REAL",
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"ALTER TABLE roll_legs ADD COLUMN invalidated_reason TEXT",
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"ALTER TABLE roll_legs ADD COLUMN capital_snapshot REAL",
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"ALTER TABLE trade_order_monitors ADD COLUMN risk_percent REAL",
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)
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_TABLES_READY = False
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def init_strategy_tables(conn) -> None:
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global _TABLES_READY
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if _TABLES_READY:
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return
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for sql in (
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ROLL_GROUPS_SQL,
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ROLL_LEGS_SQL,
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TREND_PLANS_SQL,
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STRATEGY_SNAPSHOTS_SQL,
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TRADE_ORDER_MONITORS_SQL,
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CTP_SIM_ACCOUNT_SQL,
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CTP_SIM_POSITIONS_SQL,
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):
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conn.execute(sql)
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conn.commit()
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try:
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conn.execute("ALTER TABLE trend_pullback_plans ADD COLUMN period TEXT DEFAULT '15m'")
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except Exception:
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pass
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for sql in ROLL_LEG_EXTRA_COLUMNS:
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try:
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conn.execute(sql)
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conn.commit()
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except Exception:
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rollback_if_postgres(conn)
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pass
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if not conn.execute("SELECT id FROM ctp_sim_account WHERE id=1").fetchone():
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conn.execute("INSERT INTO ctp_sim_account (id, balance, available) VALUES (1, 100000, 100000)")
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conn.commit()
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_TABLES_READY = True
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@@ -0,0 +1,370 @@
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# Copyright (c) 2025-2026 马建军. All rights reserved.
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# 专有软件 — 未经授权禁止复制、传播、转售。
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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 modules.trading.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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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 (ADD_MODE_FIB_618, "618", "0.618"):
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return 0.618
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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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def fib_limit_entry(direction: str, upper: float, lower: float, mode: str) -> Tuple[Optional[float], Optional[str]]:
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ratio = fib_ratio_from_mode(mode)
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if ratio is None:
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return None, "斐波档位无效"
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h, l = float(upper), float(lower)
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if h <= l:
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return None, "上沿须大于下沿"
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direction = (direction or "long").strip().lower()
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plan = calc_fib_plan(direction, h, l, ratio)
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if not plan:
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return None, "无法计算斐波限价"
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entry, _sl, _tp = plan
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return float(entry), None
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def max_roll_legs(direction: str) -> int:
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return ROLL_MAX_LEGS_LONG if (direction or "long").strip().lower() == "long" else ROLL_MAX_LEGS_SHORT
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def lots_precise(raw: float) -> int:
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if raw is None or raw < 1:
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return 0
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return max(1, int(math.floor(float(raw))))
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def unified_stop_from_avg(direction: str, avg: float, offset_pct: float) -> float:
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avg_f = float(avg)
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pct = float(offset_pct) / 100.0
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direction = (direction or "long").strip().lower()
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if direction == "short":
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return avg_f * (1.0 + pct)
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return avg_f * (1.0 - pct)
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def avg_entry_after_add(qty_existing: float, entry_existing: float, add_qty: float, add_price: float) -> float:
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q1, e1, q2, e2 = float(qty_existing), float(entry_existing), float(add_qty), float(add_price)
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total = q1 + q2
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return (q1 * e1 + q2 * e2) / total if total > 0 else 0.0
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def solve_add_lots_for_total_risk(
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direction: str,
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qty_existing: float,
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entry_existing: float,
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add_price: float,
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new_stop: float,
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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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if direction == "short":
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denom = (sl - e2) * m
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numer = b - q1 * (sl - e1) * m
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else:
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denom = (e2 - sl) * m
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numer = b - q1 * (e1 - sl) * m
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if denom <= 0:
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return None, "止损与加仓价关系无效"
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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, "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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|
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|
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def normalize_sizing_mode(raw: str) -> str:
|
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from modules.trading.position_sizing import normalize_sizing_mode as _norm
|
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return _norm(raw)
|
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|
||||
|
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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)
|
||||
if rp > 0:
|
||||
return rp
|
||||
except (TypeError, ValueError):
|
||||
pass
|
||||
return float(default)
|
||||
|
||||
|
||||
def validate_roll_geometry(
|
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direction: str,
|
||||
add_mode: str,
|
||||
new_stop: float,
|
||||
*,
|
||||
mark_price: float,
|
||||
limit_price: Optional[float] = None,
|
||||
breakthrough_price: Optional[float] = None,
|
||||
at_trigger: bool = False,
|
||||
off_session_pending: bool = False,
|
||||
) -> Optional[str]:
|
||||
"""几何校验。
|
||||
|
||||
做多斐波（回调）：止损 < 触发价 < 当前价
|
||||
做多突破（向上）：止损 < 突破价 < 当前价
|
||||
做空斐波（反弹）：当前价 < 触发价 < 止损
|
||||
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
|
||||
"""
|
||||
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)
|
||||
if sl <= 0 or mark <= 0:
|
||||
return "止损或参考价无效"
|
||||
if mode == ADD_MODE_MARKET:
|
||||
if direction == "long" and sl >= mark:
|
||||
return "做多：新止损须低于当前价"
|
||||
if direction == "short" and sl <= mark:
|
||||
return "做空：新止损须高于当前价"
|
||||
return None
|
||||
trigger = None
|
||||
if mode in FIB_MODES:
|
||||
trigger = float(limit_price or 0)
|
||||
if trigger <= 0:
|
||||
return "须填写斐波触发价"
|
||||
if direction == "long":
|
||||
if not (sl < trigger < mark):
|
||||
return "做多斐波：须满足 止损 < 触发价 < 当前价"
|
||||
else:
|
||||
if not (mark < trigger < sl):
|
||||
return "做空斐波：须满足 当前价 < 触发价 < 止损"
|
||||
return None
|
||||
if mode == ADD_MODE_BREAKOUT:
|
||||
trigger = float(breakthrough_price or 0)
|
||||
if trigger <= 0:
|
||||
return "须填写突破价"
|
||||
if off_session_pending:
|
||||
if direction == "long" and not (sl < trigger):
|
||||
return "做多突破：休盘提交须满足 止损 < 突破价"
|
||||
if direction == "short" and not (trigger < sl):
|
||||
return "做空突破：休盘提交须满足 突破价 < 止损"
|
||||
return None
|
||||
if at_trigger:
|
||||
if direction == "long":
|
||||
if not (sl < trigger <= mark):
|
||||
return "做多突破：触发时须满足 止损 < 突破价 ≤ 当前价"
|
||||
else:
|
||||
if not (trigger < sl and mark < sl):
|
||||
return "做空突破：触发时须满足 突破价 < 止损且当前价 < 止损"
|
||||
return None
|
||||
if direction == "long":
|
||||
if not (sl < trigger < mark):
|
||||
return "做多突破：须满足 止损 < 突破价 < 当前价"
|
||||
else:
|
||||
if not (trigger < mark < sl):
|
||||
return "做空突破：须满足 突破价 < 当前价 < 止损"
|
||||
return None
|
||||
return "加仓方式无效"
|
||||
|
||||
|
||||
def detect_mark_cross(
|
||||
direction: str,
|
||||
add_mode: str,
|
||||
prev_mark: float,
|
||||
mark: float,
|
||||
trigger_price: float,
|
||||
) -> bool:
|
||||
"""标记价穿越触发价（上一 tick 与当前 tick 比较）。"""
|
||||
direction = (direction or "long").strip().lower()
|
||||
mode = (add_mode or "").strip().lower()
|
||||
p = float(trigger_price)
|
||||
prev_m = float(prev_mark)
|
||||
cur_m = float(mark)
|
||||
if p <= 0 or prev_m <= 0 or cur_m <= 0:
|
||||
return False
|
||||
if mode in FIB_MODES:
|
||||
if direction == "long":
|
||||
return prev_m > p and cur_m <= p
|
||||
return prev_m < p and cur_m >= p
|
||||
if mode == ADD_MODE_BREAKOUT:
|
||||
if direction == "long":
|
||||
return prev_m < p and cur_m >= p
|
||||
return prev_m > p and cur_m <= p
|
||||
return False
|
||||
|
||||
|
||||
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_budget: float,
|
||||
mult: int,
|
||||
mark_price: Optional[float] = None,
|
||||
add_price: Optional[float] = None,
|
||||
limit_price: Optional[float] = None,
|
||||
breakthrough_price: Optional[float] = None,
|
||||
fib_upper: Optional[float] = None,
|
||||
fib_lower: Optional[float] = None,
|
||||
legs_done: int = 0,
|
||||
at_trigger: bool = False,
|
||||
off_session_pending: bool = False,
|
||||
) -> 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 ADD_MODE_MARKET).strip().lower()
|
||||
mark = float(mark_price or add_price or 0)
|
||||
if mark <= 0 and mode == ADD_MODE_BREAKOUT and off_session_pending:
|
||||
mark = float(breakthrough_price or 0)
|
||||
if mark <= 0:
|
||||
return None, "需要有效参考价"
|
||||
sl = float(new_stop_loss)
|
||||
tp = float(initial_take_profit)
|
||||
if sl <= 0 or tp <= 0:
|
||||
return None, "止损/止盈无效"
|
||||
|
||||
entry_add = mark
|
||||
mode_label = add_mode_label(mode)
|
||||
trigger_price = mark
|
||||
is_pending = mode in PENDING_MODES
|
||||
|
||||
if mode == ADD_MODE_MARKET:
|
||||
entry_add = mark
|
||||
elif mode in FIB_MODES:
|
||||
if limit_price and float(limit_price) > 0:
|
||||
entry_add = float(limit_price)
|
||||
trigger_price = entry_add
|
||||
elif fib_upper is not None and fib_lower is not None:
|
||||
entry_add, err = fib_limit_entry(direction, float(fib_upper), float(fib_lower), mode)
|
||||
if err:
|
||||
return None, err
|
||||
trigger_price = entry_add
|
||||
else:
|
||||
return None, "斐波须填触发价或上沿/下沿"
|
||||
elif mode == ADD_MODE_BREAKOUT:
|
||||
if not breakthrough_price or float(breakthrough_price) <= 0:
|
||||
return None, "须填写突破价"
|
||||
entry_add = float(breakthrough_price)
|
||||
trigger_price = entry_add
|
||||
else:
|
||||
return None, "加仓方式无效"
|
||||
|
||||
geom_err = validate_roll_geometry(
|
||||
direction, mode, sl,
|
||||
mark_price=mark,
|
||||
limit_price=trigger_price if mode in FIB_MODES else None,
|
||||
breakthrough_price=trigger_price if mode == ADD_MODE_BREAKOUT else None,
|
||||
at_trigger=at_trigger,
|
||||
off_session_pending=off_session_pending and is_pending,
|
||||
)
|
||||
if geom_err:
|
||||
return None, geom_err
|
||||
|
||||
budget = float(risk_budget)
|
||||
if budget <= 0:
|
||||
return None, "固定金额无效"
|
||||
q2, err = solve_add_lots_for_total_risk(
|
||||
direction, qty_existing, entry_existing, entry_add, sl, 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": mode,
|
||||
"add_mode_label": mode_label,
|
||||
"is_pending": is_pending,
|
||||
"add_price": round(entry_add, 4),
|
||||
"trigger_price": round(trigger_price, 4),
|
||||
"limit_price": round(trigger_price, 4) if mode in FIB_MODES else None,
|
||||
"breakthrough_price": round(trigger_price, 4) if mode == ADD_MODE_BREAKOUT else None,
|
||||
"new_stop_loss": round(sl, 4),
|
||||
"initial_take_profit": tp,
|
||||
"risk_budget": round(budget, 2),
|
||||
"fixed_amount": round(budget, 2),
|
||||
"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,
|
||||
"mark_price": round(mark, 4),
|
||||
}, None
|
||||
@@ -0,0 +1,158 @@
|
||||
# Copyright (c) 2025-2026 马建军. All rights reserved.
|
||||
# 专有软件 — 未经授权禁止复制、传播、转售。
|
||||
# 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。
|
||||
# 详见 LICENSE.zh-CN.txt 与 docs/软件购买与使用协议.md
|
||||
|
||||
"""顺势滚仓程序监控：突破 pending 腿触价成交、外部平仓同步。"""
|
||||
from __future__ import annotations
|
||||
|
||||
import logging
|
||||
from datetime import datetime
|
||||
from typing import Any, Callable, Optional
|
||||
from zoneinfo import ZoneInfo
|
||||
|
||||
from modules.core.contract_specs import get_contract_spec
|
||||
from strategy.strategy_roll_lib import (
|
||||
ADD_MODE_BREAKOUT,
|
||||
FIB_MODES,
|
||||
LEG_STATUS_CANCELLED,
|
||||
LEG_STATUS_FILLED,
|
||||
LEG_STATUS_INVALIDATED,
|
||||
LEG_STATUS_PENDING,
|
||||
detect_mark_cross,
|
||||
preview_roll,
|
||||
)
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
TZ = ZoneInfo("Asia/Shanghai")
|
||||
|
||||
|
||||
def _now() -> str:
|
||||
return datetime.now(TZ).strftime("%Y-%m-%d %H:%M:%S")
|
||||
|
||||
|
||||
def roll_sync_after_external_close(conn, *, monitor_id: int) -> None:
|
||||
"""手动平仓或监控结案后关闭滚仓组并清除 pending 腿。"""
|
||||
grp = conn.execute(
|
||||
"SELECT id FROM roll_groups WHERE order_monitor_id=? AND status='active'",
|
||||
(int(monitor_id),),
|
||||
).fetchone()
|
||||
if not grp:
|
||||
return
|
||||
gid = int(grp["id"])
|
||||
conn.execute(
|
||||
"UPDATE roll_legs SET status=? WHERE roll_group_id=? AND status=?",
|
||||
(LEG_STATUS_CANCELLED, gid, LEG_STATUS_PENDING),
|
||||
)
|
||||
conn.execute(
|
||||
"UPDATE roll_groups SET status='closed', updated_at=? WHERE id=?",
|
||||
(_now(), gid),
|
||||
)
|
||||
|
||||
|
||||
def cancel_roll_leg(conn, leg_id: int) -> tuple[bool, str]:
|
||||
row = conn.execute(
|
||||
"SELECT * FROM roll_legs WHERE id=? AND status=?",
|
||||
(int(leg_id), LEG_STATUS_PENDING),
|
||||
).fetchone()
|
||||
if not row:
|
||||
return False, "仅可删除监控中的腿"
|
||||
conn.execute(
|
||||
"UPDATE roll_legs SET status=? WHERE id=?",
|
||||
(LEG_STATUS_CANCELLED, int(leg_id)),
|
||||
)
|
||||
return True, "已删除"
|
||||
|
||||
|
||||
def check_roll_monitors(
|
||||
conn,
|
||||
*,
|
||||
get_mark_price_fn: Callable[[str], Optional[float]],
|
||||
fill_roll_leg_fn: Callable[[dict, dict, dict, dict], tuple[bool, str]],
|
||||
is_trading_session_fn: Callable[[], bool],
|
||||
get_risk_budget_fn: Callable[[], float],
|
||||
get_entry_price_fn: Optional[Callable[[str, str, float], float]] = None,
|
||||
) -> None:
|
||||
"""扫描 pending 滚仓腿，标记价穿越则重算手数并市价成交。"""
|
||||
if not is_trading_session_fn():
|
||||
return
|
||||
rows = conn.execute(
|
||||
"""SELECT l.*, g.order_monitor_id, g.symbol, g.direction, g.initial_take_profit,
|
||||
g.risk_percent, g.leg_count AS group_leg_count,
|
||||
m.lots AS mon_lots, m.entry_price AS mon_entry, m.take_profit AS mon_tp,
|
||||
m.status AS mon_status
|
||||
FROM roll_legs l
|
||||
JOIN roll_groups g ON g.id = l.roll_group_id
|
||||
JOIN trade_order_monitors m ON m.id = g.order_monitor_id
|
||||
WHERE l.status=? AND g.status='active' AND m.status='active'""",
|
||||
(LEG_STATUS_PENDING,),
|
||||
).fetchall()
|
||||
for raw in rows:
|
||||
leg = dict(raw)
|
||||
if (leg.get("mon_status") or "").strip().lower() != "active":
|
||||
_invalidate_leg(conn, leg, "监控已结束")
|
||||
continue
|
||||
sym = (leg.get("symbol") or "").strip()
|
||||
mark = get_mark_price_fn(sym)
|
||||
if not mark or mark <= 0:
|
||||
continue
|
||||
prev_mark = float(leg.get("last_mark_price") or mark)
|
||||
mode = (leg.get("add_mode") or "").strip().lower()
|
||||
trigger = float(leg.get("limit_price") or leg.get("breakthrough_price") or 0)
|
||||
direction = (leg.get("direction") or "long").strip().lower()
|
||||
if mode in FIB_MODES or mode == ADD_MODE_BREAKOUT:
|
||||
if not detect_mark_cross(direction, mode, prev_mark, mark, trigger):
|
||||
conn.execute(
|
||||
"UPDATE roll_legs SET last_mark_price=? WHERE id=?",
|
||||
(float(mark), int(leg["id"])),
|
||||
)
|
||||
continue
|
||||
mon = {
|
||||
"id": leg["order_monitor_id"],
|
||||
"symbol": sym,
|
||||
"direction": direction,
|
||||
"lots": leg["mon_lots"],
|
||||
"entry_price": leg["mon_entry"],
|
||||
"take_profit": leg["mon_tp"] or leg["initial_take_profit"],
|
||||
}
|
||||
entry_fb = float(leg["mon_entry"] or 0)
|
||||
entry_existing = (
|
||||
get_entry_price_fn(sym, direction, entry_fb)
|
||||
if get_entry_price_fn
|
||||
else entry_fb
|
||||
)
|
||||
grp = {
|
||||
"id": leg["roll_group_id"],
|
||||
"order_monitor_id": leg["order_monitor_id"],
|
||||
"leg_count": leg.get("group_leg_count") or 0,
|
||||
"risk_percent": leg.get("risk_percent"),
|
||||
}
|
||||
preview, err = preview_roll(
|
||||
direction=direction,
|
||||
symbol=sym,
|
||||
qty_existing=float(leg["mon_lots"] or 0),
|
||||
entry_existing=entry_existing,
|
||||
initial_take_profit=float(leg["mon_tp"] or leg["initial_take_profit"] or 0),
|
||||
add_mode=mode,
|
||||
new_stop_loss=float(leg["new_stop_loss"] or 0),
|
||||
risk_budget=float(leg.get("risk_percent") or 0) or get_risk_budget_fn(),
|
||||
mult=int(get_contract_spec(sym).get("mult") or 1),
|
||||
mark_price=mark,
|
||||
limit_price=trigger if mode in FIB_MODES else None,
|
||||
breakthrough_price=trigger if mode == ADD_MODE_BREAKOUT else None,
|
||||
legs_done=int(leg.get("group_leg_count") or 0),
|
||||
at_trigger=True,
|
||||
)
|
||||
if err or not preview:
|
||||
_invalidate_leg(conn, leg, err or "触发时无法加仓")
|
||||
continue
|
||||
ok, msg = fill_roll_leg_fn(mon, grp, leg, preview)
|
||||
if not ok:
|
||||
logger.warning("roll leg fill failed #%s: %s", leg.get("id"), msg)
|
||||
|
||||
|
||||
def _invalidate_leg(conn, leg: dict, reason: str) -> None:
|
||||
conn.execute(
|
||||
"UPDATE roll_legs SET status=?, invalidated_reason=? WHERE id=?",
|
||||
(LEG_STATUS_INVALIDATED, (reason or "")[:200], int(leg["id"])),
|
||||
)
|
||||
@@ -0,0 +1,75 @@
|
||||
# Copyright (c) 2025-2026 马建军. All rights reserved.
|
||||
# 专有软件 — 未经授权禁止复制、传播、转售。
|
||||
# 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。
|
||||
# 详见 LICENSE.zh-CN.txt 与 docs/软件购买与使用协议.md
|
||||
|
||||
"""策略结束快照。"""
|
||||
from __future__ import annotations
|
||||
|
||||
import json
|
||||
from datetime import datetime
|
||||
from typing import Any
|
||||
|
||||
STRATEGY_TREND = "trend_pullback"
|
||||
STRATEGY_ROLL = "roll"
|
||||
MAX_ROWS = 100
|
||||
|
||||
|
||||
def save_snapshot(
|
||||
conn,
|
||||
*,
|
||||
strategy_type: str,
|
||||
source_id: int,
|
||||
symbol: str,
|
||||
direction: str,
|
||||
result_label: str,
|
||||
payload: dict,
|
||||
pnl: float | None = None,
|
||||
opened_at: str = "",
|
||||
) -> None:
|
||||
now = datetime.now().strftime("%Y-%m-%d %H:%M:%S")
|
||||
conn.execute(
|
||||
"""INSERT INTO strategy_trade_snapshots (
|
||||
strategy_type, source_id, symbol, direction, result_label,
|
||||
opened_at, closed_at, pnl_amount, snapshot_json, created_at
|
||||
) VALUES (?,?,?,?,?,?,?,?,?,?)""",
|
||||
(
|
||||
strategy_type,
|
||||
source_id,
|
||||
symbol,
|
||||
direction,
|
||||
result_label,
|
||||
opened_at,
|
||||
now,
|
||||
pnl,
|
||||
json.dumps(payload, ensure_ascii=False),
|
||||
now,
|
||||
),
|
||||
)
|
||||
conn.execute(
|
||||
"""DELETE FROM strategy_trade_snapshots WHERE id NOT IN (
|
||||
SELECT id FROM strategy_trade_snapshots ORDER BY id DESC LIMIT ?
|
||||
)""",
|
||||
(MAX_ROWS,),
|
||||
)
|
||||
|
||||
|
||||
def list_snapshots(conn, limit: int = 100) -> tuple[list[dict], list[dict]]:
|
||||
rows = conn.execute(
|
||||
"SELECT * FROM strategy_trade_snapshots ORDER BY id DESC LIMIT ?",
|
||||
(max(1, min(limit, 200)),),
|
||||
).fetchall()
|
||||
trend, roll = [], []
|
||||
for r in rows:
|
||||
d = dict(r)
|
||||
try:
|
||||
d["snapshot"] = json.loads(d.get("snapshot_json") or "{}")
|
||||
except Exception:
|
||||
d["snapshot"] = {}
|
||||
st = d.get("strategy_type")
|
||||
d["strategy_label"] = "趋势回调" if st == STRATEGY_TREND else "顺势加仓"
|
||||
if st == STRATEGY_TREND:
|
||||
trend.append(d)
|
||||
else:
|
||||
roll.append(d)
|
||||
return trend, roll
|
||||
@@ -0,0 +1,233 @@
|
||||
# Copyright (c) 2025-2026 马建军. All rights reserved.
|
||||
# 专有软件 — 未经授权禁止复制、传播、转售。
|
||||
# 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。
|
||||
# 详见 LICENSE.zh-CN.txt 与 docs/软件购买与使用协议.md
|
||||
|
||||
"""趋势回调：纯计算（期货整数手）。"""
|
||||
from __future__ import annotations
|
||||
|
||||
import json
|
||||
import math
|
||||
from typing import Any, Optional, Tuple
|
||||
|
||||
from modules.core.contract_specs import get_contract_spec
|
||||
|
||||
|
||||
def validate_trend_bounds(direction: str, stop_loss: float, add_upper: float) -> Optional[str]:
|
||||
direction = (direction or "long").strip().lower()
|
||||
if direction == "long":
|
||||
if not (float(stop_loss) < float(add_upper)):
|
||||
return "做多：止损须低于补仓上沿"
|
||||
else:
|
||||
if not (float(stop_loss) > float(add_upper)):
|
||||
return "做空：止损须高于补仓下沿"
|
||||
return None
|
||||
|
||||
|
||||
def build_grid_prices(direction: str, sl: float, upper: float, n_legs: int) -> list[float]:
|
||||
sl, upper = float(sl), float(upper)
|
||||
out: list[float] = []
|
||||
if n_legs <= 0:
|
||||
return out
|
||||
direction = (direction or "long").strip().lower()
|
||||
if direction == "long":
|
||||
if upper <= sl:
|
||||
return out
|
||||
span = upper - sl
|
||||
for i in range(1, n_legs + 1):
|
||||
out.append(sl + (i / float(n_legs + 1)) * span)
|
||||
out.sort(reverse=True)
|
||||
else:
|
||||
if sl <= upper:
|
||||
return out
|
||||
span = sl - upper
|
||||
for i in range(1, n_legs + 1):
|
||||
out.append(upper + (i / float(n_legs + 1)) * span)
|
||||
out.sort()
|
||||
return [round(p, 4) for p in out]
|
||||
|
||||
|
||||
def compute_trend_plan_futures(
|
||||
*,
|
||||
direction: str,
|
||||
stop_loss: float,
|
||||
add_upper: float,
|
||||
take_profit: float,
|
||||
risk_percent: float,
|
||||
capital: float,
|
||||
live_price: float,
|
||||
ths_code: str,
|
||||
dca_legs: int = 5,
|
||||
) -> Tuple[Optional[dict[str, Any]], Optional[str]]:
|
||||
err = validate_trend_bounds(direction, stop_loss, add_upper)
|
||||
if err:
|
||||
return None, err
|
||||
spec = get_contract_spec(ths_code)
|
||||
mult = spec["mult"]
|
||||
d = (direction or "long").strip().lower()
|
||||
if d == "short":
|
||||
worst_per_lot = (float(stop_loss) - float(add_upper)) * mult
|
||||
else:
|
||||
worst_per_lot = (float(add_upper) - float(stop_loss)) * mult
|
||||
if worst_per_lot <= 0:
|
||||
return None, "止损与补仓边界无法计算风险"
|
||||
budget = float(capital) * float(risk_percent) / 100.0
|
||||
total_lots = int(math.floor(budget / worst_per_lot))
|
||||
if total_lots < 3:
|
||||
return None, f"按 {risk_percent}% 风险，总手数至少需 3 手才能拆分首仓+补仓（当前 {total_lots} 手）"
|
||||
first_lots = total_lots // 2
|
||||
remainder = total_lots - first_lots
|
||||
legs = max(1, min(int(dca_legs), remainder))
|
||||
per_leg = remainder // legs
|
||||
leg_amounts = [per_leg] * (legs - 1) + [remainder - per_leg * (legs - 1)]
|
||||
if any(x < 1 for x in leg_amounts):
|
||||
legs = 1
|
||||
leg_amounts = [remainder]
|
||||
grid = build_grid_prices(d, stop_loss, add_upper, len(leg_amounts))
|
||||
margin_rate = spec["margin_rate"]
|
||||
plan_margin = float(live_price) * mult * total_lots * margin_rate
|
||||
return {
|
||||
"direction": d,
|
||||
"stop_loss": float(stop_loss),
|
||||
"add_upper": float(add_upper),
|
||||
"take_profit": float(take_profit),
|
||||
"risk_percent": float(risk_percent),
|
||||
"capital_snapshot": float(capital),
|
||||
"live_price_ref": float(live_price),
|
||||
"target_lots": total_lots,
|
||||
"first_lots": first_lots,
|
||||
"remainder_lots": remainder,
|
||||
"dca_legs": len(leg_amounts),
|
||||
"leg_amounts": leg_amounts,
|
||||
"leg_amounts_json": json.dumps(leg_amounts),
|
||||
"grid_prices_json": json.dumps(grid),
|
||||
"grid": grid,
|
||||
"plan_margin": round(plan_margin, 2),
|
||||
"mult": mult,
|
||||
}, None
|
||||
|
||||
|
||||
def trend_dca_level_reached(direction: str, mark_price: float, level: float) -> bool:
|
||||
d = (direction or "long").strip().lower()
|
||||
pf, lv = float(mark_price), float(level)
|
||||
return pf <= lv if d == "long" else pf >= lv
|
||||
|
||||
|
||||
def trend_strategy_periods() -> list[dict[str, str]]:
|
||||
"""策略页可选 K 线周期。"""
|
||||
from modules.market.kline_chart import MARKET_PERIODS
|
||||
|
||||
skip = frozenset({"timeshare", "w"})
|
||||
return [p for p in MARKET_PERIODS if p["key"] not in skip]
|
||||
|
||||
|
||||
def trend_period_label(key: str) -> str:
|
||||
k = (key or "").strip()
|
||||
for p in trend_strategy_periods():
|
||||
if p["key"] == k:
|
||||
return p["label"]
|
||||
return k or "15分"
|
||||
|
||||
|
||||
def normalize_trend_period(key: str) -> str:
|
||||
valid = {p["key"] for p in trend_strategy_periods()}
|
||||
k = (key or "15m").strip()
|
||||
return k if k in valid else "15m"
|
||||
|
||||
|
||||
def _avg_after_entries(entries: list[tuple[float, int]]) -> float:
|
||||
total = sum(q for _, q in entries)
|
||||
if total <= 0:
|
||||
return 0.0
|
||||
return sum(p * q for p, q in entries) / total
|
||||
|
||||
|
||||
def enrich_trend_plan_preview(
|
||||
plan: dict,
|
||||
*,
|
||||
symbol: str,
|
||||
symbol_name: str = "",
|
||||
period: str = "15m",
|
||||
) -> dict[str, Any]:
|
||||
"""补全预览：周期、风险金额、分档表格（对齐币圈预览样式）。"""
|
||||
out = dict(plan)
|
||||
d = (out.get("direction") or "long").strip().lower()
|
||||
sl = float(out["stop_loss"])
|
||||
tp = float(out["take_profit"])
|
||||
mult = float(out.get("mult") or 1)
|
||||
entry0 = float(out["live_price_ref"])
|
||||
first_lots = int(out["first_lots"])
|
||||
leg_amounts = [int(x) for x in (out.get("leg_amounts") or [])]
|
||||
grid = [float(x) for x in (out.get("grid") or [])]
|
||||
capital = float(out.get("capital_snapshot") or 0)
|
||||
risk_pct = float(out.get("risk_percent") or 0)
|
||||
budget = capital * risk_pct / 100.0
|
||||
remainder = int(out.get("remainder_lots") or sum(leg_amounts))
|
||||
|
||||
out["symbol"] = symbol
|
||||
out["symbol_name"] = symbol_name or symbol
|
||||
out["period"] = normalize_trend_period(period)
|
||||
out["period_label"] = trend_period_label(out["period"])
|
||||
out["stop_loss_budget"] = round(budget, 2)
|
||||
out["direction_label"] = "做多" if d == "long" else "做空"
|
||||
|
||||
entries: list[tuple[float, int]] = [(entry0, first_lots)]
|
||||
rows: list[dict[str, Any]] = []
|
||||
|
||||
def leg_metrics() -> tuple[float, float, float, Optional[float]]:
|
||||
total = sum(q for _, q in entries)
|
||||
avg = _avg_after_entries(entries)
|
||||
if d == "long":
|
||||
profit = (tp - avg) * total * mult
|
||||
loss = (avg - sl) * total * mult
|
||||
else:
|
||||
profit = (avg - tp) * total * mult
|
||||
loss = (sl - avg) * total * mult
|
||||
rr = profit / loss if loss > 0 else None
|
||||
return (
|
||||
round(avg, 4),
|
||||
round(profit, 2),
|
||||
round(loss, 2),
|
||||
round(rr, 2) if rr is not None else None,
|
||||
)
|
||||
|
||||
avg, profit, loss, rr = leg_metrics()
|
||||
rows.append({
|
||||
"level": "首仓",
|
||||
"price": round(entry0, 4),
|
||||
"lots": first_lots,
|
||||
"avg_after": avg,
|
||||
"profit_at_tp": profit,
|
||||
"loss_at_sl": loss,
|
||||
"rr_ratio": rr,
|
||||
})
|
||||
out["first_rr_ratio"] = rr
|
||||
|
||||
for i, lots in enumerate(leg_amounts):
|
||||
price = grid[i] if i < len(grid) else sl
|
||||
entries.append((float(price), int(lots)))
|
||||
avg, profit, loss, rr = leg_metrics()
|
||||
rows.append({
|
||||
"level": f"补仓{i + 1}",
|
||||
"price": round(float(price), 4),
|
||||
"lots": int(lots),
|
||||
"avg_after": avg,
|
||||
"profit_at_tp": profit,
|
||||
"loss_at_sl": loss,
|
||||
"rr_ratio": rr,
|
||||
})
|
||||
|
||||
out["preview_rows"] = rows
|
||||
out["summary_line"] = (
|
||||
f"{out['symbol_name']} {out['symbol']} {out['direction_label']} {out['period_label']}"
|
||||
f" | 权益 {capital:.2f} 元"
|
||||
f" | 参考价 {entry0}"
|
||||
f" | 计划保证金 ≈ {out.get('plan_margin')} 元"
|
||||
f" | 总手 {out.get('target_lots')}（首仓 {first_lots} + 补仓 {remainder}）"
|
||||
)
|
||||
out["detail_line"] = (
|
||||
f"止损价 {sl} | 止损金额 {out['stop_loss_budget']} 元（权益 × 风险 {risk_pct}%）"
|
||||
f" | 补仓边界 {float(out['add_upper'])} | 止盈价 {tp}"
|
||||
f" | 首仓盈亏比 {out['first_rr_ratio'] if out['first_rr_ratio'] is not None else '—'}"
|
||||
)
|
||||
return out
|
||||
Reference in New Issue
Block a user