"""国内期货合约乘数与参考保证金比例(用于估算保证金与风险)。""" import re from typing import Optional DEFAULT_SPEC = {"mult": 10, "margin_rate": 0.10} # 参考交易所常见规格(乘数 + 保证金比例估算) _SPEC_BY_THS: dict[str, dict] = { "ag": {"mult": 15, "margin_rate": 0.14}, "au": {"mult": 1000, "margin_rate": 0.10}, "cu": {"mult": 5, "margin_rate": 0.10}, "al": {"mult": 5, "margin_rate": 0.10}, "zn": {"mult": 5, "margin_rate": 0.10}, "pb": {"mult": 5, "margin_rate": 0.10}, "ni": {"mult": 1, "margin_rate": 0.12}, "sn": {"mult": 1, "margin_rate": 0.12}, "rb": {"mult": 10, "margin_rate": 0.09}, "hc": {"mult": 10, "margin_rate": 0.09}, "ss": {"mult": 5, "margin_rate": 0.11}, "sc": {"mult": 1000, "margin_rate": 0.11}, "fu": {"mult": 10, "margin_rate": 0.11}, "bu": {"mult": 10, "margin_rate": 0.11}, "ru": {"mult": 10, "margin_rate": 0.11}, "sp": {"mult": 10, "margin_rate": 0.10}, "i": {"mult": 100, "margin_rate": 0.11}, "j": {"mult": 100, "margin_rate": 0.12}, "jm": {"mult": 60, "margin_rate": 0.12}, "m": {"mult": 10, "margin_rate": 0.08}, "y": {"mult": 10, "margin_rate": 0.08}, "p": {"mult": 10, "margin_rate": 0.09}, "c": {"mult": 10, "margin_rate": 0.08}, "cs": {"mult": 10, "margin_rate": 0.08}, "jd": {"mult": 10, "margin_rate": 0.09}, "lh": {"mult": 16, "margin_rate": 0.12}, "l": {"mult": 5, "margin_rate": 0.09}, "pp": {"mult": 5, "margin_rate": 0.09}, "v": {"mult": 5, "margin_rate": 0.09}, "eg": {"mult": 10, "margin_rate": 0.09}, "eb": {"mult": 5, "margin_rate": 0.10}, "pg": {"mult": 20, "margin_rate": 0.10}, "RM": {"mult": 10, "margin_rate": 0.08}, "OI": {"mult": 10, "margin_rate": 0.08}, "SR": {"mult": 10, "margin_rate": 0.08}, "CF": {"mult": 5, "margin_rate": 0.08}, "MA": {"mult": 10, "margin_rate": 0.09}, "TA": {"mult": 5, "margin_rate": 0.09}, "FG": {"mult": 20, "margin_rate": 0.10}, "SA": {"mult": 20, "margin_rate": 0.10}, "UR": {"mult": 20, "margin_rate": 0.10}, "SF": {"mult": 5, "margin_rate": 0.10}, "SM": {"mult": 5, "margin_rate": 0.10}, "AP": {"mult": 10, "margin_rate": 0.10}, "CJ": {"mult": 5, "margin_rate": 0.10}, "PK": {"mult": 5, "margin_rate": 0.10}, "IF": {"mult": 300, "margin_rate": 0.12}, "IH": {"mult": 300, "margin_rate": 0.12}, "IC": {"mult": 200, "margin_rate": 0.12}, "IM": {"mult": 200, "margin_rate": 0.12}, } def get_contract_spec(ths_code: str) -> dict: code = (ths_code or "").strip() m = re.match(r"^([A-Za-z]+)", code) if not m: return dict(DEFAULT_SPEC) letters = m.group(1) spec = _SPEC_BY_THS.get(letters) or _SPEC_BY_THS.get(letters.upper()) or _SPEC_BY_THS.get(letters.lower()) if spec: return {"mult": spec["mult"], "margin_rate": spec["margin_rate"]} return dict(DEFAULT_SPEC) def calc_position_metrics( direction: str, entry: float, stop_loss: float, take_profit: float, lots: float, mark_price: Optional[float], capital: float, ths_code: str, ) -> dict: spec = get_contract_spec(ths_code) mult = spec["mult"] margin_rate = spec["margin_rate"] lots = lots or 1.0 margin = entry * mult * lots * margin_rate if direction == "long": risk_amt = max(0.0, (entry - stop_loss) * mult * lots) reward = max(0.0, (take_profit - entry) * mult * lots) float_pnl = (mark_price - entry) * mult * lots if mark_price is not None else None else: risk_amt = max(0.0, (stop_loss - entry) * mult * lots) reward = max(0.0, (entry - take_profit) * mult * lots) float_pnl = (entry - mark_price) * mult * lots if mark_price is not None else None risk_pct = (risk_amt / capital * 100) if capital > 0 else 0.0 pos_pct = (margin / capital * 100) if capital > 0 else 0.0 rr = (reward / risk_amt) if risk_amt > 0 else None float_pct = (float_pnl / margin * 100) if margin > 0 and float_pnl is not None else None return { "mult": mult, "margin_rate": margin_rate, "margin": round(margin, 2), "risk_amount": round(risk_amt, 2), "risk_pct": round(risk_pct, 2), "position_pct": round(pos_pct, 2), "float_pnl": round(float_pnl, 2) if float_pnl is not None else None, "float_pct": round(float_pct, 2) if float_pct is not None else None, "rr_ratio": round(rr, 2) if rr is not None else None, }