"""期货计仓:固定手数 / 固定金额。""" from __future__ import annotations import math from typing import Optional from contract_specs import get_contract_spec MODE_FIXED = "fixed" MODE_AMOUNT = "amount" MODE_RISK = "amount" # 兼容旧配置「以损定仓」 DEFAULT_MAX_ORDER_LOTS = 50 def normalize_sizing_mode(raw: str) -> str: m = (raw or MODE_FIXED).strip().lower() if m == "risk": m = MODE_AMOUNT return m if m in (MODE_FIXED, MODE_AMOUNT) else MODE_FIXED def price_precision_from_tick(tick_size: float) -> int: if tick_size <= 0: return 0 s = f"{tick_size:.10f}".rstrip("0").rstrip(".") if "." not in s: return 0 return len(s.split(".")[1]) def _per_lot_risk(entry: float, stop_loss: float, direction: str, ths_code: str) -> tuple[float, Optional[str]]: spec = get_contract_spec(ths_code) mult = spec["mult"] d = (direction or "long").strip().lower() if d == "short": per_lot = (stop_loss - entry) * mult else: per_lot = (entry - stop_loss) * mult if per_lot <= 0: return 0.0, "止损方向与入场价不匹配" return per_lot, None def calc_lots_by_amount( entry: float, stop_loss: float, direction: str, amount: float, ths_code: str, *, capital: float = 0.0, max_lots: Optional[int] = None, max_margin_pct: float = 30.0, ) -> tuple[Optional[int], Optional[str]]: """固定金额:按止损距离将金额换算为手数。""" try: entry_f = float(entry) sl_f = float(stop_loss) budget = float(amount) cap = float(capital or 0) except (TypeError, ValueError): return None, "参数格式错误" if entry_f <= 0 or budget <= 0: return None, "入场价或固定金额无效" per_lot_risk, err = _per_lot_risk(entry_f, sl_f, direction, ths_code) if err: return None, err lots = int(math.floor(budget / per_lot_risk)) if lots < 1: return None, f"按固定金额 {budget:.0f} 元,当前止损距离下不足 1 手" if cap > 0: spec = get_contract_spec(ths_code) margin_per_lot = entry_f * spec["mult"] * spec["margin_rate"] margin_cap = max(1.0, min(100.0, float(max_margin_pct or 30.0))) max_by_margin = ( int(math.floor(cap * margin_cap / 100.0 / margin_per_lot)) if margin_per_lot > 0 else lots ) if max_by_margin < 1: return None, f"按保证金上限 {margin_cap:g}%,当前不足 1 手" lots = min(lots, max_by_margin) cap_lots = max_lots if max_lots is not None else DEFAULT_MAX_ORDER_LOTS lots = min(lots, cap_lots) return lots, None def calc_lots_by_risk( entry: float, stop_loss: float, direction: str, capital: float, risk_percent: float, ths_code: str, *, max_lots: Optional[int] = None, max_margin_pct: float = 30.0, ) -> tuple[Optional[int], Optional[str]]: """策略等场景:按权益百分比风险预算换算手数。""" try: cap = float(capital) rp = float(risk_percent) except (TypeError, ValueError): return None, "参数格式错误" if cap <= 0 or rp <= 0: return None, "资金或风险比例无效" budget = cap * rp / 100.0 return calc_lots_by_amount( entry, stop_loss, direction, budget, ths_code, capital=cap, max_lots=max_lots, max_margin_pct=max_margin_pct, ) def calc_order_tick_metrics(ths_code: str, lots: float, price: Optional[float] = None) -> dict: """下单区展示:最小变动价位、每跳盈亏、保证金等。""" spec = get_contract_spec(ths_code) mult = int(spec["mult"]) tick = float(spec.get("tick_size") or 1.0) margin_rate = float(spec["margin_rate"]) lots_i = max(1, int(lots or 1)) tick_value_per_lot = round(tick * mult, 4) tick_value_total = round(tick_value_per_lot * lots_i, 2) prec = price_precision_from_tick(tick) mark = float(price) if price else 0.0 margin_per_lot = round(mark * mult * margin_rate, 2) if mark > 0 else None margin_total = round(margin_per_lot * lots_i, 2) if margin_per_lot else None return { "mult": mult, "tick_size": tick, "price_precision": prec, "tick_value_per_lot": tick_value_per_lot, "tick_value_total": tick_value_total, "lots": lots_i, "margin_per_lot": margin_per_lot, "margin_total": margin_total, "margin_rate": margin_rate, } def calc_margin_usage_pct( positions: list[dict], capital: float, *, extra_symbol: str = "", extra_lots: int = 0, extra_price: float = 0, ) -> float: """当前持仓 + 拟开仓占权益的保证金比例(%)。""" cap = float(capital or 0) if cap <= 0: return 999.0 total = 0.0 for p in positions: lots = int(p.get("lots") or 0) if lots <= 0: continue sym = (p.get("symbol") or "").strip() entry = float(p.get("avg_price") or p.get("entry_price") or 0) if entry <= 0: continue spec = get_contract_spec(sym) total += entry * spec["mult"] * lots * spec["margin_rate"] if extra_symbol and extra_lots > 0 and extra_price > 0: spec = get_contract_spec(extra_symbol) total += extra_price * spec["mult"] * extra_lots * spec["margin_rate"] return round(total / cap * 100.0, 2)