dekun
19676943d0
Read margin ratios from CTP instrument query and margin-rate API instead of vnpy ContractData (which lacks ratios). Keep occupied margin on position UseMargin; use per-lot max rate for recommend table. Co-authored-by: Cursor <cursoragent@cursor.com>
336 lines
12 KiB
Python
336 lines
12 KiB
Python
# 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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"""按账户资金筛选可开仓品种（保证金与仓位纪律）。"""
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from __future__ import annotations
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import logging
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import math
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from concurrent.futures import ThreadPoolExecutor
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from typing import Callable, Optional
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from contract_specs import get_contract_spec, margin_one_lot
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from fee_specs import calc_fee_breakdown
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from recommend_trend import analyze_product_daily, sort_recommend_by_trend
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from symbols import PRODUCTS, product_category, product_has_night_session
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logger = logging.getLogger(__name__)
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# 权益不超过该值时，仅允许下列品种（可开仓列表、品种下拉、开仓报单）
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SMALL_ACCOUNT_CAPITAL_MAX = 200_000.0
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# 未连接 CTP 时，可开仓品种表按该权益估算最大手数（与参考资金设置无关）
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DISCONNECTED_RECOMMEND_CAPITAL = 100_000.0
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SMALL_ACCOUNT_PRODUCT_THS = frozenset({"c", "m", "MA", "rb"})
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SMALL_ACCOUNT_SCOPE_LABEL = "玉米、豆粕、甲醇、螺纹钢"
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SMALL_ACCOUNT_RECOMMENDED_OPEN_MARGIN_PCT = 30.0
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SMALL_ACCOUNT_RECOMMENDED_ROLL_MARGIN_PCT = 40.0
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def small_account_margin_recommendations() -> dict:
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"""20 万以下账户建议的保证金比例（供系统设置参考）。"""
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wan = int(SMALL_ACCOUNT_CAPITAL_MAX // 10_000)
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return {
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"open_margin_pct": SMALL_ACCOUNT_RECOMMENDED_OPEN_MARGIN_PCT,
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"roll_margin_pct": SMALL_ACCOUNT_RECOMMENDED_ROLL_MARGIN_PCT,
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"label": (
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f"权益 {wan} 万以下建议：开仓保证金上限 "
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f"{int(SMALL_ACCOUNT_RECOMMENDED_OPEN_MARGIN_PCT)}%，"
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f"滚仓总保证金不超过 {int(SMALL_ACCOUNT_RECOMMENDED_ROLL_MARGIN_PCT)}%"
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),
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}
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def small_account_scope_hint(*, ctp_connected: bool = True) -> str:
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wan = int(SMALL_ACCOUNT_CAPITAL_MAX // 10_000)
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if not ctp_connected:
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rec_wan = int(DISCONNECTED_RECOMMEND_CAPITAL // 10_000)
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return (
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f"未连接 CTP，按 {rec_wan} 万权益估算最大手数，"
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f"仅显示并可交易 {SMALL_ACCOUNT_SCOPE_LABEL}"
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)
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return f"权益 {wan} 万以下仅显示并可交易：{SMALL_ACCOUNT_SCOPE_LABEL}"
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def small_account_scope_status_label() -> str:
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wan = int(SMALL_ACCOUNT_CAPITAL_MAX // 10_000)
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return f"权益{wan}万以下限{SMALL_ACCOUNT_SCOPE_LABEL}"
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def should_apply_small_account_scope(
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capital: float,
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*,
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ctp_connected: bool,
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) -> bool:
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"""SimNow/实盘一致：未连接 CTP 时默认按 20 万以下四品种范围。"""
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if not ctp_connected:
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return True
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return is_small_account(capital)
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def filter_rows_for_account_scope(
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rows: list[dict],
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capital: float,
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*,
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ctp_connected: bool,
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) -> list[dict]:
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if not should_apply_small_account_scope(capital, ctp_connected=ctp_connected):
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return rows
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return [r for r in rows if product_in_small_account_whitelist(r.get("ths") or "")]
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def normalize_product_ths(ths: str) -> str:
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import re
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s = (ths or "").strip()
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m = re.match(r"^([A-Za-z]+)", s)
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return m.group(1) if m else s
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def is_small_account(capital: float) -> bool:
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cap = float(capital or 0)
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return 0 < cap <= SMALL_ACCOUNT_CAPITAL_MAX
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def product_in_small_account_whitelist(ths_or_product) -> bool:
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if isinstance(ths_or_product, dict):
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key = (ths_or_product.get("ths") or "").strip()
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else:
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key = normalize_product_ths(str(ths_or_product or ""))
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if not key:
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return False
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root = normalize_product_ths(key)
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if root in SMALL_ACCOUNT_PRODUCT_THS:
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return True
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upper = root.upper()
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return upper in {x.upper() for x in SMALL_ACCOUNT_PRODUCT_THS}
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def assert_product_allowed_for_capital(
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ths: str,
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capital: float,
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*,
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ctp_connected: bool = True,
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) -> Optional[str]:
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"""小账户品种白名单校验；通过返回 None。"""
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if not should_apply_small_account_scope(capital, ctp_connected=ctp_connected):
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return None
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if product_in_small_account_whitelist(ths):
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return None
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wan = int(SMALL_ACCOUNT_CAPITAL_MAX // 10_000)
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if not ctp_connected:
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return f"未连接 CTP，仅可交易：{SMALL_ACCOUNT_SCOPE_LABEL}"
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return f"权益 {wan} 万以下仅可交易：{SMALL_ACCOUNT_SCOPE_LABEL}"
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def filter_products_for_capital(
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products: list[dict],
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capital: float,
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*,
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ctp_connected: bool = True,
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) -> list[dict]:
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if not should_apply_small_account_scope(capital, ctp_connected=ctp_connected):
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return list(products)
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return [p for p in products if product_in_small_account_whitelist(p)]
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def _attach_turnover(row: dict) -> None:
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"""成交额 = 昨日成交量(手) × 昨收 × 合约乘数。"""
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try:
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vol = float(row.get("volume") or 0)
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price = float(row.get("prev_close") or row.get("price") or 0)
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mult = float(row.get("mult") or 0)
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except (TypeError, ValueError):
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return
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if vol > 0 and price > 0 and mult > 0:
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row["turnover"] = round(vol * price * mult, 2)
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def _letters_from_ths(ths_code: str) -> str:
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import re
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m = re.match(r"^([A-Za-z]+)", (ths_code or "").strip())
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return m.group(1) if m else ""
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def assess_product_for_capital(
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product: dict,
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capital: float,
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price: Optional[float],
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*,
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max_margin_pct: float = 30.0,
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default_stop_ticks: int = 20,
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reward_risk_ratio: float = 2.0,
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trading_mode: str = "simulation",
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ctp_connected: bool = True,
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main_code: str = "",
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margin_used: float = 0.0,
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) -> dict:
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"""评估单品种在当前资金下是否可交易。"""
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ths = product.get("ths") or ""
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name = product.get("name") or ths
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exchange = product.get("exchange") or ""
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category = product.get("category") or product_category(ths)
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spec = get_contract_spec(ths + "8888")
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mult = spec["mult"]
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margin_rate = spec["margin_rate"]
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tick = float(spec.get("tick_size") or 1.0)
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p = float(price) if price and price > 0 else 0.0
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cap = float(capital or 0)
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margin_pct = max(1.0, min(100.0, float(max_margin_pct or 30.0)))
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if should_apply_small_account_scope(cap, ctp_connected=ctp_connected) and not product_in_small_account_whitelist(product):
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return {
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"ths": ths,
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"name": name,
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"exchange": exchange,
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"category": category,
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"mult": spec["mult"],
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"tick_size": tick,
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"status": "blocked",
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"status_label": small_account_scope_status_label(),
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"min_capital_one_lot": None,
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"margin_one_lot": None,
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"max_lots": 0,
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"risk_one_lot_1pct": None,
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"has_night_session": product_has_night_session(product),
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}
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if p <= 0:
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return {
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"ths": ths,
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"name": name,
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"exchange": exchange,
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"category": category,
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"mult": mult,
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"tick_size": tick,
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"status": "no_price",
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"status_label": "暂无行情",
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"min_capital_one_lot": None,
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"margin_one_lot": None,
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"max_lots": 0,
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"risk_one_lot_1pct": None,
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"has_night_session": product_has_night_session(product),
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}
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margin_source = None
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code_for_margin = (main_code or "").strip() or (ths + "8888")
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if p > 0 and ctp_connected:
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margin_one, margin_source, spec_used = margin_one_lot(
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code_for_margin, p, direction="max", trading_mode=trading_mode,
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)
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if spec_used.get("mult"):
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mult = spec_used["mult"]
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if spec_used.get("tick_size"):
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tick = float(spec_used["tick_size"])
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else:
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margin_one = p * mult * margin_rate
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min_capital = margin_one / (margin_pct / 100.0) if margin_pct > 0 else margin_one
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margin_budget = cap * margin_pct / 100.0 if cap > 0 else 0.0
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margin_budget = max(0.0, margin_budget - max(0.0, float(margin_used or 0)))
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max_lots = int(math.floor(margin_budget / margin_one)) if margin_one > 0 and margin_budget > 0 else 0
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stop_dist = tick * default_stop_ticks
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risk_one_lot = stop_dist * mult
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risk_pct_1lot = (risk_one_lot / cap * 100) if cap > 0 else 999.0
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ref_sl = round(p - stop_dist, 4)
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ref_tp = round(p + stop_dist * reward_risk_ratio, 4)
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fee_ths = ths + "8888"
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try:
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fee_info = calc_fee_breakdown(
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fee_ths, p, p, 1.0, open_time="", close_time="", trading_mode=trading_mode,
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)
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except Exception as exc:
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logger.debug("recommend fee calc failed %s: %s", ths, exc)
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fee_info = {"open_fee": 0.0, "total_fee": 0.0}
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can_margin = max_lots >= 1
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can_risk = cap > 0 and risk_one_lot <= cap * 0.01
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if can_margin and can_risk:
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status, label = "ok", f"最大 {max_lots} 手"
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elif can_margin:
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status, label = "margin_ok", f"最大 {max_lots} 手·止损偏宽"
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else:
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status, label = "blocked", "资金不足"
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if margin_source == "ctp" and can_margin:
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label += "（柜台保证金）"
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row_out = {
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"ths": ths,
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"name": name,
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"exchange": exchange,
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"category": category,
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"price": round(p, 4),
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"mult": mult,
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"tick_size": tick,
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"margin_one_lot": round(margin_one, 2),
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"min_capital_one_lot": round(min_capital, 2),
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"max_lots": max_lots,
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"margin_budget": round(margin_budget, 2),
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"max_margin_pct": margin_pct,
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"risk_one_lot_1pct": round(risk_one_lot, 2),
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"risk_pct_1lot_at_1pct_rule": round(risk_pct_1lot, 2),
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"ref_stop_loss": ref_sl,
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"ref_take_profit": ref_tp,
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"open_fee_one_lot": fee_info["open_fee"],
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"roundtrip_fee_one_lot": fee_info["total_fee"],
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"status": status,
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"status_label": label,
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"has_night_session": product_has_night_session(product),
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}
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if margin_source:
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row_out["margin_source"] = margin_source
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return row_out
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def list_product_recommendations(
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capital: float,
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quote_fn: Callable[[str], Optional[dict]],
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*,
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max_margin_pct: float = 30.0,
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trading_mode: str = "simulation",
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ctp_connected: bool = True,
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margin_used: float = 0.0,
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) -> list[dict]:
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"""扫描全部品种并排序：可开且纪律友好 > 可开 > 不足。quote_fn(品种代码) -> {price, ths_code, ...}"""
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def _one(product: dict) -> dict:
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ths = product["ths"]
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try:
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quote = quote_fn(ths) or {}
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price = quote.get("price")
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main_code = (quote.get("ths_code") or "").strip()
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row = assess_product_for_capital(
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product, capital, price,
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max_margin_pct=max_margin_pct,
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trading_mode=trading_mode,
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ctp_connected=ctp_connected,
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main_code=main_code,
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margin_used=margin_used,
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)
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row["main_code"] = main_code
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if main_code:
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row.update(analyze_product_daily(main_code))
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_attach_turnover(row)
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return row
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except Exception as exc:
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logger.warning("recommend product failed %s: %s", ths, exc)
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spec = get_contract_spec(ths + "8888")
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return {
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"ths": ths,
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"name": product.get("name") or ths,
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"exchange": product.get("exchange") or "",
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"category": product.get("category") or product_category(ths),
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"mult": spec["mult"],
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"tick_size": float(spec.get("tick_size") or 1.0),
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"status": "no_price",
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"status_label": "计算失败",
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"main_code": "",
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"max_lots": 0,
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"has_night_session": product_has_night_session(product),
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}
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with ThreadPoolExecutor(max_workers=10) as pool:
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products = filter_products_for_capital(PRODUCTS, capital)
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rows = list(pool.map(_one, products))
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return sort_recommend_by_trend(rows)
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