dekun
6e423eebfb
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>
122 lines
5.0 KiB
Python
122 lines
5.0 KiB
Python
"""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）。"""
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import re
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from typing import Optional
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DEFAULT_SPEC = {"mult": 10, "margin_rate": 0.10, "tick_size": 1.0}
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# 参考交易所常见规格（乘数 + 保证金比例 + 最小变动价位）
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_SPEC_BY_THS: dict[str, dict] = {
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"ag": {"mult": 15, "margin_rate": 0.14, "tick_size": 1.0},
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"au": {"mult": 1000, "margin_rate": 0.10, "tick_size": 0.02},
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"cu": {"mult": 5, "margin_rate": 0.10, "tick_size": 10.0},
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"al": {"mult": 5, "margin_rate": 0.10},
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"zn": {"mult": 5, "margin_rate": 0.10},
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"pb": {"mult": 5, "margin_rate": 0.10},
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"ni": {"mult": 1, "margin_rate": 0.12},
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"sn": {"mult": 1, "margin_rate": 0.12},
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"rb": {"mult": 10, "margin_rate": 0.09},
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"hc": {"mult": 10, "margin_rate": 0.09},
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"ss": {"mult": 5, "margin_rate": 0.11},
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"sc": {"mult": 1000, "margin_rate": 0.11},
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"fu": {"mult": 10, "margin_rate": 0.11},
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"bu": {"mult": 10, "margin_rate": 0.11},
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"ru": {"mult": 10, "margin_rate": 0.11},
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"sp": {"mult": 10, "margin_rate": 0.10},
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"i": {"mult": 100, "margin_rate": 0.11},
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"j": {"mult": 100, "margin_rate": 0.12},
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"jm": {"mult": 60, "margin_rate": 0.12},
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"m": {"mult": 10, "margin_rate": 0.08},
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"y": {"mult": 10, "margin_rate": 0.08},
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"p": {"mult": 10, "margin_rate": 0.09},
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"c": {"mult": 10, "margin_rate": 0.08},
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"cs": {"mult": 10, "margin_rate": 0.08},
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"jd": {"mult": 10, "margin_rate": 0.09},
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"lh": {"mult": 16, "margin_rate": 0.12},
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"l": {"mult": 5, "margin_rate": 0.09},
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"pp": {"mult": 5, "margin_rate": 0.09},
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"v": {"mult": 5, "margin_rate": 0.09},
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"eg": {"mult": 10, "margin_rate": 0.09},
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"eb": {"mult": 5, "margin_rate": 0.10},
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"pg": {"mult": 20, "margin_rate": 0.10},
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"RM": {"mult": 10, "margin_rate": 0.08},
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"OI": {"mult": 10, "margin_rate": 0.08},
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"SR": {"mult": 10, "margin_rate": 0.08},
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"CF": {"mult": 5, "margin_rate": 0.08},
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"MA": {"mult": 10, "margin_rate": 0.09},
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"TA": {"mult": 5, "margin_rate": 0.09},
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"FG": {"mult": 20, "margin_rate": 0.10},
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"SA": {"mult": 20, "margin_rate": 0.10},
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"UR": {"mult": 20, "margin_rate": 0.10},
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"SF": {"mult": 5, "margin_rate": 0.10},
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"SM": {"mult": 5, "margin_rate": 0.10},
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"AP": {"mult": 10, "margin_rate": 0.10},
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"CJ": {"mult": 5, "margin_rate": 0.10},
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"PK": {"mult": 5, "margin_rate": 0.10},
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"IF": {"mult": 300, "margin_rate": 0.12, "tick_size": 0.2},
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"IH": {"mult": 300, "margin_rate": 0.12, "tick_size": 0.2},
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"IC": {"mult": 200, "margin_rate": 0.12, "tick_size": 0.2},
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"IM": {"mult": 200, "margin_rate": 0.12, "tick_size": 0.2},
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}
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_TICK_OVERRIDES: dict[str, float] = {
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"sc": 0.1, "TA": 2.0, "CF": 5.0, "SF": 2.0, "SM": 2.0,
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}
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def get_contract_spec(ths_code: str) -> dict:
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code = (ths_code or "").strip()
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m = re.match(r"^([A-Za-z]+)", code)
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if not m:
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return dict(DEFAULT_SPEC)
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letters = m.group(1)
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spec = _SPEC_BY_THS.get(letters) or _SPEC_BY_THS.get(letters.upper()) or _SPEC_BY_THS.get(letters.lower())
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if spec:
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tick = spec.get("tick_size")
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if tick is None:
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tick = _TICK_OVERRIDES.get(letters) or _TICK_OVERRIDES.get(letters.upper()) or 1.0
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return {"mult": spec["mult"], "margin_rate": spec["margin_rate"], "tick_size": float(tick)}
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return dict(DEFAULT_SPEC)
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def calc_position_metrics(
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direction: str,
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entry: float,
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stop_loss: float,
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take_profit: float,
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lots: float,
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mark_price: Optional[float],
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capital: float,
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ths_code: str,
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) -> dict:
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spec = get_contract_spec(ths_code)
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mult = spec["mult"]
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margin_rate = spec["margin_rate"]
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lots = lots or 1.0
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margin = entry * mult * lots * margin_rate
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if direction == "long":
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risk_amt = max(0.0, (entry - stop_loss) * mult * lots)
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reward = max(0.0, (take_profit - entry) * mult * lots)
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float_pnl = (mark_price - entry) * mult * lots if mark_price is not None else None
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else:
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risk_amt = max(0.0, (stop_loss - entry) * mult * lots)
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reward = max(0.0, (entry - take_profit) * mult * lots)
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float_pnl = (entry - mark_price) * mult * lots if mark_price is not None else None
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risk_pct = (risk_amt / capital * 100) if capital > 0 else 0.0
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pos_pct = (margin / capital * 100) if capital > 0 else 0.0
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rr = (reward / risk_amt) if risk_amt > 0 else None
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float_pct = (float_pnl / margin * 100) if margin > 0 and float_pnl is not None else None
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return {
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"mult": mult,
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"margin_rate": margin_rate,
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"margin": round(margin, 2),
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"risk_amount": round(risk_amt, 2),
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"risk_pct": round(risk_pct, 2),
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"position_pct": round(pos_pct, 2),
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"float_pnl": round(float_pnl, 2) if float_pnl is not None else None,
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"float_pct": round(float_pct, 2) if float_pct is not None else None,
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"rr_ratio": round(rr, 2) if rr is not None else None,
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}
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