dekun
e5a586f903
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>
167 lines
7.0 KiB
Python
167 lines
7.0 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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"""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 margin_one_lot(
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ths_code: str,
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price: float,
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*,
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direction: str = "long",
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trading_mode: str | None = None,
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) -> tuple[float, str, dict]:
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"""1 手保证金。CTP 已连接时优先读柜台合约保证金率，否则用本地参考规格估算。
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direction 可为 long / short / max（多空费率取较大值，用于可开仓品种表）。
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返回 (保证金, 来源 estimate|ctp, 合约规格片段)。
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"""
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spec = get_contract_spec(ths_code)
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est = 0.0
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if price and price > 0:
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est = round(float(price) * spec["mult"] * spec["margin_rate"], 2)
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if trading_mode:
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try:
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from modules.ctp.vnpy_bridge import ctp_estimate_margin_one_lot, ctp_lookup_contract_spec, ctp_status
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if ctp_status(trading_mode).get("connected"):
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ctp_margin = ctp_estimate_margin_one_lot(
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trading_mode, ths_code, float(price), direction=direction,
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)
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if ctp_margin and ctp_margin > 0:
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merged = dict(spec)
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ctp_spec = ctp_lookup_contract_spec(trading_mode, ths_code) or {}
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if ctp_spec.get("mult"):
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merged["mult"] = ctp_spec["mult"]
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if ctp_spec.get("tick_size"):
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merged["tick_size"] = ctp_spec["tick_size"]
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if ctp_spec.get("margin_rate"):
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merged["margin_rate"] = ctp_spec["margin_rate"]
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return float(ctp_margin), "ctp", merged
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except Exception:
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pass
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return est, "estimate", 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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"reward_amount": round(reward, 2) if reward 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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