qihuo/modules/trading/position_sizing.py

# Copyright (c) 2025-2026 马建军. All rights reserved.
# 专有软件 — 未经授权禁止复制、传播、转售。
# 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。
# 详见 LICENSE.zh-CN.txt 与 docs/软件购买与使用协议.md

"""期货计仓：固定手数 / 固定金额。"""
from __future__ import annotations

import math
from typing import Optional

from modules.core.contract_specs import get_contract_spec, margin_one_lot

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,
    trading_mode: str | None = None,
) -> tuple[Optional[int], Optional[str], dict]:
    """固定金额：先按止损距离算手数，再按保证金上限收紧。返回 (手数, 错误, 详情)。"""
    info: dict = {
        "lots_by_risk": 0,
        "lots_by_margin": None,
        "capped_by": None,
    }
    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", info
    if entry_f <= 0 or budget <= 0:
        return None, "入场价或固定金额无效", info
    per_lot_risk, err = _per_lot_risk(entry_f, sl_f, direction, ths_code)
    if err:
        return None, err, info
    lots = int(math.floor(budget / per_lot_risk))
    info["lots_by_risk"] = lots
    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", info
    if cap > 0:
        margin_per_lot, _src, _spec = margin_one_lot(
            ths_code, entry_f, direction=direction, trading_mode=trading_mode,
        )
        if margin_per_lot <= 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
        )
        info["lots_by_margin"] = max_by_margin
        info["margin_per_lot"] = round(margin_per_lot, 2)
        info["max_margin_pct"] = margin_cap
        if max_by_margin < 1:
            return None, f"按保证金上限 {margin_cap:g}%，当前不足 1 手", info
        if max_by_margin < lots:
            info["capped_by"] = "margin"
        lots = min(lots, max_by_margin)
    cap_lots = max_lots if max_lots is not None else DEFAULT_MAX_ORDER_LOTS
    if lots > cap_lots:
        lots = cap_lots
        info["capped_by"] = info.get("capped_by") or "max_lots"
    info["lots"] = lots
    return lots, None, info


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,
    trading_mode: str | None = None,
) -> 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
    lots, err, info = calc_lots_by_amount(
        entry, stop_loss, direction, budget, ths_code,
        capital=cap, max_lots=max_lots, max_margin_pct=max_margin_pct,
        trading_mode=trading_mode,
    )
    return lots, err


def calc_order_tick_metrics(
    ths_code: str,
    lots: float,
    price: Optional[float] = None,
    *,
    direction: str = "long",
    trading_mode: str | None = 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 = None
    margin_source = "estimate"
    if mark > 0:
        margin_per_lot, margin_source, spec_used = margin_one_lot(
            ths_code, mark, direction=direction, trading_mode=trading_mode,
        )
        if spec_used.get("mult"):
            mult = int(spec_used["mult"])
        if spec_used.get("tick_size"):
            tick = float(spec_used["tick_size"])
            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)
        if margin_per_lot <= 0:
            margin_per_lot = round(mark * mult * margin_rate, 2)
            margin_source = "estimate"
    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,
        "margin_source": margin_source,
    }


def calc_margin_usage_pct(
    positions: list[dict],
    capital: float,
    *,
    extra_symbol: str = "",
    extra_lots: int = 0,
    extra_price: float = 0,
    extra_direction: str = "long",
    trading_mode: str | None = None,
) -> 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
        ctp_margin = float(p.get("margin") or 0)
        if ctp_margin > 0:
            total += ctp_margin
            continue
        sym = (p.get("symbol") or p.get("symbol_code") or "").strip()
        entry = float(p.get("avg_price") or p.get("entry_price") or 0)
        direction = (p.get("direction") or "long").strip().lower()
        if entry <= 0 or not sym:
            continue
        per_lot, _, _ = margin_one_lot(
            sym, entry, direction=direction, trading_mode=trading_mode,
        )
        if per_lot <= 0:
            spec = get_contract_spec(sym)
            per_lot = entry * spec["mult"] * spec["margin_rate"]
        total += per_lot * lots
    if extra_symbol and extra_lots > 0 and extra_price > 0:
        per_lot, _, _ = margin_one_lot(
            extra_symbol, extra_price, direction=extra_direction, trading_mode=trading_mode,
        )
        if per_lot <= 0:
            spec = get_contract_spec(extra_symbol)
            per_lot = extra_price * spec["mult"] * spec["margin_rate"]
        total += per_lot * extra_lots
    return round(total / cap * 100.0, 2)


def cap_lots_for_margin_budget(
    positions: list[dict],
    capital: float,
    symbol: str,
    direction: str,
    price: float,
    desired_lots: int,
    max_margin_pct: float,
    trading_mode: str | None = None,
) -> tuple[int, float]:
    """在保证金上限内，返回可加仓手数及占用比例。"""
    desired = max(0, int(desired_lots or 0))
    if desired <= 0:
        return 0, calc_margin_usage_pct(positions, capital, trading_mode=trading_mode)
    for lots in range(desired, 0, -1):
        usage = calc_margin_usage_pct(
            positions,
            capital,
            extra_symbol=symbol,
            extra_lots=lots,
            extra_price=price,
            extra_direction=direction,
            trading_mode=trading_mode,
        )
        if usage <= max_margin_pct:
            return lots, usage
    return 0, calc_margin_usage_pct(
        positions,
        capital,
        extra_symbol=symbol,
        extra_lots=desired,
        extra_price=price,
        extra_direction=direction,
        trading_mode=trading_mode,
    )