dekun
98 lines
3.4 KiB
Python
98 lines
3.4 KiB
Python
"""期货计仓：固定张数 / 以损定仓（不含币圈全仓杠杆模式）。"""
|
|
from __future__ import annotations
|
|
|
|
import math
|
|
from typing import Optional
|
|
|
|
from contract_specs import get_contract_spec
|
|
|
|
MODE_FIXED = "fixed"
|
|
MODE_RISK = "risk"
|
|
|
|
# 单笔报单手数上限（防止以损定仓在止损过近时算出超大手数）
|
|
DEFAULT_MAX_ORDER_LOTS = 50
|
|
|
|
|
|
def normalize_sizing_mode(raw: str) -> str:
|
|
m = (raw or MODE_RISK).strip().lower()
|
|
return m if m in (MODE_FIXED, MODE_RISK) else MODE_RISK
|
|
|
|
|
|
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 calc_lots_by_risk(
|
|
entry: float,
|
|
stop_loss: float,
|
|
direction: str,
|
|
capital: float,
|
|
risk_percent: float,
|
|
ths_code: str,
|
|
*,
|
|
max_lots: Optional[int] = None,
|
|
) -> tuple[Optional[int], Optional[str]]:
|
|
"""以损定仓：返回 (手数, 错误信息)。"""
|
|
try:
|
|
entry_f = float(entry)
|
|
sl_f = float(stop_loss)
|
|
cap = float(capital)
|
|
rp = float(risk_percent)
|
|
except (TypeError, ValueError):
|
|
return None, "参数格式错误"
|
|
if entry_f <= 0 or cap <= 0 or rp <= 0:
|
|
return None, "入场价、资金或风险比例无效"
|
|
spec = get_contract_spec(ths_code)
|
|
mult = spec["mult"]
|
|
d = (direction or "long").strip().lower()
|
|
if d == "short":
|
|
per_lot_risk = (sl_f - entry_f) * mult
|
|
else:
|
|
per_lot_risk = (entry_f - sl_f) * mult
|
|
if per_lot_risk <= 0:
|
|
return None, "止损方向与入场价不匹配"
|
|
budget = cap * rp / 100.0
|
|
lots = int(math.floor(budget / per_lot_risk))
|
|
if lots < 1:
|
|
return None, f"按 {rp}% 风险预算，当前止损距离下不足 1 手"
|
|
margin_rate = spec["margin_rate"]
|
|
margin_per_lot = entry_f * mult * margin_rate
|
|
max_by_margin = int(math.floor(cap * 0.85 / margin_per_lot)) if margin_per_lot > 0 else lots
|
|
if max_by_margin < 1:
|
|
return None, "可用资金不足以覆盖 1 手保证金"
|
|
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_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,
|
|
}
|