#!/usr/bin/env python3 # -*- coding: utf-8 -*- """ 风险管理服务 """ from typing import Dict, Optional from datetime import datetime from ...models import TradingStrategy class RiskManager: """风险管理服务""" def __init__(self): # 账户信息（从外部更新） self._account_balance: float = 0.0 self._account_equity: float = 0.0 self._free_margin: float = 0.0 # 每日风险限制 self._daily_risk_limit: float = 5.0 # 每日最大风险百分比 self._daily_risk_used: float = 0.0 # 今日已使用风险 # 品种配置（点值、最小手数等） self._symbol_config: Dict[str, Dict] = {} # 统计服务引用（用于获取账户信息） self._statistics_service = None print("[RiskManager] 风险管理服务已初始化") def set_statistics_service(self, service) -> None: """设置统计服务引用""" self._statistics_service = service def _refresh_account_info(self) -> None: """从统计服务刷新账户信息""" if not self._statistics_service: return try: account_info = self._statistics_service.get_account_info() if account_info: self._account_balance = account_info.get('balance', 0.0) self._account_equity = account_info.get('equity', 0.0) # free_margin 通常等于 equity - used_margin，这里用 equity 近似 self._free_margin = account_info.get('equity', 0.0) except Exception as e: print(f"[RiskManager] 刷新账户信息失败: {e}") # ==================== 账户信息 ==================== def update_account_info(self, balance: float, equity: float, free_margin: float) -> None: """更新账户信息""" self._account_balance = balance self._account_equity = equity self._free_margin = free_margin def get_account_balance(self) -> float: """获取账户余额""" return self._account_balance def get_account_equity(self) -> float: """获取账户权益""" return self._account_equity # ==================== 品种配置 ==================== def set_symbol_config(self, symbol: str, config: Dict) -> None: """设置品种配置""" self._symbol_config[symbol] = config def get_symbol_config(self, symbol: str) -> Dict: """获取品种配置""" return self._symbol_config.get(symbol, { "point_value": 1.0, # 点值 "min_volume": 0.01, # 最小手数 "max_volume": 10.0, # 最大手数 "volume_step": 0.01, # 手数步长 }) # ==================== 手数计算 ==================== def calculate_volume(self, symbol: str, risk_points: float, strategy: TradingStrategy) -> float: """ 计算交易手数 Args: symbol: 品种 risk_points: 风险点数 strategy: 策略配置 Returns: 计算的手数 """ config = self.get_symbol_config(symbol) point_value = config.get('point_value', 1.0) min_volume = config.get('min_volume', 0.01) max_volume = config.get('max_volume', 10.0) volume_step = config.get('volume_step', 0.01) if strategy.volume_mode == "fixed": volume = strategy.fixed_volume elif strategy.volume_mode == "risk_percent": # 根据风险百分比计算手数 risk_amount = self._account_balance * (strategy.risk_percent / 100) # 手数 = 风险金额 / (风险点数 * 点值) if risk_points > 0 and point_value > 0: volume = risk_amount / (risk_points * point_value) else: volume = min_volume else: volume = strategy.fixed_volume # 应用最大风险点数限制 if risk_points > strategy.max_risk_points: print(f"[RiskManager] 风险点数 {risk_points} 超过最大限制 {strategy.max_risk_points}") return 0.0 # 限制手数范围 volume = max(min_volume, min(volume, max_volume)) # 按步长取整 volume = round(volume / volume_step) * volume_step return volume # ==================== 风险检查 ==================== def check_risk(self, symbol: str, volume: float, risk_points: float) -> Dict: """ 检查交易风险 Args: symbol: 品种 volume: 手数 risk_points: 风险点数 Returns: 检查结果 """ # 刷新账户信息 self._refresh_account_info() config = self.get_symbol_config(symbol) point_value = config.get('point_value', 1.0) # 计算风险金额 risk_amount = volume * risk_points * point_value risk_percent = (risk_amount / self._account_balance * 100) if self._account_balance > 0 else 0 # 检查每日风险限制 remaining_risk = self._daily_risk_limit - self._daily_risk_used allowed = True warnings = [] # 账户信息是否已初始化 account_initialized = self._account_balance > 0 or self._free_margin > 0 if risk_percent > 5: allowed = False warnings.append(f"单笔风险 {risk_percent:.2f}% 超过5%") if risk_percent + self._daily_risk_used > self._daily_risk_limit: allowed = False warnings.append(f"将超过每日风险限制 {self._daily_risk_limit}%") # 只有账户信息已初始化时才检查保证金 if account_initialized and self._free_margin < risk_amount: allowed = False warnings.append(f"保证金不足 (可用: {self._free_margin:.2f}, 需要: {risk_amount:.2f})") if not account_initialized: warnings.append("账户信息未初始化，跳过保证金检查") return { "allowed": allowed, "risk_amount": risk_amount, "risk_percent": round(risk_percent, 2), "daily_risk_used": self._daily_risk_used, "daily_risk_limit": self._daily_risk_limit, "remaining_risk": remaining_risk, "warnings": warnings, "account_initialized": account_initialized, } # ==================== 持仓检查 ==================== def check_position_limit(self, symbol: str, strategy: TradingStrategy, current_positions: int, same_direction: int, opposite_direction: int, action: str) -> Dict: """ 检查持仓限制 Args: symbol: 品种 strategy: 策略配置 current_positions: 当前持仓数 same_direction: 同向持仓数 opposite_direction: 反向持仓数 action: 交易方向 buy/sell Returns: 检查结果 """ allowed = True warnings = [] # 检查最大持仓数 if current_positions >= strategy.max_positions: allowed = False warnings.append(f"已达到最大持仓数 {strategy.max_positions}") # 检查同向持仓 new_same_direction = same_direction + 1 if new_same_direction > strategy.max_same_direction: allowed = False warnings.append(f"同向持仓将超过限制 {strategy.max_same_direction}") # 检查持仓冲突策略 if opposite_direction > 0: if strategy.position_conflict == "block": allowed = False warnings.append("有反向持仓，策略禁止新开仓") elif strategy.position_conflict == "allow_same": allowed = False warnings.append("有反向持仓，策略只允许同向加仓") elif strategy.position_conflict == "allow_opposite": # 允许反向 pass return { "allowed": allowed, "current_positions": current_positions, "same_direction": same_direction, "opposite_direction": opposite_direction, "max_positions": strategy.max_positions, "max_same_direction": strategy.max_same_direction, "warnings": warnings, } # ==================== 状态 ==================== def get_status(self) -> Dict: """获取状态""" return { "account_balance": self._account_balance, "account_equity": self._account_equity, "free_margin": self._free_margin, "daily_risk_limit": self._daily_risk_limit, "daily_risk_used": self._daily_risk_used, "symbol_count": len(self._symbol_config), }