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