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薇薇安
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@ -1149,6 +1149,11 @@ class PositionManager:
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current_price=current_price,
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working_type="MARK_PRICE",
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)
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if sl_order:
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logger.info(f"{symbol} ✓ 止损单已成功挂到交易所: {sl_order.get('algoId', 'N/A')}")
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else:
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logger.error(f"{symbol} ❌ 止损单挂单失败！将依赖WebSocket监控，但可能无法及时止损")
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tp_order = await self.client.place_trigger_close_position_order(
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symbol=symbol,
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position_direction=side,
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@ -1157,6 +1162,10 @@ class PositionManager:
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current_price=current_price,
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working_type="MARK_PRICE",
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)
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if tp_order:
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logger.info(f"{symbol} ✓ 止盈单已成功挂到交易所: {tp_order.get('algoId', 'N/A')}")
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else:
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logger.warning(f"{symbol} ⚠️ 止盈单挂单失败，将依赖WebSocket监控")
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try:
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# Algo 接口返回 algoId
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@ -285,9 +285,93 @@ class RiskManager:
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if not actual_leverage or actual_leverage <= 0:
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actual_leverage = 10
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# 根据涨跌幅调整仓位大小（涨跌幅越大，保证金占比可以适当增加）
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base_position_percent = config.TRADING_CONFIG['MAX_POSITION_PERCENT']
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# ⚠️ 优化3：固定风险百分比仓位计算（凯利公式）
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# 公式：仓位大小 = (总资金 * 每笔单子承受的风险%) / (入场价 - 止损价)
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use_fixed_risk = config.TRADING_CONFIG.get('USE_FIXED_RISK_SIZING', True)
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fixed_risk_percent = config.TRADING_CONFIG.get('FIXED_RISK_PERCENT', 0.02) # 默认2%
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quantity = None
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if use_fixed_risk and entry_price and side:
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# 如果未提供止损价格，先估算
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if stop_loss_price is None:
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# 尝试使用ATR估算止损距离
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if atr and atr > 0:
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atr_multiplier = config.TRADING_CONFIG.get('ATR_STOP_LOSS_MULTIPLIER', 1.8)
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if side == 'BUY':
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estimated_stop_loss = entry_price - (atr * atr_multiplier)
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else: # SELL
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estimated_stop_loss = entry_price + (atr * atr_multiplier)
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stop_loss_price = estimated_stop_loss
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else:
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# 使用固定百分比估算（基于保证金）
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stop_loss_pct = config.TRADING_CONFIG.get('STOP_LOSS_PERCENT', 0.10)
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# 先估算一个临时仓位来计算止损距离
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temp_margin = total_balance * 0.05 # 临时使用5%保证金
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temp_notional = temp_margin * actual_leverage
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temp_quantity = temp_notional / entry_price
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stop_loss_amount = temp_margin * stop_loss_pct
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if side == 'BUY':
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estimated_stop_loss = entry_price - (stop_loss_amount / temp_quantity)
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else: # SELL
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estimated_stop_loss = entry_price + (stop_loss_amount / temp_quantity)
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stop_loss_price = estimated_stop_loss
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# 计算止损距离
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if side == 'BUY':
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stop_distance = entry_price - stop_loss_price
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else: # SELL
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stop_distance = stop_loss_price - entry_price
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if stop_distance > 0:
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# 固定风险金额
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risk_amount = total_balance * fixed_risk_percent
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# 根据止损距离反算仓位
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# 风险金额 = (入场价 - 止损价) × 数量
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# 所以：数量 = 风险金额 / (入场价 - 止损价)
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quantity = risk_amount / stop_distance
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# 计算对应的保证金和名义价值
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notional_value = quantity * entry_price
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margin_value = notional_value / actual_leverage
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logger.info(f" ⚠️ 使用固定风险百分比计算仓位:")
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logger.info(f" 固定风险: {fixed_risk_percent*100:.2f}% = {risk_amount:.4f} USDT")
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logger.info(f" 止损距离: {stop_distance:.4f} USDT ({stop_distance/entry_price*100:.2f}%)")
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logger.info(f" 计算数量: {quantity:.4f}")
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logger.info(f" 名义价值: {notional_value:.2f} USDT")
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logger.info(f" 保证金: {margin_value:.4f} USDT ({margin_value/total_balance*100:.2f}%)")
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# 检查是否超过最大仓位限制
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max_position_percent = config.TRADING_CONFIG['MAX_POSITION_PERCENT']
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max_margin_value = available_balance * max_position_percent
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if margin_value > max_margin_value:
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# 如果超过最大仓位，使用最大仓位
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logger.warning(f" ⚠️ 固定风险计算的保证金 {margin_value:.4f} USDT > 最大限制 {max_margin_value:.2f} USDT")
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logger.info(f" ✓ 调整为最大仓位限制: {max_margin_value:.2f} USDT")
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margin_value = max_margin_value
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notional_value = margin_value * actual_leverage
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quantity = notional_value / entry_price
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else:
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# 使用固定风险计算的仓位
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pass # quantity已经计算好了
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# 如果未使用固定风险计算，使用原来的方法
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if quantity is None:
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# ⚠️ 优化3：信号强度分级 - 9-10分高权重，8分轻仓
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signal_multiplier = 1.0
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if signal_strength is not None:
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signal_multipliers = config.TRADING_CONFIG.get('SIGNAL_STRENGTH_POSITION_MULTIPLIER', {8: 0.5, 9: 1.0, 10: 1.0})
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signal_multiplier = signal_multipliers.get(signal_strength, 1.0)
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if signal_strength == 8:
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logger.info(f" ⚠️ 信号强度8分，使用50%仓位（轻仓试探）")
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elif signal_strength >= 9:
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logger.info(f" ✓ 信号强度{signal_strength}分，使用100%仓位（高质量信号）")
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# 根据涨跌幅调整仓位大小（涨跌幅越大，保证金占比可以适当增加）
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base_position_percent = config.TRADING_CONFIG['MAX_POSITION_PERCENT'] * signal_multiplier
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max_position_percent = config.TRADING_CONFIG['MAX_POSITION_PERCENT'] * signal_multiplier
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min_position_percent = config.TRADING_CONFIG['MIN_POSITION_PERCENT']
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# 涨跌幅超过5%时，可以适当增加保证金占比，但必须遵守 MAX_POSITION_PERCENT 上限
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@ -307,41 +391,27 @@ class RiskManager:
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logger.info(f" 计算保证金: {margin_value:.4f} USDT ({position_percent*100:.1f}% of {available_balance:.2f})")
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logger.info(f" 计算名义价值: {notional_value:.2f} USDT (保证金 {margin_value:.4f} × 杠杆 {actual_leverage}x)")
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# 计算数量
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quantity = notional_value / current_price
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logger.info(f" 计算数量: {quantity:.4f}")
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# 计算名义价值和保证金（如果还未计算）
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if 'notional_value' not in locals() or 'margin_value' not in locals():
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notional_value = quantity * current_price
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margin_value = notional_value / actual_leverage
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# 确保仓位价值满足最小名义价值要求（币安要求至少5 USDT）
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min_notional = 5.0 # 币安合约最小名义价值
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if notional_value < min_notional:
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logger.warning(f" ⚠ 名义价值 {notional_value:.2f} USDT < 最小名义价值 {min_notional:.2f} USDT")
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# 计算需要的最小保证金来满足最小名义价值：margin >= min_notional / leverage
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required_margin = min_notional / actual_leverage
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required_margin_percent = required_margin / available_balance
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logger.info(
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f" 需要的最小保证金: {required_margin:.4f} USDT "
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f"(占比 {required_margin_percent*100:.2f}%)"
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)
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# 检查是否可以使用更大的保证金占比（但不超过最大保证金限制）
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if required_margin_percent <= max_position_percent:
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position_percent = required_margin_percent
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margin_value = required_margin
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notional_value = min_notional
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logger.info(f" ✓ 调整保证金占比到 {position_percent*100:.2f}% 以满足最小名义价值: {notional_value:.2f} USDT")
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else:
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# 即使使用最大仓位比例也无法满足最小名义价值
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max_allowed_margin = available_balance * max_position_percent
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max_allowed_notional = max_allowed_margin * actual_leverage
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logger.warning(
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f" ❌ 无法满足最小名义价值要求: "
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f"需要 {min_notional:.2f} USDT (需要保证金 {required_margin:.4f} USDT)，"
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f"但最大允许名义 {max_allowed_notional:.2f} USDT (最大保证金 {max_allowed_margin:.2f} USDT)"
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)
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logger.warning(f" 💡 建议: 提高 MAX_POSITION_PERCENT 或降低杠杆/更换币种，确保最小名义价值可满足")
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return None
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# quantity 应该已经计算好了（固定风险或传统方法）
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if quantity is None:
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logger.error(f" ❌ {symbol} 仓位计算失败：quantity为None")
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return None
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calculated_notional = quantity * current_price
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if calculated_notional < min_notional:
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# 如果计算出的名义价值仍然不足，增加数量
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required_quantity = min_notional / current_price
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logger.warning(f" ⚠ 计算出的名义价值 {calculated_notional:.2f} USDT < {min_notional:.2f} USDT")
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logger.info(f" ✓ 调整数量从 {quantity:.4f} 到 {required_quantity:.4f}")
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quantity = required_quantity
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notional_value = required_quantity * current_price
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margin_value = notional_value / actual_leverage
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# 计算名义价值和保证金（如果还未计算）
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if 'notional_value' not in locals() or 'margin_value' not in locals():
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