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薇薇安
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@ -289,75 +289,84 @@ class RiskManager:
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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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quantity = None # 初始化为None，确保变量存在
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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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try:
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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 if entry_price > 0 else 0
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if temp_quantity > 0:
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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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else:
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stop_loss_price = None
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# 计算止损距离
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if stop_loss_price is not None and stop_loss_price > 0:
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if side == 'BUY':
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estimated_stop_loss = entry_price - (atr * atr_multiplier)
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stop_distance = entry_price - stop_loss_price
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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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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 if entry_price > 0 else None
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else:
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logger.warning(f" ⚠️ 止损距离无效 (stop_distance={stop_distance:.4f})，将使用传统方法计算仓位")
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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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logger.warning(f" ⚠️ 无法估算止损价格，将使用传统方法计算仓位")
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except Exception as e:
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logger.warning(f" ⚠️ 固定风险百分比计算失败: {e}，将使用传统方法计算仓位")
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quantity = None # 确保quantity为None，使用传统方法
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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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# 如果未使用固定风险计算或计算失败，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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