256 lines
8.3 KiB
Python
256 lines
8.3 KiB
Python
"""
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风险管理模块 - 严格控制仓位和风险
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"""
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import logging
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from typing import Dict, List, Optional
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from binance_client import BinanceClient
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import config
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logger = logging.getLogger(__name__)
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class RiskManager:
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"""风险管理类"""
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def __init__(self, client: BinanceClient):
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"""
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初始化风险管理器
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Args:
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client: 币安客户端
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"""
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self.client = client
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self.config = config.TRADING_CONFIG
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async def check_position_size(self, symbol: str, quantity: float) -> bool:
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"""
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检查单笔仓位大小是否符合要求
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Args:
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symbol: 交易对
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quantity: 下单数量
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Returns:
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是否通过检查
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"""
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try:
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# 获取账户余额
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balance = await self.client.get_account_balance()
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available_balance = balance.get('available', 0)
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if available_balance <= 0:
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logger.warning("账户余额不足")
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return False
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# 计算仓位价值（假设使用当前价格）
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ticker = await self.client.get_ticker_24h(symbol)
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if not ticker:
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return False
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current_price = ticker['price']
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position_value = quantity * current_price
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# 检查单笔仓位是否超过最大限制
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max_position_value = available_balance * self.config['MAX_POSITION_PERCENT']
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min_position_value = available_balance * self.config['MIN_POSITION_PERCENT']
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if position_value > max_position_value:
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logger.warning(
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f"{symbol} 仓位过大: {position_value:.2f} USDT > "
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f"最大限制: {max_position_value:.2f} USDT"
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)
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return False
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if position_value < min_position_value:
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logger.warning(
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f"{symbol} 仓位过小: {position_value:.2f} USDT < "
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f"最小限制: {min_position_value:.2f} USDT"
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)
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return False
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# 检查总仓位是否超过限制
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if not await self.check_total_position(position_value):
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return False
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logger.info(
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f"{symbol} 仓位检查通过: {position_value:.2f} USDT "
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f"(账户余额: {available_balance:.2f} USDT)"
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)
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return True
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except Exception as e:
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logger.error(f"检查仓位大小失败: {e}")
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return False
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async def check_total_position(self, new_position_value: float) -> bool:
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"""
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检查总仓位是否超过限制
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Args:
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new_position_value: 新仓位价值
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Returns:
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是否通过检查
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"""
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try:
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# 获取当前持仓
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positions = await self.client.get_open_positions()
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# 计算当前总仓位价值
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total_position_value = sum(
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abs(pos['positionAmt'] * pos['entryPrice'])
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for pos in positions
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)
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# 加上新仓位
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total_position_value += new_position_value
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# 获取账户余额
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balance = await self.client.get_account_balance()
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total_balance = balance.get('total', 0)
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if total_balance <= 0:
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return False
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max_total_position = total_balance * self.config['MAX_TOTAL_POSITION_PERCENT']
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if total_position_value > max_total_position:
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logger.warning(
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f"总仓位超限: {total_position_value:.2f} USDT > "
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f"最大限制: {max_total_position:.2f} USDT"
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)
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return False
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logger.info(
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f"总仓位检查通过: {total_position_value:.2f} USDT / "
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f"最大限制: {max_total_position:.2f} USDT"
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)
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return True
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except Exception as e:
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logger.error(f"检查总仓位失败: {e}")
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return False
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async def calculate_position_size(
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self,
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symbol: str,
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change_percent: float
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) -> Optional[float]:
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"""
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根据涨跌幅和风险参数计算合适的仓位大小
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Args:
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symbol: 交易对
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change_percent: 涨跌幅百分比
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Returns:
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建议的仓位数量，如果不符合条件则返回None
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"""
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try:
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# 获取账户余额
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balance = await self.client.get_account_balance()
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available_balance = balance.get('available', 0)
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if available_balance <= 0:
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logger.warning("账户余额不足")
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return None
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# 获取当前价格
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ticker = await self.client.get_ticker_24h(symbol)
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if not ticker:
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return None
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current_price = ticker['price']
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# 根据涨跌幅调整仓位大小（涨跌幅越大，仓位可以适当增加）
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base_position_percent = self.config['MAX_POSITION_PERCENT']
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# 涨跌幅超过5%时，可以适当增加仓位（但不超过1.5倍）
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if abs(change_percent) > 5:
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position_percent = min(
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base_position_percent * 1.5,
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self.config['MAX_POSITION_PERCENT'] * 1.5
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)
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else:
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position_percent = base_position_percent
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# 计算仓位价值
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position_value = available_balance * position_percent
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# 计算数量（考虑合约的最小数量精度）
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quantity = position_value / current_price
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# 检查是否通过风险控制
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if await self.check_position_size(symbol, quantity):
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return quantity
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return None
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except Exception as e:
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logger.error(f"计算仓位大小失败: {e}")
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return None
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async def should_trade(self, symbol: str, change_percent: float) -> bool:
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"""
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判断是否应该交易
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Args:
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symbol: 交易对
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change_percent: 涨跌幅百分比
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Returns:
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是否应该交易
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"""
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# 检查最小涨跌幅阈值
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if abs(change_percent) < self.config['MIN_CHANGE_PERCENT']:
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logger.debug(f"{symbol} 涨跌幅 {change_percent:.2f}% 小于阈值")
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return False
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# 检查是否已有持仓
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positions = await self.client.get_open_positions()
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existing_position = next(
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(p for p in positions if p['symbol'] == symbol),
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None
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)
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if existing_position:
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logger.info(f"{symbol} 已有持仓，跳过")
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return False
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return True
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def get_stop_loss_price(self, entry_price: float, side: str) -> float:
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"""
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计算止损价格
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Args:
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entry_price: 入场价格
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side: 方向 'BUY' 或 'SELL'
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Returns:
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止损价格
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"""
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stop_loss_percent = self.config['STOP_LOSS_PERCENT']
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if side == 'BUY': # 做多，止损价低于入场价
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return entry_price * (1 - stop_loss_percent)
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else: # 做空，止损价高于入场价
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return entry_price * (1 + stop_loss_percent)
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def get_take_profit_price(self, entry_price: float, side: str) -> float:
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"""
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计算止盈价格
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Args:
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entry_price: 入场价格
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side: 方向 'BUY' 或 'SELL'
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Returns:
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止盈价格
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"""
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take_profit_percent = self.config['TAKE_PROFIT_PERCENT']
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if side == 'BUY': # 做多，止盈价高于入场价
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return entry_price * (1 + take_profit_percent)
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else: # 做空，止盈价低于入场价
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return entry_price * (1 - take_profit_percent)
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