457 lines
20 KiB
Python
457 lines
20 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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try:
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from .binance_client import BinanceClient
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from . import config
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except ImportError:
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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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logger.info(f"检查 {symbol} 单笔仓位大小...")
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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(f"❌ {symbol} 账户可用余额不足: {available_balance:.2f} USDT")
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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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logger.warning(f"❌ {symbol} 无法获取价格数据")
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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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max_position_pct = self.config['MAX_POSITION_PERCENT'] * 100
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min_position_pct = self.config['MIN_POSITION_PERCENT'] * 100
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logger.info(f" 数量: {quantity:.4f}")
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logger.info(f" 价格: {current_price:.4f} USDT")
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logger.info(f" 仓位价值: {position_value:.2f} USDT")
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logger.info(f" 单笔最大限制: {max_position_value:.2f} USDT ({max_position_pct:.1f}%)")
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logger.info(f" 单笔最小限制: {min_position_value:.2f} USDT ({min_position_pct:.1f}%)")
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# 使用小的容差来处理浮点数精度问题（0.01 USDT）
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tolerance = 0.01
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if position_value > max_position_value + tolerance:
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logger.warning(
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f"❌ {symbol} 单笔仓位过大: {position_value:.2f} USDT > "
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f"最大限制: {max_position_value:.2f} USDT "
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f"(超出: {position_value - max_position_value:.2f} USDT)"
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)
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return False
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elif position_value > max_position_value:
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# 在容差范围内，允许通过（浮点数精度问题）
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logger.info(
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f"⚠ {symbol} 仓位价值略超限制但 within 容差: "
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f"{position_value:.2f} USDT vs {max_position_value:.2f} USDT "
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f"(差异: {position_value - max_position_value:.4f} USDT)"
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)
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if position_value < min_position_value:
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logger.warning(
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f"❌ {symbol} 单笔仓位过小: {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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logger.info(f"✓ {symbol} 单笔仓位大小检查通过")
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# 检查总仓位是否超过限制
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logger.info(f"检查 {symbol} 总仓位限制...")
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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} 所有仓位检查通过: {position_value:.2f} USDT "
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f"(账户可用余额: {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 {symbol}: {e}", exc_info=True)
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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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current_position_values = []
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total_position_value = 0
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for pos in positions:
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position_value = abs(pos['positionAmt'] * pos['entryPrice'])
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current_position_values.append({
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'symbol': pos['symbol'],
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'value': position_value,
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'amount': pos['positionAmt'],
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'entryPrice': pos['entryPrice']
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})
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total_position_value += position_value
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# 加上新仓位
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total_with_new = 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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available_balance = balance.get('available', 0)
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if total_balance <= 0:
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logger.warning("账户总余额为0，无法开仓")
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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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max_total_position_pct = self.config['MAX_TOTAL_POSITION_PERCENT'] * 100
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# 详细日志
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logger.info("=" * 60)
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logger.info("总仓位检查详情:")
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logger.info(f" 账户总余额: {total_balance:.2f} USDT")
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logger.info(f" 账户可用余额: {available_balance:.2f} USDT")
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logger.info(f" 总仓位上限: {max_total_position:.2f} USDT ({max_total_position_pct:.1f}%)")
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logger.info(f" 当前持仓数量: {len(positions)} 个")
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if current_position_values:
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logger.info(" 当前持仓明细:")
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for pos_info in current_position_values:
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logger.info(
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f" - {pos_info['symbol']}: "
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f"{pos_info['value']:.2f} USDT "
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f"(数量: {pos_info['amount']:.4f}, "
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f"入场价: {pos_info['entryPrice']:.4f})"
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)
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logger.info(f" 当前总仓位: {total_position_value:.2f} USDT")
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logger.info(f" 新仓位价值: {new_position_value:.2f} USDT")
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logger.info(f" 开仓后总仓位: {total_with_new:.2f} USDT")
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logger.info(f" 剩余可用仓位: {max_total_position - total_position_value:.2f} USDT")
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if total_with_new > max_total_position:
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logger.warning("=" * 60)
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logger.warning(
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f"❌ 总仓位超限: {total_with_new:.2f} USDT > "
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f"最大限制: {max_total_position:.2f} USDT"
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)
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logger.warning(
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f" 超出: {total_with_new - max_total_position:.2f} USDT "
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f"({((total_with_new - max_total_position) / max_total_position * 100):.1f}%)"
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)
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logger.warning(" 建议: 平掉部分持仓或等待现有持仓平仓后再开新仓")
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logger.warning("=" * 60)
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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_with_new:.2f} USDT / "
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f"最大限制: {max_total_position:.2f} USDT "
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f"({(total_with_new / max_total_position * 100):.1f}%)"
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)
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logger.info("=" * 60)
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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}", exc_info=True)
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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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logger.info(f"开始计算 {symbol} 的仓位大小...")
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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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total_balance = balance.get('total', 0)
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logger.info(f" 账户可用余额: {available_balance:.2f} USDT")
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logger.info(f" 账户总余额: {total_balance:.2f} USDT")
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if available_balance <= 0:
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logger.warning(f"❌ {symbol} 账户可用余额不足: {available_balance:.2f} USDT")
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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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logger.warning(f"❌ {symbol} 无法获取价格数据")
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return None
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current_price = ticker['price']
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logger.info(f" 当前价格: {current_price:.4f} USDT")
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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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max_position_percent = self.config['MAX_POSITION_PERCENT']
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min_position_percent = self.config['MIN_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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max_position_percent * 1.5
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)
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logger.info(f" 涨跌幅 {change_percent:.2f}% > 5%，使用增强仓位比例: {position_percent*100:.1f}%")
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else:
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position_percent = base_position_percent
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logger.info(f" 涨跌幅 {change_percent:.2f}%，使用标准仓位比例: {position_percent*100:.1f}%")
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# 计算仓位价值
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position_value = available_balance * position_percent
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logger.info(f" 计算仓位价值: {position_value:.2f} USDT ({position_percent*100:.1f}% of {available_balance:.2f})")
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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 position_value < min_notional:
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logger.warning(f" ⚠ 仓位价值 {position_value:.2f} USDT < 最小名义价值 {min_notional:.2f} USDT")
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# 计算需要的最小仓位比例来满足最小名义价值
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required_position_percent = min_notional / available_balance
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logger.info(f" 需要的最小仓位比例: {required_position_percent*100:.2f}% (最小名义价值 {min_notional:.2f} USDT / 可用余额 {available_balance:.2f} USDT)")
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# 检查是否可以使用更大的仓位比例（但不超过最大仓位限制）
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if required_position_percent <= max_position_percent:
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# 可以使用更大的仓位比例来满足最小名义价值
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position_percent = required_position_percent
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position_value = min_notional
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logger.info(f" ✓ 调整仓位比例到 {position_percent*100:.2f}% 以满足最小名义价值: {position_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_value = available_balance * max_position_percent
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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 (仓位比例 {required_position_percent*100:.2f}%)，"
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f"但最大允许 {max_allowed_value:.2f} USDT (仓位比例 {max_position_percent*100:.1f}%)"
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)
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logger.warning(f" 💡 建议: 增加账户余额到至少 {min_notional / max_position_percent:.2f} USDT 才能满足最小名义价值要求")
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return None
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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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logger.info(f" 计算数量: {quantity:.4f} (价值: {position_value:.2f} / 价格: {current_price:.4f})")
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# 验证计算出的数量对应的名义价值
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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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position_value = required_quantity * current_price
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# 检查是否通过风险控制
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logger.info(f" 检查仓位大小是否符合风险控制要求...")
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if await self.check_position_size(symbol, quantity):
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logger.info(f"✓ {symbol} 仓位计算成功: {quantity:.4f} (价值: {position_value:.2f} USDT, 名义价值: {quantity * current_price:.2f} USDT)")
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return quantity
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else:
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logger.warning(f"❌ {symbol} 仓位检查未通过，无法开仓")
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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 {symbol}: {e}", exc_info=True)
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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(
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self,
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entry_price: float,
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side: str,
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stop_loss_pct: Optional[float] = None,
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klines: Optional[List] = None,
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bollinger: Optional[Dict] = None,
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atr: Optional[float] = None
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) -> float:
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"""
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计算止损价格（基于支撑/阻力的动态止损）
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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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stop_loss_pct: 止损百分比，如果为None则使用配置值
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klines: K线数据，用于计算支撑/阻力位
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bollinger: 布林带数据，用于计算动态止损
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atr: 平均真实波幅，用于计算动态止损
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Returns:
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止损价格
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"""
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# 优先使用基于技术结构的动态止损
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if klines and len(klines) >= 10:
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# 计算支撑/阻力位
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low_prices = [float(k[3]) for k in klines[-20:]] # 最近20根K线的最低价
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high_prices = [float(k[2]) for k in klines[-20:]] # 最近20根K线的最高价
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if side == 'BUY': # 做多，止损放在支撑位下方
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# 找到近期波段低点
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recent_low = min(low_prices)
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# 止损放在低点下方0.5-1%
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buffer = entry_price * 0.005 # 0.5%缓冲
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dynamic_stop = recent_low - buffer
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# 如果布林带可用，也可以考虑布林带下轨
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if bollinger and bollinger.get('lower'):
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bollinger_stop = bollinger['lower'] * 0.995 # 布林带下轨下方0.5%
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dynamic_stop = max(dynamic_stop, bollinger_stop)
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# 确保止损不超过固定止损范围（1%-5%）
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fixed_stop_pct = stop_loss_pct or self.config['STOP_LOSS_PERCENT']
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max_stop = entry_price * (1 - 0.01) # 最多1%止损
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min_stop = entry_price * (1 - 0.05) # 最少5%止损（极端情况）
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dynamic_stop = max(min_stop, min(max_stop, dynamic_stop))
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logger.info(
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f"动态止损计算 (BUY): 入场价={entry_price:.4f}, "
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f"近期低点={recent_low:.4f}, 动态止损={dynamic_stop:.4f}, "
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f"止损比例={((entry_price - dynamic_stop) / entry_price * 100):.2f}%"
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)
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return dynamic_stop
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else: # 做空，止损放在阻力位上方
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# 找到近期波段高点
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recent_high = max(high_prices)
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# 止损放在高点上方0.5-1%
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buffer = entry_price * 0.005 # 0.5%缓冲
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dynamic_stop = recent_high + buffer
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||
# 如果布林带可用，也可以考虑布林带上轨
|
||
if bollinger and bollinger.get('upper'):
|
||
bollinger_stop = bollinger['upper'] * 1.005 # 布林带上轨上方0.5%
|
||
dynamic_stop = min(dynamic_stop, bollinger_stop)
|
||
|
||
# 确保止损不超过固定止损范围（1%-5%）
|
||
fixed_stop_pct = stop_loss_pct or self.config['STOP_LOSS_PERCENT']
|
||
min_stop = entry_price * (1 + 0.01) # 最少1%止损
|
||
max_stop = entry_price * (1 + 0.05) # 最多5%止损（极端情况）
|
||
|
||
dynamic_stop = min(max_stop, max(min_stop, dynamic_stop))
|
||
|
||
logger.info(
|
||
f"动态止损计算 (SELL): 入场价={entry_price:.4f}, "
|
||
f"近期高点={recent_high:.4f}, 动态止损={dynamic_stop:.4f}, "
|
||
f"止损比例={((dynamic_stop - entry_price) / entry_price * 100):.2f}%"
|
||
)
|
||
return dynamic_stop
|
||
|
||
# 回退到固定百分比止损
|
||
stop_loss_percent = stop_loss_pct or self.config['STOP_LOSS_PERCENT']
|
||
|
||
if side == 'BUY': # 做多，止损价低于入场价
|
||
return entry_price * (1 - stop_loss_percent)
|
||
else: # 做空，止损价高于入场价
|
||
return entry_price * (1 + stop_loss_percent)
|
||
|
||
def get_take_profit_price(
|
||
self,
|
||
entry_price: float,
|
||
side: str,
|
||
take_profit_pct: Optional[float] = None
|
||
) -> float:
|
||
"""
|
||
计算止盈价格
|
||
|
||
Args:
|
||
entry_price: 入场价格
|
||
side: 方向 'BUY' 或 'SELL'
|
||
take_profit_pct: 止盈百分比，如果为None则使用配置值
|
||
|
||
Returns:
|
||
止盈价格
|
||
"""
|
||
take_profit_percent = take_profit_pct or self.config['TAKE_PROFIT_PERCENT']
|
||
|
||
if side == 'BUY': # 做多，止盈价高于入场价
|
||
return entry_price * (1 + take_profit_percent)
|
||
else: # 做空，止盈价低于入场价
|
||
return entry_price * (1 - take_profit_percent)
|