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@@ -1288,9 +1288,6 @@ def open_position(context, security, target_hands, direction, single_hand_margin
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f"保证金: {margin_change:.0f}, 资金变化: {cash_change:.0f}, 原因: {reason}, "
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f"穿越均线: {crossed_ma_str}")
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- # log.debug(f"开仓后检查并补足保证金占用，使其满足最小要求")
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- # verify_position_margin_requirement(context, security)
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-
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return True
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except Exception as e:
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@@ -1298,145 +1295,6 @@ def open_position(context, security, target_hands, direction, single_hand_margin
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return False
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-def verify_position_margin_requirement(context, security):
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- """开仓后检查并补足保证金占用，使其满足最小要求"""
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- try:
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- min_margin = getattr(g, 'max_margin_per_position', 0)
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- trade_info = g.trade_history.get(security)
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-
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- if min_margin <= 0 or not trade_info:
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- return True
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-
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- actual_margin = trade_info.get('actual_margin', 0)
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- actual_hands = trade_info.get('actual_hands', 0)
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-
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- if actual_hands <= 0:
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- log.warning(f"保证金校验跳过: {security} 无有效持仓信息")
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- return False
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-
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- if actual_margin >= min_margin:
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- log.debug(f"{security} 实际保证金 {actual_margin:.0f} 已满足要求 {min_margin:.0f}")
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- return True
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-
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- underlying_symbol = security.split('.')[0][:-4]
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- direction = trade_info.get('direction')
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- multiplier = get_multiplier(underlying_symbol)
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-
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- current_data = get_current_data()
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- entry_price = trade_info.get('entry_price')
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-
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- def _safe_price(data, symbol):
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- try:
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- return data[symbol].last_price
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- except Exception:
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- return None
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-
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- market_price = _safe_price(current_data, security)
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- price_for_rate = entry_price if entry_price and entry_price > 0 else market_price
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-
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- if not price_for_rate or price_for_rate <= 0 or multiplier <= 0:
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- log.warning(f"保证金校验失败: {security} 缺少价格或乘数数据")
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- return False
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-
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- contract_value = price_for_rate * multiplier * actual_hands
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- if contract_value <= 0:
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- log.warning(f"保证金校验失败: {security} 名义价值无效")
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- return False
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-
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- actual_margin_rate = actual_margin / contract_value
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- if actual_margin_rate <= 0:
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- log.warning(f"保证金校验失败: {security} 无法计算保证金比例")
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- return False
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-
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- # 更新对应方向的保证金率配置
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- if underlying_symbol in g.futures_config and direction:
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- margin_cfg = g.futures_config[underlying_symbol].setdefault('margin_rate', {})
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- prev_rate = margin_cfg.get(direction)
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- margin_cfg[direction] = actual_margin_rate
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- prev_rate_display = f"{prev_rate:.4f}" if prev_rate else "0.0000"
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- log.info(f"{underlying_symbol} {direction} 保证金率校准: {prev_rate_display} -> {actual_margin_rate:.4f}")
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-
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- max_iterations = 3
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- while trade_info['actual_margin'] < min_margin and max_iterations > 0:
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- max_iterations -= 1
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- market_data = get_current_data()
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- latest_price = _safe_price(market_data, security) or price_for_rate
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-
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- if not latest_price or latest_price <= 0:
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- log.warning(f"保证金补仓失败: {security} 缺少最新价格")
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- break
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-
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- single_hand_margin = latest_price * multiplier * actual_margin_rate
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- if single_hand_margin <= 0:
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- log.warning(f"保证金补仓失败: {security} 无法计算单手保证金")
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- break
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-
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- ideal_total_hands = math.ceil(min_margin / single_hand_margin)
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- if ideal_total_hands * single_hand_margin > min_margin:
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- ideal_total_hands = max(int(min_margin / single_hand_margin), trade_info['actual_hands'])
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-
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- if ideal_total_hands <= trade_info['actual_hands']:
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- log.info(f"{security} 无法进一步增仓，单手保证金 {single_hand_margin:.0f} 限制")
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- break
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-
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- available_cash = context.portfolio.available_cash * g.usage_percentage
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- if available_cash <= 0:
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- log.warning(f"{security} 可用资金不足，无法补仓")
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- break
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-
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- max_additional_by_cash = int(available_cash / single_hand_margin)
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- if max_additional_by_cash <= 0:
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- log.warning(f"{security} 可用资金不足以增加1手")
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- break
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-
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- target_hands = min(ideal_total_hands, trade_info['actual_hands'] + max_additional_by_cash)
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- additional_hands = target_hands - trade_info['actual_hands']
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-
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- if additional_hands <= 0:
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- log.info(f"{security} 目标手数未增加，跳过补仓")
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- break
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-
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- cash_before = context.portfolio.available_cash
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- order = order_target(security, target_hands, side=direction)
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-
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- if not order or order.filled <= 0:
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- log.warning(f"{security} 保证金补仓订单未成交")
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- break
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-
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- cash_after = context.portfolio.available_cash
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- additional_margin_used = max(0, cash_before - cash_after)
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- if additional_margin_used <= 0:
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- additional_margin_used = order.filled * single_hand_margin
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-
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- trade_info['actual_hands'] += order.filled
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- trade_info['target_hands'] = target_hands
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- trade_info['actual_margin'] += additional_margin_used
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-
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- g.today_trades.append({
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- 'security': security,
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- 'underlying_symbol': underlying_symbol,
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- 'direction': direction,
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- 'order_amount': order.filled,
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- 'order_price': order.avg_cost if order.avg_cost else order.price,
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- 'cash_change': additional_margin_used,
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- 'margin_change': additional_margin_used,
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- 'time': context.current_dt,
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- 'reason': 'margin_adjustment'
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- })
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-
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- log.info(f"{security} 保证金补仓成功: +{order.filled}手, 总手数 {trade_info['actual_hands']}手, "
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- f"总保证金 {trade_info['actual_margin']:.0f}/{min_margin:.0f}")
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-
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- if trade_info['actual_margin'] < min_margin:
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- log.warning(f"{security} 补仓后仍未达到保证金要求 {trade_info['actual_margin']:.0f}/{min_margin:.0f}")
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- return False
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-
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- return True
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-
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- except Exception as e:
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- log.warning(f"保证金校验异常 {security}: {str(e)}")
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- return False
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-
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def close_position(context, security, direction):
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"""平仓"""
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try:
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maxfeng