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修复交易记录基数虚高：禁止币×价÷杠杆发明保证金，优先计划保证金/风险金额反推。

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-08-13 00:12:02 +08:00
parent 5ad22a57da
commit 35b70777b8
4 changed files with 163 additions and 42 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crypto_monitor_gate/app.py
+10
View File
@@ -3901,6 +3901,14 @@ def margin_capital_for_trade_record(order_row):
lev = order_row["leverage"]
if "trigger_price" in keys:
trigger = order_row["trigger_price"]
stop = None
risk = None
if "initial_stop_loss" in keys:
stop = order_row["initial_stop_loss"]
if (stop is None or stop == "") and "stop_loss" in keys:
stop = order_row["stop_loss"]
if "risk_amount" in keys:
risk = order_row["risk_amount"]
return resolve_trade_record_margin_usdt(
exchange_margin_usdt=_order_row_exchange_margin_usdt(order_row),
plan_margin_capital=plan,
@@ -3908,6 +3916,8 @@ def margin_capital_for_trade_record(order_row):
notional_value=notional,
leverage=lev,
trigger_price=trigger,
stop_loss=stop,
risk_amount=risk,
)
lib/instance/records_list_lib.py
+3
View File
@@ -20,6 +20,9 @@ def enrich_trade_price_displays(
trigger_price=item.get("trigger_price"),
leverage=item.get("leverage"),
symbol=item.get("symbol"),
stop_loss=item.get("stop_loss"),
initial_stop_loss=item.get("initial_stop_loss"),
risk_amount=item.get("risk_amount"),
)
if fixed is not None:
item["margin_capital"] = fixed
lib/trade/trade_margin_record_lib.py
+82 -24
View File
@@ -1,4 +1,4 @@
"""交易记录「基数」= U 保证金;防止把折算标的(币数量)误写成/误显示为基数."""
"""交易记录「基数」= U 保证金;防止币数量/账户保证金误入,展示时禁止用币×价÷杠杆虚增."""
from __future__ import annotations
from typing import Any, Optional
@@ -55,13 +55,33 @@ def looks_like_coin_amount_as_margin(
return False
def margin_from_risk_amount(
risk_amount: Any,
*,
trigger_price: Any,
stop_loss: Any,
leverage: Any,
) -> Optional[float]:
"""由风险金额反推保证金: risk ≈ margin × lev × |entry-sl| / entry."""
risk = _pos_float(risk_amount)
px = _pos_float(trigger_price)
sl = _pos_float(stop_loss)
lev = _pos_float(leverage)
if risk is None or px is None or sl is None or lev is None or lev <= 0 or px <= 0:
return None
dist = abs(px - sl)
if dist <= 0:
return None
return round(risk * px / (lev * dist), 2)
def coin_amount_to_margin_usdt(
coin_amount: Any,
*,
trigger_price: Any,
leverage: Any,
) -> Optional[float]:
"""币数量 × 价格 / 杠杆 ≈ USDT 保证金."""
"""币数量 × 价格 / 杠杆 ≈ USDT 保证金(仅作末位兜底,展示层勿优先使用)."""
coin = _pos_float(coin_amount)
px = _pos_float(trigger_price)
lev = _pos_float(leverage)
@@ -77,7 +97,7 @@ def sanitize_exchange_initial_margin(
order_leverage: Any = None,
coin_amount: Any = None,
) -> Optional[float]:
"""交易所快照保证金清洗:拒绝币数量误入,必要时用名义/杠杆粗算."""
"""交易所快照保证金清洗:拒绝币数量/过大账户保证金,必要时用名义/杠杆粗算."""
m = _pos_float(initial)
coin = _pos_float(coin_amount)
if m is not None and coin is not None and _near(m, coin, rel=0.05, abs_tol=1e-4):
@@ -87,8 +107,12 @@ def sanitize_exchange_initial_margin(
approx = None
if notional_v is not None and lev is not None and lev > 0:
approx = notional_v / lev
if m is not None and approx is not None and approx >= 1.0 and m < max(1.0, approx * 0.05):
m = None
if m is not None and approx is not None and approx >= 1.0:
if m < max(1.0, approx * 0.05):
m = None
elif m > approx * 2.5:
# 常见于全仓 collateral≈账户权益,远大于本仓占用
m = None
if m is not None:
return round(m, 4)
if approx is not None and approx > 0:
@@ -104,10 +128,22 @@ def resolve_trade_record_margin_usdt(
notional_value: Any = None,
leverage: Any = None,
trigger_price: Any = None,
stop_loss: Any = None,
risk_amount: Any = None,
) -> Optional[float]:
"""写入 trade_records.基数:优先交易所快照,异常时回退计划保证金."""
"""写入 trade_records.基数:计划保证金优先于异常交易所快照;禁止币×价÷杠杆虚增."""
plan = _pos_float(plan_margin_capital)
ex = _pos_float(exchange_margin_usdt)
if plan is not None and looks_like_coin_amount_as_margin(
plan,
trigger_price=trigger_price,
leverage=leverage,
base_amount=base_amount,
notional_value=notional_value,
):
plan = None
if ex is not None and looks_like_coin_amount_as_margin(
ex,
trigger_price=trigger_price,
@@ -116,19 +152,28 @@ def resolve_trade_record_margin_usdt(
plan_margin=plan,
notional_value=notional_value,
):
# 快照像币数量:优先用计划保证金;无计划时再按币×价/杠杆反推
if plan is not None:
return round(plan, 2)
repaired = coin_amount_to_margin_usdt(
ex, trigger_price=trigger_price, leverage=leverage
)
if repaired is not None:
return repaired
ex = None
if ex is not None:
return round(ex, 2)
if ex is not None and plan is not None and ex > plan * 2.5:
ex = None
if plan is not None:
return round(plan, 2)
if ex is not None:
return round(ex, 2)
from_risk = margin_from_risk_amount(
risk_amount,
trigger_price=trigger_price,
stop_loss=stop_loss,
leverage=leverage,
)
if from_risk is not None:
return from_risk
notional = _pos_float(notional_value)
lev = _pos_float(leverage)
if notional is not None and lev is not None and lev > 0:
return round(notional / lev, 2)
return None
@@ -138,18 +183,31 @@ def repair_stored_margin_capital(
trigger_price: Any = None,
leverage: Any = None,
symbol: Any = None,
stop_loss: Any = None,
risk_amount: Any = None,
initial_stop_loss: Any = None,
) -> Optional[float]:
"""展示/列表:修复已入库的「币数量当基数」旧数据."""
del symbol # 预留按币种阈值;当前用价位启发式即可
"""展示/列表:修复已入库的异常基数;禁止把币数量换算成虚高保证金."""
del symbol # 预留按币种阈值
m = _pos_float(margin_capital)
sl = stop_loss if stop_loss not in (None, "") else initial_stop_loss
from_risk = margin_from_risk_amount(
risk_amount,
trigger_price=trigger_price,
stop_loss=sl,
leverage=leverage,
)
if m is None:
return None
return from_risk
if looks_like_coin_amount_as_margin(
m, trigger_price=trigger_price, leverage=leverage
):
repaired = coin_amount_to_margin_usdt(
m, trigger_price=trigger_price, leverage=leverage
)
if repaired is not None:
return repaired
return from_risk
if from_risk is not None and m > from_risk * 2.5:
# 已入库虚高(如曾用币×价÷杠杆「纠偏」成 384)
return from_risk
return round(m, 2)
tests/test_trade_margin_record_lib.py
+68 -18
View File
@@ -1,4 +1,4 @@
"""交易记录基数(保证金)口径:币数量误记为基数时的修复."""
"""交易记录基数(保证金)口径:币数量误记 / 虚高纠偏."""
from __future__ import annotations
import unittest
@@ -6,6 +6,7 @@ import unittest
from lib.trade.trade_margin_record_lib import (
coin_amount_to_margin_usdt,
looks_like_coin_amount_as_margin,
margin_from_risk_amount,
repair_stored_margin_capital,
resolve_trade_record_margin_usdt,
sanitize_exchange_initial_margin,
@@ -33,13 +34,21 @@ class TestTradeMarginRecord(unittest.TestCase):
)
def test_coin_to_margin(self):
# 0.12 BTC * 64054 / 20 ≈ 384.32
# 仅作数学兜底函数;展示层不得优先用它虚增高额
self.assertAlmostEqual(
coin_amount_to_margin_usdt(0.12, trigger_price=64054.1, leverage=20),
384.32,
places=2,
)
def test_margin_from_risk(self):
# risk = 110 * 20 * 445.9 / 64054.1 ≈ 15.32
risk = 110.0 * 20.0 * 445.9 / 64054.1
out = margin_from_risk_amount(
risk, trigger_price=64054.1, stop_loss=64500.0, leverage=20
)
self.assertAlmostEqual(out, 110.0, places=1)
def test_resolve_prefers_plan_when_exchange_is_coin(self):
out = resolve_trade_record_margin_usdt(
exchange_margin_usdt=0.12,
@@ -50,31 +59,60 @@ class TestTradeMarginRecord(unittest.TestCase):
)
self.assertEqual(out, 117.71)
def test_resolve_repairs_coin_when_no_plan(self):
def test_resolve_prefers_plan_over_inflated_exchange(self):
out = resolve_trade_record_margin_usdt(
exchange_margin_usdt=384.32,
plan_margin_capital=117.71,
leverage=20,
trigger_price=64054.1,
)
self.assertEqual(out, 117.71)
def test_resolve_uses_risk_when_no_plan(self):
risk = 110.0 * 20.0 * 445.9 / 64054.1
out = resolve_trade_record_margin_usdt(
exchange_margin_usdt=0.12,
plan_margin_capital=None,
leverage=20,
trigger_price=64054.1,
stop_loss=64500.0,
risk_amount=risk,
)
self.assertAlmostEqual(out, 110.0, places=1)
def test_resolve_does_not_invent_coin_times_price(self):
out = resolve_trade_record_margin_usdt(
exchange_margin_usdt=0.12,
plan_margin_capital=None,
leverage=20,
trigger_price=64054.1,
)
self.assertEqual(out, 384.32)
self.assertIsNone(out)
def test_resolve_uses_plan_when_cannot_repair(self):
out = resolve_trade_record_margin_usdt(
exchange_margin_usdt=0.05,
plan_margin_capital=100.0,
leverage=None,
trigger_price=None,
base_amount=0.05,
)
self.assertEqual(out, 100.0)
def test_repair_stored_display(self):
self.assertEqual(
def test_repair_stored_uses_risk_not_coin_times_price(self):
risk = 110.0 * 20.0 * 445.9 / 64054.1
self.assertAlmostEqual(
repair_stored_margin_capital(
0.12, trigger_price=64054.1, leverage=20
0.12,
trigger_price=64054.1,
leverage=20,
stop_loss=64500.0,
risk_amount=risk,
),
384.32,
110.0,
places=1,
)
# 曾被错误「纠偏」成 384 的入库值,用风险金额压回
self.assertAlmostEqual(
repair_stored_margin_capital(
384.32,
trigger_price=64054.1,
leverage=20,
stop_loss=64500.0,
risk_amount=risk,
),
110.0,
places=1,
)
self.assertEqual(
repair_stored_margin_capital(
@@ -82,6 +120,18 @@ class TestTradeMarginRecord(unittest.TestCase):
),
108.97,
)
# 无风险金额时:绝不把 0.12 换成 384
self.assertIsNone(
repair_stored_margin_capital(
0.12, trigger_price=64054.1, leverage=20
)
)
def test_sanitize_rejects_oversized_collateral(self):
out = sanitize_exchange_initial_margin(
384.32, notional=2200.0, order_leverage=20, coin_amount=0.034
)
self.assertAlmostEqual(out, 110.0, places=1)
def test_sanitize_exchange_margin(self):
out = sanitize_exchange_initial_margin(