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fix: 交易安全审计修复 — 补偿平仓、中控同步、滚仓/趋势防护

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-07-04 22:44:16 +08:00
parent df28e6dfb8
commit eb975b0133
11 changed files with 675 additions and 162 deletions
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crypto_monitor_gate/app.py
+132 -91
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@@ -131,6 +131,9 @@ from lib.key_monitor.trigger_entry_key_monitor_lib import (
TRIGGER_ENTRY_VALIDITY_HOURS,
check_trigger_entry_intent_limit,
count_pending_trigger_entries,
acquire_trigger_entry_exec_lock,
is_trigger_entry_in_flight_row,
release_trigger_entry_exec_lock,
is_breakout_trigger_entry_key_monitor_type,
is_trigger_entry_expired,
is_trigger_entry_key_monitor_type,
@@ -3135,7 +3138,7 @@ def _gate_place_tp_sl_orders_position_price_orders(exchange_symbol, direction, s
try:
exchange.privateFuturesPostSettlePriceOrders(_payload(tp_s, tp_rule))
except Exception:
cancel_gate_swap_trigger_orders(exchange_symbol)
# 保留已挂止损，仅放弃本次 TP；上层可补偿平仓或重试
raise
return
except Exception as e:
@@ -3252,6 +3255,27 @@ def ensure_markets_loaded(force=False):
MARKETS_LOADED = True
def _abort_market_open_after_tpsl_failure(exchange_symbol, direction, order, planned_amount):
"""TP/SL 挂失败时市价平掉刚开的仓并撤残留条件单。"""
from lib.trade.compensating_close_lib import run_compensating_close
def _close():
ensure_markets_loaded()
try:
cancel_gate_swap_trigger_orders(exchange_symbol)
except Exception:
pass
live = get_live_position_contracts(exchange_symbol, direction)
amt = live if live is not None and live > 0 else _gate_contracts_amount_for_tpsl(order, planned_amount)
if amt is None or float(amt) <= 0:
return
side = "sell" if direction == "long" else "buy"
params = build_gate_order_params(direction, reduce_only=True)
exchange.create_order(exchange_symbol, "market", side, float(amt), None, params)
run_compensating_close(_close, log_prefix="gate_compensating_close")
def place_exchange_order(exchange_symbol, direction, amount, leverage, stop_loss=None, take_profit=None):
ensure_markets_loaded()
exchange.set_leverage(leverage, exchange_symbol)
@@ -3265,22 +3289,48 @@ def place_exchange_order(exchange_symbol, direction, amount, leverage, stop_loss
_gate_place_tp_sl_orders(exchange_symbol, direction, contracts_amt, stop_loss, take_profit)
order["tpsl_attached"] = True
except RuntimeError:
_abort_market_open_after_tpsl_failure(exchange_symbol, direction, order, amount)
raise
except Exception as e:
_abort_market_open_after_tpsl_failure(exchange_symbol, direction, order, amount)
raise RuntimeError(f"交易所未接受条件止盈/止损委托，已拒绝开仓：{str(e)}") from e
return order
def close_exchange_order(order_row):
"""
市价全平。数量优先取交易所当前持仓张数，避免仅用入库 order_amount 导致平不干净。
"""
ensure_markets_loaded()
exchange_symbol = order_row["exchange_symbol"] or normalize_exchange_symbol(order_row["symbol"])
amount = float(order_row["order_amount"] or 0)
if amount <= 0:
raise ValueError("平仓失败：缺少有效下单数量")
direction = order_row["direction"]
db_amt = float(order_row["order_amount"] or 0)
side = "sell" if direction == "long" else "buy"
params = build_gate_order_params(direction, reduce_only=True)
return exchange.create_order(exchange_symbol, "market", side, amount, None, params)
last_resp = None
for _ in range(3):
live = get_live_position_contracts(exchange_symbol, direction)
if live is not None and live > 0:
raw_amt = live
else:
raw_amt = db_amt
if raw_amt <= 0:
if last_resp is not None:
return last_resp
raise ValueError("平仓失败：缺少有效下单数量")
try:
amount = float(exchange.amount_to_precision(exchange_symbol, raw_amt))
except Exception:
amount = float(raw_amt)
if amount <= 0:
if last_resp is not None:
return last_resp
raise ValueError("平仓失败：数量经精度舍入后为 0")
params = build_gate_order_params(direction, reduce_only=True)
last_resp = exchange.create_order(exchange_symbol, "market", side, amount, None, params)
live_after = get_live_position_contracts(exchange_symbol, direction)
if live_after is None or live_after <= 0:
return last_resp
return last_resp
def _gate_swap_trigger_order_params():
@@ -4113,89 +4163,71 @@ def resolve_synced_flat_close(row, opened_at_str, opened_at_ms=None, *, prefer_m
)
def _finalize_hub_flat_monitor(conn, r, *, result, pnl_amount, closed_at, miss_reason):
opened_at = get_opened_at_value(r)
closed_at_dt = parse_dt_for_trading_day(closed_at) or app_now()
hold_seconds = calc_hold_seconds(opened_at, closed_at_dt)
session_date = r["session_date"] or get_trading_day(closed_at_dt)
update_session_capital(conn, session_date, pnl_amount)
insert_trade_record(
conn,
symbol=r["symbol"],
monitor_type=trade_record_monitor_type(conn, r),
trend_plan_id=trend_plan_id_from_monitor_row(r),
key_signal_type=order_row_key_signal_type(r),
direction=r["direction"],
trigger_price=r["trigger_price"],
stop_loss=r["stop_loss"],
initial_stop_loss=r["initial_stop_loss"] or r["stop_loss"],
take_profit=r["take_profit"],
margin_capital=margin_capital_for_trade_record(r),
leverage=r["leverage"],
pnl_amount=pnl_amount,
hold_seconds=hold_seconds,
trade_style=r["trade_style"],
risk_amount=r["risk_amount"],
planned_rr=calc_rr_ratio(
r["direction"],
r["trigger_price"],
r["initial_stop_loss"] or r["stop_loss"],
r["take_profit"],
),
actual_rr=calc_actual_rr(pnl_amount, r["risk_amount"]),
result=result,
miss_reason=handoff_trade_miss_reason(miss_reason, r),
opened_at=opened_at,
closed_at=closed_at,
)
conn.execute("UPDATE order_monitors SET status='stopped' WHERE id=?", (r["id"],))
clear_key_sizing_snapshot_if_flat(conn, r["session_date"] or get_trading_day())
def reconcile_hub_external_close(conn, symbol, direction):
"""中控市价全平后：立即同步匹配 order_monitor，并读 Gate 平仓历史。"""
if not exchange_private_api_configured():
return {"ok": False, "msg": "未配置 GATE_API_KEY / GATE_API_SECRET", "synced": 0}
from lib.exchange.gate_position_history_lib import unified_symbol_for_match
from lib.hub.hub_reconcile_flat_lib import reconcile_hub_external_close_impl
from lib.hub.hub_symbol_lib import symbols_match
sym_u = unified_symbol_for_match(symbol)
dir_l = (direction or "").strip().lower()
if dir_l not in ("long", "short"):
return {"ok": False, "msg": "side 须为 long 或 short", "synced": 0}
synced = 0
rows = conn.execute(
"SELECT * FROM order_monitors WHERE status IN ('active', 'error')"
).fetchall()
for r in rows:
if unified_symbol_for_match(r["symbol"]) != sym_u:
continue
if (r["direction"] or "").strip().lower() != dir_l:
continue
oid = int(r["id"])
if r["status"] == "error":
opened_at_chk = get_opened_at_value(r)
existing = conn.execute(
"SELECT id FROM trade_records WHERE symbol=? AND opened_at=? AND monitor_type=? LIMIT 1",
(r["symbol"], opened_at_chk, order_row_monitor_type(r)),
).fetchone()
if existing:
conn.execute("UPDATE order_monitors SET status='stopped' WHERE id=?", (oid,))
synced += 1
continue
exchange_symbol = resolve_monitor_exchange_symbol(r)
live_contracts = get_live_position_contracts(exchange_symbol, r["direction"])
if live_contracts is None:
continue
if live_contracts > 0:
time.sleep(0.6)
live_contracts = get_live_position_contracts(exchange_symbol, r["direction"])
if live_contracts is None or live_contracts > 0:
continue
global _RECONCILE_FLAT_STREAK
_RECONCILE_FLAT_STREAK.pop(oid, None)
cancel_gate_swap_trigger_orders(exchange_symbol)
opened_at = get_opened_at_value(r)
opened_at_ms = _to_ms_with_fallback(r["opened_at_ms"] if "opened_at_ms" in r.keys() else None, opened_at)
result, pnl_amount, closed_at, miss_reason = resolve_synced_flat_close(
r, opened_at, opened_at_ms=opened_at_ms, prefer_manual=True
)
closed_at_dt = parse_dt_for_trading_day(closed_at) or app_now()
hold_seconds = calc_hold_seconds(opened_at, closed_at_dt)
session_date = r["session_date"] or get_trading_day(closed_at_dt)
update_session_capital(conn, session_date, pnl_amount)
insert_trade_record(
conn,
symbol=r["symbol"],
monitor_type=trade_record_monitor_type(conn, r),
trend_plan_id=trend_plan_id_from_monitor_row(r),
key_signal_type=order_row_key_signal_type(r),
direction=r["direction"],
trigger_price=r["trigger_price"],
stop_loss=r["stop_loss"],
initial_stop_loss=r["initial_stop_loss"] or r["stop_loss"],
take_profit=r["take_profit"],
margin_capital=margin_capital_for_trade_record(r),
leverage=r["leverage"],
pnl_amount=pnl_amount,
hold_seconds=hold_seconds,
trade_style=r["trade_style"],
risk_amount=r["risk_amount"],
planned_rr=calc_rr_ratio(r["direction"], r["trigger_price"], r["initial_stop_loss"] or r["stop_loss"], r["take_profit"]),
actual_rr=calc_actual_rr(pnl_amount, r["risk_amount"]),
result=result,
miss_reason=handoff_trade_miss_reason(miss_reason, r),
opened_at=opened_at,
closed_at=closed_at,
)
conn.execute("UPDATE order_monitors SET status='stopped' WHERE id=?", (r["id"],))
clear_key_sizing_snapshot_if_flat(conn, r["session_date"] or get_trading_day())
synced += 1
try:
sync_trade_records_from_exchange(conn, force=True)
except Exception:
pass
return {"ok": True, "synced": synced}
global _RECONCILE_FLAT_STREAK
return reconcile_hub_external_close_impl(
conn,
symbol,
direction,
exchange_configured=exchange_private_api_configured,
not_configured_msg="未配置 GATE_API_KEY / GATE_API_SECRET",
symbols_match=symbols_match,
get_opened_at_value=get_opened_at_value,
resolve_monitor_exchange_symbol=resolve_monitor_exchange_symbol,
get_live_position_contracts=get_live_position_contracts,
cancel_conditional_orders=cancel_gate_swap_trigger_orders,
resolve_synced_flat_close=resolve_synced_flat_close,
finalize_stopped_monitor=_finalize_hub_flat_monitor,
sync_trade_records=sync_trade_records_from_exchange,
reconcile_flat_streak=_RECONCILE_FLAT_STREAK,
to_ms_with_fallback=_to_ms_with_fallback,
prefer_manual_resolve=True,
order_row_monitor_type=order_row_monitor_type,
)
def reconcile_external_closes(conn, days=None):
@@ -5491,7 +5523,7 @@ def _market_open_for_trigger_entry(
def _execute_trigger_entry_cross(conn, row):
"""标记价触达计划入场：先删监控行防重复触发，再市价开仓。"""
"""标记价触达计划入场：加锁防重复触发，成交成功后再删监控行。"""
symbol = row["symbol"]
direction = (row["direction"] or "long").lower()
ex_sym = normalize_exchange_symbol(symbol)
@@ -5502,7 +5534,8 @@ def _execute_trigger_entry_cross(conn, row):
tc_en, tc_h, _ = time_close_settings_from_row(row)
kid = int(row["id"])
conn.execute("DELETE FROM key_monitors WHERE id=?", (kid,))
if not acquire_trigger_entry_exec_lock(conn, kid):
return False, "触价开仓进行中"
conn.commit()
try:
@@ -5520,6 +5553,8 @@ def _execute_trigger_entry_cross(conn, row):
time_close_hours=tc_h,
)
except Exception as e:
release_trigger_entry_exec_lock(conn, kid)
conn.commit()
fail_msg = friendly_exchange_error(e)
send_wechat_msg(
f"# ❌ {symbol} 触价开仓异常\n"
@@ -5531,6 +5566,8 @@ def _execute_trigger_entry_cross(conn, row):
return False, fail_msg
if ok and det:
conn.execute("DELETE FROM key_monitors WHERE id=?", (kid,))
conn.commit()
rr_txt = format_wechat_scalar_2dp(det.get("planned_rr_fill")) if det.get("planned_rr_fill") is not None else "-"
msg = (
f"# ✅ {symbol} 触价开仓成交\n"
@@ -5547,6 +5584,8 @@ def _execute_trigger_entry_cross(conn, row):
send_wechat_msg(msg)
insert_key_monitor_history(conn, row, 0, msg, TRIGGER_ENTRY_CLOSE_FILLED)
return True, None
release_trigger_entry_exec_lock(conn, kid)
conn.commit()
fail_msg = err or "触价触发后开仓失败"
send_wechat_msg(
f"# ❌ {symbol} 触价开仓失败\n"
@@ -5574,6 +5613,8 @@ def check_trigger_entry_key_monitors():
sl = float(_sqlite_row_val(r, "fib_stop_loss") or 0)
tp = float(_sqlite_row_val(r, "fib_take_profit") or 0)
kid = int(r["id"])
if is_trigger_entry_in_flight_row(r):
continue
if entry <= 0 or sl <= 0 or tp <= 0:
_finalize_key_monitor_one_shot(conn, r, "触价计划价位无效", "fib_plan_invalid")
continue
@@ -6117,7 +6158,7 @@ def check_order_monitors():
new_sl = round_price_to_exchange(ex_sym, new_sl)
tp_ex = float(take_profit or 0)
ok_live, _live_reason = ensure_exchange_live_ready()
synced_ex = not ok_live
synced_ex = False
if ok_live and tp_ex > 0:
try:
replace_active_monitor_tpsl_on_exchange(r, new_sl, tp_ex)
@@ -6526,8 +6567,8 @@ def background_task():
from lib.strategy.strategy_trend_register import check_trend_pullback_plans
check_trend_pullback_plans(cfg)
except:
pass
except Exception as e:
print(f"[monitor_loop] {e}", flush=True)
time.sleep(MONITOR_POLL_SECONDS)