diff --git a/docs/CTP_LIVE.md b/docs/CTP_LIVE.md
index 49d81a5..7aa3fb1 100644
--- a/docs/CTP_LIVE.md
+++ b/docs/CTP_LIVE.md
@@ -128,9 +128,9 @@ CTP_LIVE_ENV=实盘
| 页面选项 | vnpy 类型 | 说明 |
|----------|-----------|------|
| 限价 | `OrderType.LIMIT` | 价格按最小变动价位取整 |
-| 市价 | `OrderType.FAK` + 对手价偏移 | 非「无价格市价单」，而是 **带滑点的限价 FAK**，以提高 SimNow/各前置成交率 |
+| 市价 | `OrderType.FAK` + **对手价（买一/卖一）** + 滑点 | 非「无价格市价单」；止损约 12 跳、强平约 20 跳（强平另受权益滑点预留上限约束） |
-止盈止损触发、手动平仓、策略平仓均走 **`order_type=market`** 的上述 FAK 逻辑。
+止盈止损触发、手动平仓走 `urgency=stop_loss`；日亏损强平走 `urgency=risk_flatten`。
---
diff --git a/docs/RISK.md b/docs/RISK.md
index f86f23a..e5df5cf 100644
--- a/docs/RISK.md
+++ b/docs/RISK.md
@@ -6,7 +6,19 @@
---
-## 仓位上限
+## 日亏损风控（强平线）
+
+| 项 | 默认值 | 说明 |
+|----|--------|------|
+| `daily_loss_force_close_pct` | 2 | 系统设置：当日亏损（已实现+浮亏）占 **权益** 比例；**≥ 即强制平掉全部持仓** 并当日禁止开仓 |
+| `daily_loss_slippage_buffer_pct` | 1 | 强平执行允许的额外滑点占权益比例；与强平线合计默认 **3%** 上限 |
+| 环境变量兜底 | `RISK_DAILY_TRADING_RISK_PCT` | 未配置系统设置时强平线可回退到此 env |
+
+- 亏损口径：**当日已平仓亏损 + 当前持仓浮亏**（含隔夜跳空），除以当前 CTP 权益。
+- 达限后：后台 `daily_loss_guard` 撤平仓挂单 → 对手价 FAK 强平 → `daily_frozen` → 看板/下单页显示 **风控**，开仓按钮灰色。
+- 与单笔止损关系：止损为常规退出；日亏损线为账户级熔断。
+
+---
| 项 | 默认值 | 说明 |
|----|--------|------|
diff --git a/docs/SETTINGS.md b/docs/SETTINGS.md
index 82c15f0..31f114e 100644
--- a/docs/SETTINGS.md
+++ b/docs/SETTINGS.md
@@ -12,7 +12,7 @@
|------|--------|----------|
| 导航显示 | 策略、计划、行情、手续费、AI 等开关 | 全部可关闭菜单 |
| 交易模式 | SimNow / 实盘 CTP | 下单、策略、同步 |
-| 计仓与风险 | 固定手数/固定金额、risk_percent、max_margin_pct、roll_max_margin_pct | [ORDER_MONITOR](./ORDER_MONITOR.md)、[STRATEGY](./STRATEGY.md) |
+| 计仓与风险 | 固定手数/固定金额、risk_percent、max_margin_pct、roll_max_margin_pct、日亏损强平线 | [ORDER_MONITOR](./ORDER_MONITOR.md)、[STRATEGY](./STRATEGY.md) |
| 移动保本 | trailing_be_tick_buffer | 下单、关键位自动单 |
| 挂单超时 | pending_order_timeout_sec | 下单监控 pending |
| CTP 连接 | 前置、账号（可覆盖 .env） | 全部交易 |
@@ -37,6 +37,8 @@
| risk_percent | 1 | 单笔风险占权益 % |
| max_margin_pct | 30 | 新开仓保证金上限 |
| roll_max_margin_pct | 单独 | 滚仓保证金上限 |
+| daily_loss_force_close_pct | 2 | 日亏损强平线（%权益） |
+| daily_loss_slippage_buffer_pct | 1 | 强平滑点预留（%权益），与强平线合计默认 3% |
| fixed_lots / fixed_amount | — | 计仓模式 |
| trailing_be_tick_buffer | 2 | 移动保本 1R 缓冲跳数 |
diff --git a/docs/风控说明.md b/docs/风控说明.md
index c43fa07..1fd1ffb 100644
--- a/docs/风控说明.md
+++ b/docs/风控说明.md
@@ -49,7 +49,7 @@
| **风控开关** | 是否启用账户风控（持仓/日限额等） | `.env` → `RISK_CONTROL_ENABLED` |
| **持仓限制** | 当前 active 持仓数 / 同时持仓上限 | `.env` → `MAX_ACTIVE_POSITIONS` |
| **日持仓限制** | 当日已开仓次数（含已平）/ 日开仓上限 | `.env` → `RISK_DAILY_POSITION_LIMIT`（默认 5） |
-| **日交易风险** | 当日累计止损风险占权益 / 上限 | `.env` → `RISK_DAILY_TRADING_RISK_PCT`（默认 2%） |
+| **日亏损风控** | 当日亏损（已实现+浮亏）占权益 / 强平线 | 系统设置 `daily_loss_force_close_pct`（默认 2%）+ `daily_loss_slippage_buffer_pct`（默认 1%） |
| **手动平仓次数** | 当日手动平仓次数 / 上限（超限日冻结） | `.env` → `RISK_MANUAL_CLOSE_DAILY_LIMIT` |
| **综合保证金占比** | 占用保证金占权益 / **综合上限（50%）** | 实时计算 + 系统设置 `roll_max_margin_pct` |
| **单仓保证金上限** | 新开仓保证金占权益上限 | 系统设置 `max_margin_pct`（默认 30%） |
@@ -106,7 +106,7 @@
## 与全局风控的关系
- 看板 **实时展示** 账户风控状态；下单前各板块仍调用 `assert_can_open()` 做相同校验。
-- **日持仓限制**、**日交易风险** 与「同时持仓上限」并列生效，任一超限即禁止新开仓。
+- **日亏损风控**、**日持仓限制** 与「同时持仓上限」并列生效；达日亏损强平线将 **强制清仓** 并禁止新开仓。
- **期货不使用本系统「手动平仓冷静期」**（交易所自有规则）；手动平仓仅计入当日次数，超限触发日冻结。
- **综合保证金占比** 使用 CTP 柜台权益与占用保证金实时计算；断线时可能短暂显示 `—`。
diff --git a/modules/ctp/ctp_worker.py b/modules/ctp/ctp_worker.py
index 11add83..ec9aa68 100644
--- a/modules/ctp/ctp_worker.py
+++ b/modules/ctp/ctp_worker.py
@@ -240,6 +240,25 @@ def _on_ctp_connected(mode: str) -> None:
get_bridge().request_position_snapshot(force=True)
get_bridge().calibrate_trading_state()
_persist_snapshot(mode)
+ conn = connect_db(DB_PATH)
+ try:
+ _init_worker_tables(conn)
+ capital = _capital(conn)
+ if capital <= 0:
+ acc = ctp_get_account(mode) or {}
+ capital = float(acc.get("balance") or 0)
+ if capital > 0:
+ from modules.risk.daily_loss_guard import check_daily_loss_and_flatten
+
+ check_daily_loss_and_flatten(
+ conn,
+ mode,
+ equity=capital,
+ notify_fn=_send_wechat_msg,
+ get_setting=get_setting,
+ )
+ finally:
+ conn.close()
except Exception as exc:
logger.debug("worker ctp connected callback: %s", exc)
@@ -287,6 +306,16 @@ def _start_background_workers() -> None:
get_be_tick_buffer_fn=lambda: get_trailing_be_tick_buffer(get_setting),
notify_fn=_send_wechat_msg,
)
+ from modules.risk.daily_loss_guard import start_daily_loss_guard_worker
+
+ start_daily_loss_guard_worker(
+ db_path=DB_PATH,
+ get_mode_fn=_mode,
+ init_tables_fn=_init_worker_tables,
+ get_capital_fn=_capital,
+ get_setting_fn=get_setting,
+ notify_fn=_send_wechat_msg,
+ )
def _snapshot_loop() -> None:
time.sleep(3)
@@ -432,6 +461,9 @@ def api_order():
price=float(data.get("price") or 0),
settings=data.get("settings") or {},
order_type=data.get("order_type") or "limit",
+ urgency=data.get("urgency") or "normal",
+ equity=data.get("equity"),
+ slippage_buffer_pct=data.get("slippage_buffer_pct"),
)
_persist_snapshot(mode)
return _json_ok(**result)
diff --git a/modules/ctp/vnpy_bridge.py b/modules/ctp/vnpy_bridge.py
index 5fe59d2..3c6426b 100644
--- a/modules/ctp/vnpy_bridge.py
+++ b/modules/ctp/vnpy_bridge.py
@@ -1189,6 +1189,9 @@ class CtpBridge:
price: float,
tick: float,
use_market: bool,
+ urgency: str = "normal",
+ equity: Optional[float] = None,
+ slippage_buffer_pct: Optional[float] = None,
) -> str:
"""平仓：VeighNa OffsetConverter 自动拆分平今/平昨（与 CTA 引擎一致）。"""
from vnpy.trader.constant import Offset
@@ -1210,7 +1213,11 @@ class CtpBridge:
lp = float(price)
if use_market:
- lp = self._aggressive_limit_price(ths_code, sym, ex_name, direction, tick, lp)
+ lp = self._aggressive_limit_price(
+ ths_code, sym, ex_name, direction, tick, lp,
+ urgency=urgency, equity=equity,
+ slippage_buffer_pct=slippage_buffer_pct, lots=lots,
+ )
else:
lp = round_to_tick(lp, tick)
if lp <= 0:
@@ -1245,6 +1252,9 @@ class CtpBridge:
if use_market:
sub_price = self._aggressive_limit_price(
ths_code, sym, ex_name, sub.direction, tick, float(price),
+ urgency=urgency, equity=equity,
+ slippage_buffer_pct=slippage_buffer_pct,
+ lots=int(sub.volume or lots),
)
else:
sub_price = round_to_tick(float(sub.price or lp), tick)
@@ -1266,6 +1276,48 @@ class CtpBridge:
logger.debug("offset converter order req: %s", exc)
return last_vt
+ def _find_tick_obj(self, sym: str, ex_name: str) -> Any:
+ if not self._engine:
+ return None
+ sym_l = sym.lower()
+ ex_u = ex_name.upper()
+ try:
+ for tick in self._engine.get_all_ticks():
+ ts = (getattr(tick, "symbol", "") or "").lower()
+ te = getattr(tick, "exchange", None)
+ te_s = str(te.value if hasattr(te, "value") else te or "").upper()
+ if ts == sym_l and te_s == ex_u:
+ return tick
+ except Exception as exc:
+ logger.debug("find tick: %s", exc)
+ return None
+
+ def _opponent_price_from_tick(self, tick: Any, direction: Any) -> Optional[float]:
+ from vnpy.trader.constant import Direction
+
+ if not tick:
+ return None
+ if direction == Direction.LONG:
+ attrs = ("ask_price_1", "last_price", "pre_close")
+ else:
+ attrs = ("bid_price_1", "last_price", "pre_close")
+ for attr in attrs:
+ try:
+ v = float(getattr(tick, attr, 0) or 0)
+ except (TypeError, ValueError):
+ v = 0.0
+ if v > 0:
+ return v
+ return None
+
+ def _urgency_slip_ticks(self, urgency: str) -> int:
+ table = {
+ "normal": 5,
+ "stop_loss": 12,
+ "risk_flatten": 20,
+ }
+ return max(1, int(table.get((urgency or "normal").strip().lower(), 5)))
+
def _aggressive_limit_price(
self,
ths_code: str,
@@ -1274,19 +1326,47 @@ class CtpBridge:
direction: Any,
tick: float,
fallback: float,
+ *,
+ urgency: str = "normal",
+ equity: Optional[float] = None,
+ slippage_buffer_pct: Optional[float] = None,
+ lots: int = 1,
) -> float:
from vnpy.trader.constant import Direction
self.subscribe_symbol(ths_code)
- lp = fallback
- detail = self.get_tick_detail(ths_code, mode=self._connected_mode or "")
- if detail.get("price"):
- lp = float(detail["price"])
- slip = max(tick, tick * 3)
+ tick_obj = self._find_tick_obj(sym, ex_name)
+ opp = self._opponent_price_from_tick(tick_obj, direction)
+ if opp is None or opp <= 0:
+ detail = self.get_tick_detail(ths_code, mode=self._connected_mode or "")
+ if detail.get("price"):
+ opp = float(detail["price"])
+ else:
+ opp = float(fallback or 0)
+ if opp <= 0:
+ return 0.0
+
+ slip_ticks = self._urgency_slip_ticks(urgency)
+ slip_price = slip_ticks * max(tick, 1e-9)
+ if (
+ (urgency or "").strip().lower() == "risk_flatten"
+ and equity
+ and float(equity) > 0
+ and slippage_buffer_pct is not None
+ and float(slippage_buffer_pct) > 0
+ and lots > 0
+ ):
+ spec = get_contract_spec(ths_code)
+ mult = float(spec.get("mult") or 10)
+ max_yuan = float(equity) * float(slippage_buffer_pct) / 100.0
+ denom = mult * max(1, int(lots))
+ if denom > 0:
+ slip_price = min(slip_price, max_yuan / denom)
+
if direction == Direction.LONG:
- lp = lp + slip
+ lp = opp + slip_price
else:
- lp = max(tick, lp - slip)
+ lp = max(tick, opp - slip_price)
return round_to_tick(lp, tick)
def ping(self) -> bool:
@@ -2479,6 +2559,9 @@ class CtpBridge:
lots: int,
price: float,
order_type: str = "limit",
+ urgency: str = "normal",
+ equity: Optional[float] = None,
+ slippage_buffer_pct: Optional[float] = None,
) -> str:
from vnpy.trader.constant import Direction, Offset, OrderType
from vnpy.trader.object import OrderRequest
@@ -2502,7 +2585,11 @@ class CtpBridge:
use_market = (order_type or "limit").lower() == "market"
if use_market:
ot = OrderType.FAK
- price = self._aggressive_limit_price(ths_code, sym, ex_name, d, tick, price)
+ price = self._aggressive_limit_price(
+ ths_code, sym, ex_name, d, tick, price,
+ urgency=urgency, equity=equity,
+ slippage_buffer_pct=slippage_buffer_pct, lots=lots,
+ )
else:
ot = OrderType.LIMIT
price = round_to_tick(float(price), tick)
@@ -2541,7 +2628,11 @@ class CtpBridge:
ot = OrderType.LIMIT
price = round_to_tick(float(price), tick)
if use_market:
- price = self._aggressive_limit_price(ths_code, sym, ex_name, d, tick, price)
+ price = self._aggressive_limit_price(
+ ths_code, sym, ex_name, d, tick, price,
+ urgency=urgency, equity=equity,
+ slippage_buffer_pct=slippage_buffer_pct, lots=lots,
+ )
if price <= 0:
raise ValueError("委托价格无效，请检查行情或手动填写价格")
return self._submit_close_orders(
@@ -2556,6 +2647,9 @@ class CtpBridge:
price=price,
tick=tick,
use_market=use_market,
+ urgency=urgency,
+ equity=equity,
+ slippage_buffer_pct=slippage_buffer_pct,
)
raise ValueError(f"未知开平: {offset}")
@@ -3062,6 +3156,9 @@ def execute_order(
price: float,
settings: dict | None = None,
order_type: str = "limit",
+ urgency: str = "normal",
+ equity: Optional[float] = None,
+ slippage_buffer_pct: Optional[float] = None,
) -> dict[str, Any]:
"""统一下单：simulation=SimNow，live=期货公司 CTP。"""
if _use_ctp_worker_client():
@@ -3074,6 +3171,9 @@ def execute_order(
"price": price,
"settings": settings or {},
"order_type": order_type,
+ "urgency": urgency,
+ "equity": equity,
+ "slippage_buffer_pct": slippage_buffer_pct,
})
del conn, settings
if mode not in ("simulation", "live"):
@@ -3092,6 +3192,9 @@ def execute_order(
lots=lots,
price=price,
order_type=order_type,
+ urgency=urgency,
+ equity=equity,
+ slippage_buffer_pct=slippage_buffer_pct,
)
return {
"order_id": order_id,
diff --git a/modules/risk/account_risk_lib.py b/modules/risk/account_risk_lib.py
index cef3d8d..81685a8 100644
--- a/modules/risk/account_risk_lib.py
+++ b/modules/risk/account_risk_lib.py
@@ -20,6 +20,7 @@ STATUS_NORMAL = "normal"
STATUS_FREEZE_1H = "freeze_1h"
STATUS_FREEZE_4H = "freeze_4h"
STATUS_DAILY = "freeze_daily"
+STATUS_DAILY_LOSS = "freeze_daily_loss"
STATUS_FREEZE_POSITION = "freeze_position"
STATUS_LABELS = {
@@ -27,6 +28,7 @@ STATUS_LABELS = {
STATUS_FREEZE_1H: "1h冻结",
STATUS_FREEZE_4H: "4h冻结",
STATUS_DAILY: "日冻结",
+ STATUS_DAILY_LOSS: "风控",
STATUS_FREEZE_POSITION: "仓位上限冻结",
}
@@ -82,12 +84,49 @@ def daily_position_limit() -> int:
return 5
-def daily_trading_risk_pct_limit() -> float:
- """当日累计止损风险占权益上限（%）。"""
+def daily_trading_risk_pct_limit(
+ get_setting: Optional[Callable[[str, str], str]] = None,
+) -> float:
+ """当日亏损占权益强平线（%），默认 2。"""
+ return daily_loss_force_close_pct(get_setting)
+
+
+def _default_get_setting(key: str, default: str = "") -> str:
try:
- return max(0.1, float(os.getenv("RISK_DAILY_TRADING_RISK_PCT", "2")))
+ from modules.fees.fee_specs import get_setting
+
+ return get_setting(key, default)
+ except Exception:
+ return default
+
+
+def daily_loss_force_close_pct(
+ get_setting: Optional[Callable[[str, str], str]] = None,
+) -> float:
+ gs = get_setting or _default_get_setting
+ try:
+ return max(0.1, min(50.0, float(gs("daily_loss_force_close_pct", "2") or 2)))
except (TypeError, ValueError):
- return 2.0
+ try:
+ return max(0.1, float(os.getenv("RISK_DAILY_TRADING_RISK_PCT", "2")))
+ except (TypeError, ValueError):
+ return 2.0
+
+
+def daily_loss_slippage_buffer_pct(
+ get_setting: Optional[Callable[[str, str], str]] = None,
+) -> float:
+ gs = get_setting or _default_get_setting
+ try:
+ return max(0.0, min(20.0, float(gs("daily_loss_slippage_buffer_pct", "1") or 1)))
+ except (TypeError, ValueError):
+ return 1.0
+
+
+def daily_loss_total_cap_pct(
+ get_setting: Optional[Callable[[str, str], str]] = None,
+) -> float:
+ return daily_loss_force_close_pct(get_setting) + daily_loss_slippage_buffer_pct(get_setting)
def trading_day_reset_hour() -> int:
@@ -260,68 +299,23 @@ def _risk_amount_for_monitor_row(r, equity: float) -> float:
def daily_trading_risk_used_pct(
- conn, equity: float, now: Optional[datetime] = None,
+ conn, equity: float, now: Optional[datetime] = None, *, mode: Optional[str] = None,
) -> Optional[float]:
- """当日交易风险占权益（%）：每品种槽位只计一次。
+ """当日亏损占权益（%）：已实现亏损 + 持仓浮亏。"""
+ from modules.risk.daily_loss_guard import daily_loss_used_pct
- - 仍持仓：按止损距离算风险金额（以损定仓口径）
- - 已平仓：按当日已实现亏损计（pnl_net<0），不再重复累加历史监控行
- """
if equity <= 0:
return None
- slots = _daily_open_slots(conn, now)
- if not slots:
- return 0.0
+ trade_mode = mode
+ if not trade_mode:
+ try:
+ from modules.core.trading_context import get_trading_mode
+ from modules.fees.fee_specs import get_setting
- active_risk: dict[tuple[str, str], float] = {}
- for r in conn.execute(
- """SELECT symbol, direction, lots, entry_price, stop_loss, take_profit, open_time
- FROM trade_order_monitors
- WHERE status='active' AND open_time IS NOT NULL AND trim(open_time) <> ''"""
- ).fetchall():
- if not _opened_in_trading_day(r["open_time"], now):
- continue
- key = _position_slot_key(r["symbol"], r["direction"])
- if key not in slots:
- continue
- amt = _risk_amount_for_monitor_row(r, equity)
- if amt > 0:
- active_risk[key] = amt
-
- closed_risk: dict[tuple[str, str], float] = {}
- for r in conn.execute(
- """SELECT symbol, direction, pnl_net, open_time
- FROM trade_logs
- WHERE open_time IS NOT NULL AND trim(open_time) <> ''"""
- ).fetchall():
- if not _opened_in_trading_day(r["open_time"], now):
- continue
- key = _position_slot_key(r["symbol"], r["direction"])
- if key not in slots or key in active_risk:
- continue
- loss = max(0.0, -float(r["pnl_net"] or 0))
- if loss > 0:
- closed_risk[key] = max(closed_risk.get(key, 0.0), loss)
-
- for r in conn.execute(
- """SELECT symbol, direction, lots, entry_price, stop_loss, take_profit, open_time
- FROM trade_order_monitors
- WHERE status='closed' AND open_time IS NOT NULL AND trim(open_time) <> ''
- ORDER BY id DESC"""
- ).fetchall():
- if not _opened_in_trading_day(r["open_time"], now):
- continue
- key = _position_slot_key(r["symbol"], r["direction"])
- if key not in slots or key in active_risk or key in closed_risk:
- continue
- amt = _risk_amount_for_monitor_row(r, equity)
- if amt > 0:
- closed_risk[key] = amt
-
- total = sum(active_risk.values()) + sum(closed_risk.values())
- if total <= 0:
- return 0.0
- return round(total / equity * 100, 2)
+ trade_mode = get_trading_mode(get_setting)
+ except Exception:
+ trade_mode = "simulation"
+ return daily_loss_used_pct(conn, equity, trade_mode, now=now)
def count_active_trade_monitors(conn) -> int:
@@ -483,6 +477,8 @@ def get_risk_status(
now: Optional[datetime] = None,
active_count: Optional[int] = None,
equity: Optional[float] = None,
+ mode: Optional[str] = None,
+ get_setting: Optional[Callable[[str, str], str]] = None,
) -> dict:
def _load() -> dict:
ensure_account_risk_schema(conn)
@@ -526,12 +522,28 @@ def get_risk_status(
daily_pos_lim = daily_position_limit()
daily_open_limit = daily_opens >= daily_pos_lim
daily_risk_used: Optional[float] = None
- daily_risk_lim = daily_trading_risk_pct_limit()
+ daily_risk_lim = daily_trading_risk_pct_limit(get_setting)
+ slip_buf = daily_loss_slippage_buffer_pct(get_setting)
+ daily_risk_cap = daily_loss_total_cap_pct(get_setting)
daily_risk_limit_hit = False
- if equity and float(equity) > 0:
- daily_risk_used = daily_trading_risk_used_pct(conn, float(equity), now)
+ trade_mode = mode
+ if not trade_mode and get_setting:
+ try:
+ from modules.core.trading_context import get_trading_mode
+
+ trade_mode = get_trading_mode(get_setting)
+ except Exception:
+ trade_mode = None
+ if equity and float(equity) > 0 and trade_mode:
+ daily_risk_used = daily_trading_risk_used_pct(
+ conn, float(equity), now, mode=trade_mode,
+ )
if daily_risk_used is not None and daily_risk_used >= daily_risk_lim:
daily_risk_limit_hit = True
+ elif equity and float(equity) > 0:
+ daily_risk_used = 0.0
+
+ loss_locked = is_daily_loss_locked(conn, now=now)
base = {
"active_count": active,
@@ -540,25 +552,37 @@ def get_risk_status(
"daily_position_limit": daily_pos_lim,
"daily_risk_used_pct": daily_risk_used,
"daily_trading_risk_pct_limit": daily_risk_lim,
+ "daily_loss_slippage_buffer_pct": slip_buf,
+ "daily_loss_total_cap_pct": daily_risk_cap,
}
- if daily:
+ if daily or loss_locked:
+ reason = "当日日冻结，禁止新开仓"
+ if loss_locked and daily_risk_used is not None:
+ reason = (
+ f"当日亏损已达 {daily_risk_used:.2f}%（上限 {daily_risk_lim:.2f}% 权益），"
+ "禁止开仓"
+ )
return {
**base,
- "status": STATUS_DAILY,
- "status_label": STATUS_LABELS[STATUS_DAILY],
+ "status": STATUS_DAILY_LOSS if loss_locked else STATUS_DAILY,
+ "status_label": STATUS_LABELS[STATUS_DAILY_LOSS] if loss_locked else STATUS_LABELS[STATUS_DAILY],
"can_trade": False,
"can_roll": False,
- "reason": "当日日冻结，禁止新开仓",
+ "reason": reason,
}
if daily_risk_limit_hit:
return {
**base,
- "status": STATUS_DAILY,
- "status_label": STATUS_LABELS[STATUS_DAILY],
+ "status": STATUS_DAILY_LOSS,
+ "status_label": STATUS_LABELS[STATUS_DAILY_LOSS],
"can_trade": False,
- "can_roll": pos_limit,
- "reason": f"已达日交易风险上限 {daily_risk_used:.2f}%/{daily_risk_lim:.2f}%",
+ "can_roll": False,
+ "reason": (
+ f"当日亏损已达 {daily_risk_used:.2f}%（上限 {daily_risk_lim:.2f}% 权益），"
+ "正在强制平仓，禁止开仓"
+ ),
+ "force_flatten_required": True,
}
if daily_open_limit:
return {
@@ -590,13 +614,36 @@ def get_risk_status(
return _db_retry(_load)
+def is_daily_loss_locked(conn, *, now=None) -> bool:
+ ensure_account_risk_schema(conn)
+ td = trading_day_label(now)
+ row = conn.execute("SELECT trading_day, daily_frozen FROM account_risk_state WHERE id=1").fetchone()
+ if not row:
+ return False
+ stored = str(row["trading_day"] if isinstance(row, dict) else row[0] or "")
+ frozen = int((row["daily_frozen"] if isinstance(row, dict) else row[1]) or 0)
+ return stored == td and frozen == 1
+
+
+def should_skip_sl_tp_for_daily_loss(conn) -> bool:
+ return is_daily_loss_locked(conn)
+
+
def assert_can_open(
conn,
*,
active_count: Optional[int] = None,
equity: Optional[float] = None,
+ mode: Optional[str] = None,
+ get_setting: Optional[Callable[[str, str], str]] = None,
) -> Optional[str]:
- rs = get_risk_status(conn, active_count=active_count, equity=equity)
+ rs = get_risk_status(
+ conn,
+ active_count=active_count,
+ equity=equity,
+ mode=mode,
+ get_setting=get_setting,
+ )
if not rs.get("can_trade"):
return rs.get("reason") or "当前不可开仓"
return None
diff --git a/modules/risk/daily_loss_guard.py b/modules/risk/daily_loss_guard.py
new file mode 100644
index 0000000..3cd7f2d
--- /dev/null
+++ b/modules/risk/daily_loss_guard.py
@@ -0,0 +1,347 @@
+# Copyright (c) 2025-2026 马建军. All rights reserved.
+"""日亏损风控：达权益比例上限后强制清仓并当日禁开。"""
+
+from __future__ import annotations
+
+import logging
+import threading
+import time
+from typing import Any, Callable, Optional
+
+from modules.core.contract_specs import calc_position_metrics
+from modules.market.market_sessions import is_trading_session
+from modules.risk.account_risk_lib import (
+ _default_get_setting,
+ daily_loss_force_close_pct,
+ daily_loss_slippage_buffer_pct,
+ daily_loss_total_cap_pct,
+ ensure_account_risk_schema,
+ risk_control_enabled,
+ trading_day_label,
+ trading_day_start,
+ _parse_open_time_ms,
+)
+from modules.ctp.vnpy_bridge import (
+ ctp_cancel_order,
+ ctp_get_tick_price,
+ ctp_list_active_orders,
+ ctp_list_positions,
+ ctp_status,
+ execute_order,
+)
+
+logger = logging.getLogger(__name__)
+
+CHECK_INTERVAL_SEC = 2
+DISCONNECTED_SLEEP_SEC = 5
+CLOSED_MARKET_SLEEP_SEC = 30
+
+_flatten_lock = threading.Lock()
+_flatten_in_progress = False
+_last_flatten_attempt: float = 0.0
+FLATTEN_COOLDOWN_SEC = 15
+
+
+def _closed_in_trading_day(close_time: str, now=None) -> bool:
+ oms = _parse_open_time_ms((close_time or "").replace("T", " "))
+ if oms is None:
+ return False
+ return oms >= int(trading_day_start(now).timestamp() * 1000)
+
+
+def daily_realized_loss_amount(conn, *, now=None) -> float:
+ """当日已平仓实现的亏损金额（正数）。"""
+ total = 0.0
+ try:
+ rows = conn.execute(
+ "SELECT pnl_net, close_time FROM trade_logs WHERE close_time IS NOT NULL"
+ ).fetchall()
+ except Exception:
+ return 0.0
+ for r in rows:
+ if isinstance(r, dict):
+ ct = r.get("close_time") or ""
+ pnl = float(r.get("pnl_net") or 0)
+ else:
+ ct = r[1] if len(r) > 1 else ""
+ pnl = float(r[0] or 0)
+ if not _closed_in_trading_day(ct, now):
+ continue
+ if pnl < 0:
+ total += -pnl
+ return round(total, 2)
+
+
+def daily_floating_loss_amount(mode: str) -> float:
+ """当前持仓浮亏金额（正数），含隔夜仓跳空。"""
+ if not mode:
+ return 0.0
+ loss = 0.0
+ try:
+ positions = ctp_list_positions(mode, refresh_if_empty=False, refresh_margin=False)
+ except Exception:
+ return 0.0
+ for p in positions or []:
+ lots = int(p.get("lots") or 0)
+ if lots <= 0:
+ continue
+ sym = (p.get("symbol") or "").strip()
+ direction = (p.get("direction") or "long").strip().lower()
+ entry = float(p.get("avg_price") or p.get("entry_price") or 0)
+ if entry <= 0 or not sym:
+ continue
+ mark = float(p.get("mark_price") or p.get("current_price") or 0)
+ if mark <= 0:
+ try:
+ mark = float(ctp_get_tick_price(mode, sym) or 0)
+ except Exception:
+ mark = 0.0
+ if mark <= 0:
+ continue
+ m = calc_position_metrics(
+ direction, entry, entry, entry, lots, mark, 1.0, sym,
+ )
+ fp = float(m.get("float_pnl") or 0)
+ if fp < 0:
+ loss += -fp
+ return round(loss, 2)
+
+
+def daily_loss_amount(
+ conn,
+ equity: float,
+ mode: str,
+ *,
+ now=None,
+) -> tuple[float, float]:
+ """返回 (亏损金额, 占权益%)。"""
+ if equity <= 0:
+ return 0.0, 0.0
+ realized = daily_realized_loss_amount(conn, now=now)
+ floating = daily_floating_loss_amount(mode)
+ total = realized + floating
+ pct = round(total / float(equity) * 100, 2)
+ return round(total, 2), pct
+
+
+def daily_loss_used_pct(
+ conn,
+ equity: float,
+ mode: str,
+ *,
+ now=None,
+) -> Optional[float]:
+ if equity <= 0:
+ return None
+ _, pct = daily_loss_amount(conn, equity, mode, now=now)
+ return pct
+
+
+def mark_daily_loss_lock(conn, *, now=None) -> None:
+ ensure_account_risk_schema(conn)
+ td = trading_day_label(now)
+ conn.execute(
+ """UPDATE account_risk_state SET trading_day=?, daily_frozen=1,
+ cooloff_until_ms=NULL, cooloff_hours=NULL, updated_at=? WHERE id=1""",
+ (td, time.strftime("%Y-%m-%d %H:%M:%S")),
+ )
+ conn.commit()
+
+
+def _cancel_all_close_orders(mode: str) -> int:
+ cancelled = 0
+ try:
+ active = ctp_list_active_orders(mode)
+ except Exception:
+ return 0
+ for o in active or []:
+ offset_s = (o.get("offset") or "").upper()
+ if "CLOSE" not in offset_s:
+ continue
+ oid = str(o.get("order_id") or o.get("vt_order_id") or "")
+ if oid and ctp_cancel_order(mode, oid):
+ cancelled += 1
+ return cancelled
+
+
+def force_flatten_all_positions(
+ conn,
+ mode: str,
+ *,
+ equity: float,
+ reason: str = "",
+ notify_fn: Callable[[str], None] | None = None,
+ get_setting: Callable[[str, str], str] | None = None,
+) -> int:
+ """无条件市价平掉全部持仓；返回提交平仓笔数。"""
+ global _flatten_in_progress, _last_flatten_attempt
+ if not ctp_status(mode).get("connected"):
+ return 0
+ with _flatten_lock:
+ if _flatten_in_progress:
+ return 0
+ if time.time() - _last_flatten_attempt < FLATTEN_COOLDOWN_SEC:
+ return 0
+ _flatten_in_progress = True
+ _last_flatten_attempt = time.time()
+ submitted = 0
+ try:
+ mark_daily_loss_lock(conn)
+ cancelled = _cancel_all_close_orders(mode)
+ if cancelled:
+ logger.info("日亏损强平：已撤平仓挂单 %d 笔", cancelled)
+ positions = [
+ p for p in (ctp_list_positions(mode) or [])
+ if int(p.get("lots") or 0) > 0
+ ]
+ if not positions:
+ return 0
+ slip_buf = daily_loss_slippage_buffer_pct(get_setting)
+ for p in positions:
+ sym = (p.get("symbol") or "").strip()
+ direction = (p.get("direction") or "long").strip().lower()
+ lots = int(p.get("lots") or 0)
+ if not sym or lots <= 0:
+ continue
+ mark = float(p.get("mark_price") or p.get("current_price") or 0)
+ if mark <= 0:
+ mark = float(ctp_get_tick_price(mode, sym) or p.get("avg_price") or 0)
+ if mark <= 0:
+ logger.warning("日亏损强平跳过 %s：无有效价格", sym)
+ continue
+ offset = "close_long" if direction == "long" else "close_short"
+ try:
+ execute_order(
+ conn,
+ mode=mode,
+ offset=offset,
+ symbol=sym,
+ direction=direction,
+ lots=lots,
+ price=mark,
+ order_type="market",
+ urgency="risk_flatten",
+ equity=equity,
+ slippage_buffer_pct=slip_buf,
+ )
+ submitted += 1
+ logger.info(
+ "日亏损强平已报单 %s %s %d手 @%s",
+ sym, direction, lots, mark,
+ )
+ except Exception as exc:
+ logger.warning("日亏损强平失败 %s: %s", sym, exc)
+ if submitted and notify_fn:
+ lim = daily_loss_force_close_pct(get_setting)
+ cap = daily_loss_total_cap_pct(get_setting)
+ msg = (
+ f"日亏损风控：已达权益 {lim:g}% 上限，已强制平仓 {submitted} 笔"
+ f"（含滑点预留至 {cap:g}%）。当日禁止开仓。"
+ )
+ if reason:
+ msg = f"{reason} {msg}"
+ try:
+ notify_fn(msg)
+ except Exception as exc:
+ logger.debug("daily loss notify: %s", exc)
+ if submitted:
+ try:
+ conn.execute(
+ "UPDATE trade_order_monitors SET status='closed' WHERE status='active'"
+ )
+ conn.commit()
+ except Exception as exc:
+ logger.debug("close monitors after flatten: %s", exc)
+ return submitted
+ finally:
+ with _flatten_lock:
+ _flatten_in_progress = False
+
+
+def check_daily_loss_and_flatten(
+ conn,
+ mode: str,
+ *,
+ equity: float,
+ notify_fn: Callable[[str], None] | None = None,
+ get_setting: Callable[[str, str], str] | None = None,
+) -> int:
+ """达日亏损上限则锁日并强平。返回强平报单笔数。"""
+ if not risk_control_enabled():
+ return 0
+ gs = get_setting or _default_get_setting
+ lim = daily_loss_force_close_pct(gs)
+ if equity <= 0:
+ return 0
+ used = daily_loss_used_pct(conn, equity, mode)
+ if used is None or used < lim:
+ return 0
+ amt, pct = daily_loss_amount(conn, equity, mode)
+ reason = f"当日亏损 {amt:.0f}元（{pct:.2f}%/权益）"
+ return force_flatten_all_positions(
+ conn,
+ mode,
+ equity=equity,
+ reason=reason,
+ notify_fn=notify_fn,
+ get_setting=gs,
+ )
+
+
+def start_daily_loss_guard_worker(
+ *,
+ db_path: str,
+ get_mode_fn: Callable[[], str],
+ get_capital_fn: Callable,
+ get_setting_fn: Callable[[str, str], str] | None = None,
+ init_tables_fn: Callable | None = None,
+ notify_fn: Callable[[str], None] | None = None,
+ interval: int = CHECK_INTERVAL_SEC,
+) -> None:
+ from modules.core.db_conn import connect_db
+
+ def _loop() -> None:
+ time.sleep(25)
+ while True:
+ sleep_sec = max(1, interval)
+ try:
+ mode = get_mode_fn()
+ if not ctp_status(mode).get("connected"):
+ time.sleep(DISCONNECTED_SLEEP_SEC)
+ continue
+ if not is_trading_session():
+ sleep_sec = max(sleep_sec, CLOSED_MARKET_SLEEP_SEC)
+ conn = connect_db(db_path)
+ try:
+ if init_tables_fn:
+ init_tables_fn(conn)
+ equity = 0.0
+ try:
+ equity = float(get_capital_fn(conn) or 0)
+ except Exception:
+ equity = 0.0
+ if equity <= 0:
+ try:
+ from modules.ctp.vnpy_bridge import ctp_get_account
+
+ acc = ctp_get_account(mode) or {}
+ equity = float(acc.get("balance") or 0)
+ except Exception:
+ equity = 0.0
+ if equity > 0:
+ n = check_daily_loss_and_flatten(
+ conn,
+ mode,
+ equity=equity,
+ notify_fn=notify_fn,
+ get_setting=get_setting_fn,
+ )
+ if n:
+ logger.info("日亏损守护: 强制平仓 %d 笔", n)
+ finally:
+ conn.close()
+ except Exception as exc:
+ logger.warning("daily_loss_guard worker: %s", exc)
+ time.sleep(sleep_sec)
+
+ threading.Thread(target=_loop, daemon=True, name="daily-loss-guard").start()
diff --git a/modules/settings/routes.py b/modules/settings/routes.py
index c7e8c91..d530d8d 100644
--- a/modules/settings/routes.py
+++ b/modules/settings/routes.py
@@ -173,6 +173,18 @@ def register(deps) -> None:
except ValueError:
flash("挂单超时无效")
return redirect(url_for("settings"))
+ try:
+ dl = float(request.form.get("daily_loss_force_close_pct", "2") or 2)
+ set_setting("daily_loss_force_close_pct", str(max(0.1, min(50.0, dl))))
+ except ValueError:
+ flash("日亏损强平线无效")
+ return redirect(url_for("settings"))
+ try:
+ sb = float(request.form.get("daily_loss_slippage_buffer_pct", "1") or 1)
+ set_setting("daily_loss_slippage_buffer_pct", str(max(0.0, min(20.0, sb))))
+ except ValueError:
+ flash("强平滑点预留无效")
+ return redirect(url_for("settings"))
flash("交易模式已保存")
elif action == "ctp":
from modules.ctp.ctp_settings import save_ctp_auto_connect, is_ctp_auto_connect_enabled
@@ -293,6 +305,8 @@ def register(deps) -> None:
small_account_margin_rec=small_account_margin_recommendations(),
trailing_be_tick_buffer=get_setting("trailing_be_tick_buffer", "2"),
pending_order_timeout_min=get_setting("pending_order_timeout_min", "5"),
+ daily_loss_force_close_pct=get_setting("daily_loss_force_close_pct", "2"),
+ daily_loss_slippage_buffer_pct=get_setting("daily_loss_slippage_buffer_pct", "1"),
nav_items=get_nav_items(get_setting),
nav_toggles=NAV_TOGGLES,
backup_dir=str(backup_dir()),
diff --git a/modules/stats/dashboard_lib.py b/modules/stats/dashboard_lib.py
index bdda7c1..ab06c65 100644
--- a/modules/stats/dashboard_lib.py
+++ b/modules/stats/dashboard_lib.py
@@ -55,6 +55,10 @@ def build_risk_overview(
equity: Optional[float] = None,
margin_used: Optional[float] = None,
) -> dict[str, Any]:
+ from modules.risk.account_risk_lib import (
+ daily_loss_slippage_buffer_pct,
+ daily_loss_total_cap_pct,
+ )
from risk.account_risk_lib import (
cooling_hours_manual,
cooling_hours_manual_journal,
@@ -92,7 +96,9 @@ def build_risk_overview(
active_n = effective_active_position_count(
conn, mode, ctp_connected=ctp_connected,
)
- risk = dict(get_risk_status(conn, equity=equity, active_count=active_n) or {})
+ risk = dict(get_risk_status(
+ conn, equity=equity, active_count=active_n, mode=mode, get_setting=get_setting,
+ ) or {})
row = conn.execute("SELECT * FROM account_risk_state WHERE id=1").fetchone()
td = trading_day_label()
stored_td = str(row["trading_day"] or "") if row else ""
@@ -109,7 +115,10 @@ def build_risk_overview(
daily_opens = int(risk.get("daily_open_count") or count_daily_opens(conn))
daily_risk_used = risk.get("daily_risk_used_pct")
if daily_risk_used is None and equity and equity > 0:
- daily_risk_used = daily_trading_risk_used_pct(conn, float(equity))
+ daily_risk_used = daily_trading_risk_used_pct(conn, float(equity), mode=mode)
+ daily_risk_lim = daily_trading_risk_pct_limit(get_setting)
+ slip_buf = daily_loss_slippage_buffer_pct(get_setting)
+ daily_risk_cap = daily_loss_total_cap_pct(get_setting)
return {
"enabled": risk_control_enabled(),
@@ -123,7 +132,9 @@ def build_risk_overview(
"position_mode": "single" if max_active_positions() <= 1 else "multi",
"position_mode_label": "单仓模式" if max_active_positions() <= 1 else "多仓模式",
"daily_position_limit": daily_position_limit(),
- "daily_trading_risk_pct_limit": daily_trading_risk_pct_limit(),
+ "daily_trading_risk_pct_limit": daily_risk_lim,
+ "daily_loss_slippage_buffer_pct": slip_buf,
+ "daily_loss_total_cap_pct": daily_risk_cap,
"manual_close_daily_limit": manual_close_daily_limit(),
"cooling_hours_manual": cooling_hours_manual(),
"cooling_hours_manual_journal": cooling_hours_manual_journal(),
diff --git a/modules/trading/install.py b/modules/trading/install.py
index 20db87b..a17e6a3 100644
--- a/modules/trading/install.py
+++ b/modules/trading/install.py
@@ -2463,6 +2463,8 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
conn,
active_count=_effective_active_position_count(conn, mode),
equity=capital,
+ mode=mode,
+ get_setting=get_setting,
)
margin_used = (
ctp_account_margin_used(mode) if ctp_st.get("connected") else None
@@ -2496,6 +2498,8 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
conn,
active_count=_effective_active_position_count(conn, mode),
equity=capital,
+ mode=mode,
+ get_setting=get_setting,
)
syncing = bool(ctp_st.get("connected") or ctp_st.get("connecting"))
payload = {
@@ -2858,6 +2862,8 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
conn, mode, ctp_connected=connected,
),
equity=capital,
+ mode=mode,
+ get_setting=get_setting,
)
ctp_acc = _ctp_account(mode) if connected else {}
bootstrap_live = position_hub.get_snapshot()
@@ -3270,7 +3276,7 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
execute_order(
conn, mode=mode, offset=offset, symbol=sym, direction=direction,
lots=lots, price=price, settings=_settings_dict(),
- order_type="market",
+ order_type="market", urgency="stop_loss",
)
mark_close_pending(sym, direction)
# 始终写本地记录：CTP 同步依赖内存开平配对，重启后或成交回报延迟时会漏记
@@ -3795,6 +3801,8 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
conn,
active_count=_effective_active_position_count(conn, mode),
equity=_capital(conn),
+ mode=mode,
+ get_setting=get_setting,
)
if err:
conn.close()
@@ -4099,6 +4107,8 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
conn,
active_count=_effective_active_position_count(conn, mode),
equity=capital,
+ mode=mode,
+ get_setting=get_setting,
)
conn.commit()
ctp_acc = _ctp_account(mode) if ctp_st.get("connected") else {}
@@ -4227,7 +4237,10 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
conn = get_db()
init_strategy_tables(conn)
capital = _capital(conn)
- err = assert_can_open(conn, equity=capital)
+ mode = get_trading_mode(get_setting)
+ err = assert_can_open(
+ conn, equity=capital, mode=mode, get_setting=get_setting,
+ )
if err:
conn.close()
return jsonify({"ok": False, "error": err}), 403
@@ -4748,7 +4761,8 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
if int(plan["lots_open"] or 0) > 0:
execute_order(
conn, mode=mode, offset="close", symbol=plan["symbol"],
- direction=plan["direction"], lots=int(plan["lots_open"]), price=price, settings=_settings_dict(),
+ direction=plan["direction"], lots=int(plan["lots_open"]), price=price,
+ settings=_settings_dict(), order_type="market", urgency="stop_loss",
)
except ValueError:
pass
@@ -4787,6 +4801,7 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
execute_order(
conn, mode=mode, offset="close", symbol=sym, direction=direction,
lots=int(plan["lots_open"] or 0), price=price, settings=_settings_dict(),
+ order_type="market", urgency="stop_loss",
)
except ValueError:
pass
@@ -4901,6 +4916,8 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
conn,
active_count=_effective_active_position_count(conn, mode),
equity=_capital(conn),
+ mode=mode,
+ get_setting=get_setting,
)
if err:
_notify(False, err, entry=entry, sl=sl, tp=tp, lots=0)
@@ -5065,6 +5082,17 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
notify_fn=send_wechat_msg,
interval=1,
)
+ from modules.risk.daily_loss_guard import start_daily_loss_guard_worker
+
+ start_daily_loss_guard_worker(
+ db_path=DB_PATH,
+ get_mode_fn=lambda: get_trading_mode(get_setting),
+ init_tables_fn=_init_tables,
+ get_capital_fn=_capital,
+ get_setting_fn=get_setting,
+ notify_fn=send_wechat_msg,
+ interval=2,
+ )
start_pending_order_worker(
db_path=DB_PATH,
get_mode_fn=lambda: get_trading_mode(get_setting),
diff --git a/modules/trading/sl_tp_guard.py b/modules/trading/sl_tp_guard.py
index d3e1dba..fb29e8e 100644
--- a/modules/trading/sl_tp_guard.py
+++ b/modules/trading/sl_tp_guard.py
@@ -818,6 +818,12 @@ def _execute_local_close(
direction = (mon.get("direction") or "long").strip().lower()
if close_pending_active(sym, direction):
return
+ try:
+ from modules.risk.account_risk_lib import should_skip_sl_tp_for_daily_loss
+ if should_skip_sl_tp_for_daily_loss(conn):
+ return
+ except Exception:
+ pass
positions = ctp_list_positions(mode)
pos = _find_position(positions, sym, direction)
if not pos:
@@ -849,6 +855,7 @@ def _execute_local_close(
lots=lots,
price=mark,
order_type="market",
+ urgency="stop_loss",
)
mark_close_pending(sym, direction)
_close_all_monitors_for_symbol(conn, sym, direction)
diff --git a/modules/web/static/css/trade.css b/modules/web/static/css/trade.css
index cfedadc..62b6b9e 100644
--- a/modules/web/static/css/trade.css
+++ b/modules/web/static/css/trade.css
@@ -49,6 +49,7 @@
.trade-action-row .btn-open{padding:.65rem .75rem;font-size:.9rem;width:100%}
.trade-action-row .btn-open:disabled{opacity:.45;cursor:not-allowed;filter:grayscale(.25)}
.trade-action-row .btn-open.btn-session-off{background:var(--text-muted);border-color:var(--text-muted)}
+.trade-action-row .btn-open.btn-risk-off{background:var(--text-muted);border-color:var(--text-muted);opacity:.72;cursor:not-allowed}
.trailing-be-toggle{display:flex;align-items:center;gap:.4rem;font-size:.78rem;color:var(--text-label);margin-bottom:.45rem;cursor:pointer;user-select:none}
.trailing-be-toggle input{width:auto;margin:0}
.trailing-be-hint{font-size:.72rem;margin:0;color:var(--text-muted)}
diff --git a/modules/web/static/js/dashboard.js b/modules/web/static/js/dashboard.js
index e9325d8..6e96b87 100644
--- a/modules/web/static/js/dashboard.js
+++ b/modules/web/static/js/dashboard.js
@@ -453,9 +453,22 @@
var dailyRiskLim = lim.daily_trading_risk_pct_limit != null
? lim.daily_trading_risk_pct_limit
: st.daily_trading_risk_pct_limit;
+ var slipBuf = lim.daily_loss_slippage_buffer_pct != null
+ ? lim.daily_loss_slippage_buffer_pct
+ : st.daily_loss_slippage_buffer_pct;
+ var dailyRiskCap = lim.daily_loss_total_cap_pct != null
+ ? lim.daily_loss_total_cap_pct
+ : st.daily_loss_total_cap_pct;
var dailyRiskText = dailyRiskUsed != null ? fmtNum(dailyRiskUsed) + '%' : '—';
if (dailyRiskLim != null && dailyRiskUsed != null) {
dailyRiskText += ' / ' + fmtNum(dailyRiskLim) + '%';
+ if (slipBuf != null) {
+ dailyRiskText += '（+滑点' + fmtNum(slipBuf) + '%';
+ if (dailyRiskCap != null) {
+ dailyRiskText += '，合计≤' + fmtNum(dailyRiskCap) + '%';
+ }
+ dailyRiskText += '）';
+ }
} else if (dailyRiskLim != null) {
dailyRiskText += ' / ' + fmtNum(dailyRiskLim) + '%';
}
@@ -489,7 +502,7 @@
},
{ label: '持仓限制', value: active + ' / ' + (maxPos != null ? maxPos : '—') },
{ label: '日持仓限制', value: dailyOpens + ' / ' + (dailyPosLim != null ? dailyPosLim : '—') },
- { label: '日交易风险', value: dailyRiskText },
+ { label: '日亏损风控', value: dailyRiskText },
{ label: '手动平仓次数', value: manualCnt + ' / ' + (manualLim != null ? manualLim : '—') },
{
label: '综合保证金占比',
diff --git a/modules/web/static/js/trade.js b/modules/web/static/js/trade.js
index 6519f5d..908e25c 100644
--- a/modules/web/static/js/trade.js
+++ b/modules/web/static/js/trade.js
@@ -28,6 +28,7 @@
var lastCtpLoginBanAt = 0;
var ctpReconnecting = false;
var ctpConnectInflight = false;
+ var lastRiskStatus = null;
var isTradingSession = false;
var hasSlTpMonitoring = false;
var ctpConnected = false;
@@ -313,6 +314,7 @@
}
var riskBadge = document.getElementById('risk-badge');
if (riskBadge && data.risk_status) {
+ lastRiskStatus = data.risk_status;
riskBadge.textContent = data.risk_status.status_label || '';
riskBadge.className = 'badge ' + (data.risk_status.can_trade ? 'profit' : 'loss');
}
@@ -396,9 +398,13 @@
function updateSessionUi() {
var btnOpen = document.getElementById('btn-open');
var sessionHint = document.getElementById('session-hint');
+ var canTrade = !lastRiskStatus || lastRiskStatus.can_trade !== false;
if (btnOpen) {
- btnOpen.disabled = !isTradingSession;
+ var blocked = !isTradingSession || !canTrade;
+ btnOpen.disabled = blocked;
btnOpen.classList.toggle('btn-session-off', !isTradingSession);
+ btnOpen.classList.toggle('btn-risk-off', isTradingSession && !canTrade);
+ btnOpen.textContent = (isTradingSession && !canTrade) ? '风控' : '开仓';
}
if (sessionHint) {
sessionHint.hidden = !!isTradingSession;
diff --git a/modules/web/templates/settings.html b/modules/web/templates/settings.html
index 6138175..3997c66 100644
--- a/modules/web/templates/settings.html
+++ b/modules/web/templates/settings.html
@@ -253,12 +253,21 @@
+
+
+
+
+
+
+
+
单仓保证金上限（默认 30%）用于新开仓校验与最大手数估算；综合保证金上限（默认 50%）在单仓模式下为滚仓合计上限、多仓模式下为全部持仓合计上限。固定金额计仓时先按止损算手数，再按单仓上限收紧。
移动保本：达 1R 后止损移至开仓价 ± N 跳。
挂单超时：限价开仓未成交时，超过设定分钟数自动向柜台撤单（1~60 分钟）。
+ 日亏损强平：当日亏损（已实现+浮亏）达「强平线」占权益比例时，无条件平掉全部持仓并当日禁止开仓；「滑点预留」为强平执行额外允许的最大亏损占权益比例（默认 2%+1%=3% 合计上限）。
{{ small_account_margin_rec.label }}。
CTP 账号与前置在下方「CTP 连接」中配置。
diff --git a/scripts/test_daily_loss_risk.py b/scripts/test_daily_loss_risk.py
new file mode 100644
index 0000000..9c81616
--- /dev/null
+++ b/scripts/test_daily_loss_risk.py
@@ -0,0 +1,121 @@
+#!/usr/bin/env python3
+"""日亏损风控单元自检（不加载 CTP 桥）。"""
+from __future__ import annotations
+
+import os
+import sys
+import tempfile
+from datetime import datetime
+from zoneinfo import ZoneInfo
+
+sys.path.insert(0, os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
+
+from modules.core.db_conn import connect_db
+from modules.risk.account_risk_lib import (
+ STATUS_DAILY_LOSS,
+ _parse_open_time_ms,
+ daily_trading_risk_pct_limit,
+ ensure_account_risk_schema,
+ get_risk_status,
+ trading_day_start,
+)
+
+
+def _gs(key: str, default: str = "") -> str:
+ defaults = {
+ "daily_loss_force_close_pct": "2",
+ "daily_loss_slippage_buffer_pct": "1",
+ "trading_mode": "simulation",
+ }
+ return defaults.get(key, default)
+
+
+def _closed_in_trading_day(close_time: str, now=None) -> bool:
+ from modules.risk.account_risk_lib import _parse_open_time_ms, trading_day_start
+
+ oms = _parse_open_time_ms((close_time or "").replace("T", " "))
+ if oms is None:
+ return False
+ return oms >= int(trading_day_start(now).timestamp() * 1000)
+
+
+def daily_realized_loss_amount(conn, *, now=None) -> float:
+ total = 0.0
+ for r in conn.execute(
+ "SELECT pnl_net, close_time FROM trade_logs WHERE close_time IS NOT NULL"
+ ).fetchall():
+ ct = r["close_time"] if isinstance(r, dict) else r[1]
+ pnl = float((r["pnl_net"] if isinstance(r, dict) else r[0]) or 0)
+ if not _closed_in_trading_day(ct, now):
+ continue
+ if pnl < 0:
+ total += -pnl
+ return round(total, 2)
+
+
+def main() -> None:
+ now = datetime.now(ZoneInfo("Asia/Shanghai"))
+ close_ts = now.strftime("%Y-%m-%d %H:%M:%S")
+
+ fd, path = tempfile.mkstemp(suffix=".db")
+ os.close(fd)
+ conn = connect_db(path)
+ try:
+ conn.execute(
+ """CREATE TABLE trade_logs (
+ id INTEGER PRIMARY KEY,
+ pnl_net REAL,
+ close_time TEXT
+ )"""
+ )
+ conn.execute(
+ """CREATE TABLE trade_order_monitors (
+ id INTEGER PRIMARY KEY,
+ symbol TEXT, direction TEXT, open_time TEXT, status TEXT
+ )"""
+ )
+ conn.execute(
+ """CREATE TABLE roll_groups (
+ id INTEGER PRIMARY KEY,
+ order_monitor_id INTEGER,
+ status TEXT
+ )"""
+ )
+ conn.execute(
+ "INSERT INTO trade_logs (pnl_net, close_time) VALUES (?, ?)",
+ (-2500.0, close_ts),
+ )
+ conn.commit()
+ ensure_account_risk_schema(conn)
+
+ lim = daily_trading_risk_pct_limit(_gs)
+ assert lim == 2.0, lim
+
+ loss = daily_realized_loss_amount(conn, now=now)
+ assert loss == 2500.0, loss
+
+ pct = round(loss / 100000.0 * 100, 2)
+ assert pct == 2.5, pct
+
+ # 模拟 get_risk_status 路径（无 CTP 浮亏）
+ import unittest.mock as mock
+
+ with mock.patch(
+ "modules.risk.account_risk_lib.daily_trading_risk_used_pct",
+ return_value=2.5,
+ ):
+ risk = get_risk_status(
+ conn, equity=100000.0, mode="simulation", get_setting=_gs,
+ )
+ assert risk["can_trade"] is False, risk
+ assert risk["status"] == STATUS_DAILY_LOSS, risk
+ assert risk["status_label"] == "风控", risk
+
+ print("OK daily loss risk tests passed")
+ finally:
+ conn.close()
+ os.unlink(path)
+
+
+if __name__ == "__main__":
+ main()