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Add daily loss force-flatten at configurable equity limit

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-07-03 12:42:13 +08:00
parent b6c3266a9e
commit 2081bf2da9
17 changed files with 850 additions and 97 deletions
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modules/ctp/ctp_worker.py
+32
View File
@@ -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)
modules/ctp/vnpy_bridge.py
+113 -10
View File
@@ -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,
modules/risk/account_risk_lib.py
+120 -73
View File
@@ -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
modules/risk/daily_loss_guard.py
+347
View File
@@ -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()
modules/settings/routes.py
+14
View File
@@ -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()),
modules/stats/dashboard_lib.py
+14 -3
View File
@@ -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(),
modules/trading/install.py
+31 -3
View File
@@ -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),
modules/trading/sl_tp_guard.py
+7
View File
@@ -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)
modules/web/static/css/trade.css
+1
View File
@@ -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)}
modules/web/static/js/dashboard.js
+14 -1
View File
@@ -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',
modules/web/static/js/trade.js
+7 -1
View File
@@ -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;
modules/web/templates/settings.html
+9
View File
@@ -253,12 +253,21 @@
<label>开仓挂单超时（分钟）</label>
<input name="pending_order_timeout_min" type="number" step="1" min="1" max="60" value="{{ pending_order_timeout_min }}">
</div>
<div class="field">
<label>日亏损强平线（%权益）</label>
<input name="daily_loss_force_close_pct" type="number" step="0.1" min="0.1" max="50" value="{{ daily_loss_force_close_pct }}">
</div>
<div class="field">
<label>强平滑点预留（%权益）</label>
<input name="daily_loss_slippage_buffer_pct" type="number" step="0.1" min="0" max="20" value="{{ daily_loss_slippage_buffer_pct }}">
</div>
</div>
<button type="submit" class="btn-primary" style="margin-top:.75rem">保存交易设置</button>
<p class="hint" style="margin-top:.75rem;margin-bottom:0">
单仓保证金上限（默认 30%）用于<strong>新开仓</strong>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<strong>先按止损算手数，再按单仓上限收紧</strong>。
<strong>移动保本</strong>：达 1R 后止损移至开仓价 ± N 跳。
<strong>挂单超时</strong>：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）。
<strong>日亏损强平</strong>：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）。
<span class="text-muted">{{ small_account_margin_rec.label }}。</span>
CTP 账号与前置在下方「CTP 连接」中配置。
</p>