Add daily loss force-flatten at configurable equity limit

Co-authored-by: Cursor <cursoragent@cursor.com>

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,