Add daily loss force-flatten at configurable equity limit
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -0,0 +1,347 @@
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# Copyright (c) 2025-2026 马建军. All rights reserved.
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"""日亏损风控：达权益比例上限后强制清仓并当日禁开。"""
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from __future__ import annotations
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import logging
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import threading
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import time
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from typing import Any, Callable, Optional
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from modules.core.contract_specs import calc_position_metrics
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from modules.market.market_sessions import is_trading_session
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from modules.risk.account_risk_lib import (
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_default_get_setting,
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daily_loss_force_close_pct,
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daily_loss_slippage_buffer_pct,
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daily_loss_total_cap_pct,
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ensure_account_risk_schema,
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risk_control_enabled,
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trading_day_label,
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trading_day_start,
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_parse_open_time_ms,
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)
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from modules.ctp.vnpy_bridge import (
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ctp_cancel_order,
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ctp_get_tick_price,
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ctp_list_active_orders,
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ctp_list_positions,
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ctp_status,
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execute_order,
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)
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logger = logging.getLogger(__name__)
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CHECK_INTERVAL_SEC = 2
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DISCONNECTED_SLEEP_SEC = 5
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CLOSED_MARKET_SLEEP_SEC = 30
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_flatten_lock = threading.Lock()
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_flatten_in_progress = False
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_last_flatten_attempt: float = 0.0
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FLATTEN_COOLDOWN_SEC = 15
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def _closed_in_trading_day(close_time: str, now=None) -> bool:
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oms = _parse_open_time_ms((close_time or "").replace("T", " "))
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if oms is None:
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return False
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return oms >= int(trading_day_start(now).timestamp() * 1000)
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def daily_realized_loss_amount(conn, *, now=None) -> float:
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"""当日已平仓实现的亏损金额（正数）。"""
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total = 0.0
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try:
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rows = conn.execute(
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"SELECT pnl_net, close_time FROM trade_logs WHERE close_time IS NOT NULL"
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).fetchall()
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except Exception:
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return 0.0
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for r in rows:
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if isinstance(r, dict):
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ct = r.get("close_time") or ""
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pnl = float(r.get("pnl_net") or 0)
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else:
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ct = r[1] if len(r) > 1 else ""
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pnl = float(r[0] or 0)
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if not _closed_in_trading_day(ct, now):
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continue
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if pnl < 0:
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total += -pnl
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return round(total, 2)
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def daily_floating_loss_amount(mode: str) -> float:
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"""当前持仓浮亏金额（正数），含隔夜仓跳空。"""
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if not mode:
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return 0.0
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loss = 0.0
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try:
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positions = ctp_list_positions(mode, refresh_if_empty=False, refresh_margin=False)
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except Exception:
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return 0.0
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for p in positions or []:
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lots = int(p.get("lots") or 0)
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if lots <= 0:
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continue
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sym = (p.get("symbol") or "").strip()
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direction = (p.get("direction") or "long").strip().lower()
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entry = float(p.get("avg_price") or p.get("entry_price") or 0)
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if entry <= 0 or not sym:
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continue
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mark = float(p.get("mark_price") or p.get("current_price") or 0)
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if mark <= 0:
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try:
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mark = float(ctp_get_tick_price(mode, sym) or 0)
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except Exception:
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mark = 0.0
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if mark <= 0:
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continue
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m = calc_position_metrics(
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direction, entry, entry, entry, lots, mark, 1.0, sym,
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)
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fp = float(m.get("float_pnl") or 0)
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if fp < 0:
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loss += -fp
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return round(loss, 2)
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def daily_loss_amount(
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conn,
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equity: float,
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mode: str,
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*,
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now=None,
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) -> tuple[float, float]:
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"""返回 (亏损金额, 占权益%)。"""
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if equity <= 0:
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return 0.0, 0.0
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realized = daily_realized_loss_amount(conn, now=now)
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floating = daily_floating_loss_amount(mode)
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total = realized + floating
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pct = round(total / float(equity) * 100, 2)
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return round(total, 2), pct
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def daily_loss_used_pct(
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conn,
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equity: float,
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mode: str,
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*,
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now=None,
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) -> Optional[float]:
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if equity <= 0:
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return None
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_, pct = daily_loss_amount(conn, equity, mode, now=now)
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return pct
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def mark_daily_loss_lock(conn, *, now=None) -> None:
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ensure_account_risk_schema(conn)
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td = trading_day_label(now)
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conn.execute(
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"""UPDATE account_risk_state SET trading_day=?, daily_frozen=1,
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cooloff_until_ms=NULL, cooloff_hours=NULL, updated_at=? WHERE id=1""",
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(td, time.strftime("%Y-%m-%d %H:%M:%S")),
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)
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conn.commit()
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def _cancel_all_close_orders(mode: str) -> int:
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cancelled = 0
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try:
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active = ctp_list_active_orders(mode)
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except Exception:
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return 0
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for o in active or []:
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offset_s = (o.get("offset") or "").upper()
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if "CLOSE" not in offset_s:
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continue
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oid = str(o.get("order_id") or o.get("vt_order_id") or "")
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if oid and ctp_cancel_order(mode, oid):
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cancelled += 1
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return cancelled
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def force_flatten_all_positions(
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conn,
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mode: str,
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*,
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equity: float,
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reason: str = "",
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notify_fn: Callable[[str], None] | None = None,
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get_setting: Callable[[str, str], str] | None = None,
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) -> int:
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"""无条件市价平掉全部持仓；返回提交平仓笔数。"""
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global _flatten_in_progress, _last_flatten_attempt
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if not ctp_status(mode).get("connected"):
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return 0
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with _flatten_lock:
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if _flatten_in_progress:
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return 0
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if time.time() - _last_flatten_attempt < FLATTEN_COOLDOWN_SEC:
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return 0
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_flatten_in_progress = True
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_last_flatten_attempt = time.time()
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submitted = 0
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try:
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mark_daily_loss_lock(conn)
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cancelled = _cancel_all_close_orders(mode)
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if cancelled:
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logger.info("日亏损强平：已撤平仓挂单 %d 笔", cancelled)
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positions = [
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p for p in (ctp_list_positions(mode) or [])
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if int(p.get("lots") or 0) > 0
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]
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if not positions:
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return 0
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slip_buf = daily_loss_slippage_buffer_pct(get_setting)
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for p in positions:
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sym = (p.get("symbol") or "").strip()
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direction = (p.get("direction") or "long").strip().lower()
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lots = int(p.get("lots") or 0)
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if not sym or lots <= 0:
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continue
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mark = float(p.get("mark_price") or p.get("current_price") or 0)
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if mark <= 0:
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mark = float(ctp_get_tick_price(mode, sym) or p.get("avg_price") or 0)
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if mark <= 0:
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logger.warning("日亏损强平跳过 %s：无有效价格", sym)
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continue
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offset = "close_long" if direction == "long" else "close_short"
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try:
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execute_order(
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conn,
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mode=mode,
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offset=offset,
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symbol=sym,
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direction=direction,
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lots=lots,
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price=mark,
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order_type="market",
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urgency="risk_flatten",
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equity=equity,
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slippage_buffer_pct=slip_buf,
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)
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submitted += 1
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logger.info(
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"日亏损强平已报单 %s %s %d手 @%s",
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sym, direction, lots, mark,
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)
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except Exception as exc:
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logger.warning("日亏损强平失败 %s: %s", sym, exc)
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if submitted and notify_fn:
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lim = daily_loss_force_close_pct(get_setting)
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cap = daily_loss_total_cap_pct(get_setting)
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msg = (
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f"日亏损风控：已达权益 {lim:g}% 上限，已强制平仓 {submitted} 笔"
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f"（含滑点预留至 {cap:g}%）。当日禁止开仓。"
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)
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if reason:
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msg = f"{reason} {msg}"
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try:
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notify_fn(msg)
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except Exception as exc:
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logger.debug("daily loss notify: %s", exc)
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if submitted:
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try:
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conn.execute(
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"UPDATE trade_order_monitors SET status='closed' WHERE status='active'"
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)
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conn.commit()
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except Exception as exc:
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logger.debug("close monitors after flatten: %s", exc)
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return submitted
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finally:
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with _flatten_lock:
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_flatten_in_progress = False
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def check_daily_loss_and_flatten(
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conn,
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mode: str,
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*,
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equity: float,
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notify_fn: Callable[[str], None] | None = None,
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get_setting: Callable[[str, str], str] | None = None,
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) -> int:
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"""达日亏损上限则锁日并强平。返回强平报单笔数。"""
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if not risk_control_enabled():
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return 0
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gs = get_setting or _default_get_setting
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lim = daily_loss_force_close_pct(gs)
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if equity <= 0:
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return 0
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used = daily_loss_used_pct(conn, equity, mode)
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if used is None or used < lim:
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return 0
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amt, pct = daily_loss_amount(conn, equity, mode)
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reason = f"当日亏损 {amt:.0f}元（{pct:.2f}%/权益）"
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return force_flatten_all_positions(
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conn,
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mode,
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equity=equity,
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reason=reason,
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notify_fn=notify_fn,
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get_setting=gs,
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)
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def start_daily_loss_guard_worker(
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*,
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db_path: str,
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get_mode_fn: Callable[[], str],
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get_capital_fn: Callable,
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get_setting_fn: Callable[[str, str], str] | None = None,
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init_tables_fn: Callable | None = None,
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notify_fn: Callable[[str], None] | None = None,
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interval: int = CHECK_INTERVAL_SEC,
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) -> None:
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from modules.core.db_conn import connect_db
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def _loop() -> None:
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time.sleep(25)
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while True:
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sleep_sec = max(1, interval)
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try:
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mode = get_mode_fn()
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if not ctp_status(mode).get("connected"):
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time.sleep(DISCONNECTED_SLEEP_SEC)
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continue
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if not is_trading_session():
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sleep_sec = max(sleep_sec, CLOSED_MARKET_SLEEP_SEC)
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conn = connect_db(db_path)
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try:
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if init_tables_fn:
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init_tables_fn(conn)
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equity = 0.0
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try:
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equity = float(get_capital_fn(conn) or 0)
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except Exception:
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equity = 0.0
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if equity <= 0:
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try:
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from modules.ctp.vnpy_bridge import ctp_get_account
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acc = ctp_get_account(mode) or {}
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equity = float(acc.get("balance") or 0)
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except Exception:
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equity = 0.0
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if equity > 0:
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n = check_daily_loss_and_flatten(
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conn,
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mode,
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equity=equity,
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notify_fn=notify_fn,
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get_setting=get_setting_fn,
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)
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if n:
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logger.info("日亏损守护: 强制平仓 %d 笔", n)
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finally:
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conn.close()
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except Exception as exc:
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logger.warning("daily_loss_guard worker: %s", exc)
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time.sleep(sleep_sec)
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threading.Thread(target=_loop, daemon=True, name="daily-loss-guard").start()
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