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feat: 止盈止损秒级监控市价平仓记交易记录，并加手数超限提醒。

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-06-25 13:16:19 +08:00
parent f05362ea74
commit 598a1407e1
5 changed files with 299 additions and 21 deletions
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install_trading.py
+5
View File
@@ -11,6 +11,7 @@ from flask import flash, jsonify, redirect, render_template, request, url_for, R
from contract_specs import calc_position_metrics, get_contract_spec
from fee_specs import calc_fee_breakdown
from kline_stream import sse_format
from market_sessions import is_trading_session
from position_sizing import (
MODE_FIXED,
MODE_RISK,
@@ -479,6 +480,7 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
"ctp_status": ctp_st,
"trading_mode_label": trading_mode_label(get_setting),
"risk_status": risk,
"trading_session": is_trading_session(),
})
finally:
conn.close()
@@ -1411,6 +1413,9 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
db_path=DB_PATH,
get_mode_fn=lambda: get_trading_mode(get_setting),
init_tables_fn=_init_tables,
get_capital_fn=_capital,
notify_fn=send_wechat_msg,
interval=1,
)
start_ctp_fee_worker(
get_mode_fn=lambda: get_trading_mode(get_setting),
sl_tp_guard.py
+191 -16
View File
@@ -4,10 +4,15 @@ from __future__ import annotations
import logging
import threading
import time
from datetime import datetime
from typing import Any, Callable, Optional
from zoneinfo import ZoneInfo
from contract_specs import get_contract_spec
from contract_specs import calc_position_metrics
from ctp_symbol import ths_to_vnpy_symbol
from fee_specs import calc_round_trip_fee
from market_sessions import is_trading_session
from symbols import ths_to_codes
from vnpy_bridge import (
ctp_cancel_order,
ctp_get_tick_price,
@@ -19,10 +24,15 @@ from vnpy_bridge import (
logger = logging.getLogger(__name__)
CHECK_INTERVAL_SEC = 5
PLACE_COOLDOWN_SEC = 30
TZ = ZoneInfo("Asia/Shanghai")
CHECK_INTERVAL_SEC = 1
CLOSED_MARKET_SLEEP_SEC = 30
DISCONNECTED_SLEEP_SEC = 5
PLACE_COOLDOWN_SEC = 3
_last_close_attempt: dict[int, float] = {}
_closing_monitors: set[int] = set()
_closing_lock = threading.Lock()
MONITOR_ORDER_COLUMNS = (
"ALTER TABLE trade_order_monitors ADD COLUMN sl_vt_order_id TEXT",
@@ -39,6 +49,7 @@ def ensure_monitor_order_columns(conn) -> None:
def _tick_size(ths_code: str) -> float:
from contract_specs import get_contract_spec
return float(get_contract_spec(ths_code).get("tick_size") or 1.0)
@@ -106,6 +117,105 @@ def _mark_close_attempt(monitor_id: int) -> None:
_last_close_attempt[monitor_id] = time.time()
def _try_acquire_close(monitor_id: int) -> bool:
with _closing_lock:
if monitor_id in _closing_monitors:
return False
_closing_monitors.add(monitor_id)
return True
def _release_close(monitor_id: int) -> None:
with _closing_lock:
_closing_monitors.discard(monitor_id)
def _monitor_type_label(raw: str) -> str:
mapping = {
"manual": "期货下单",
"trend": "趋势回调",
"roll": "顺势加仓",
}
return mapping.get(raw or "", raw or "程序监控")
def _write_trade_log(
conn,
mon: dict,
*,
close_price: float,
reason: str,
trading_mode: str,
capital: float = 0.0,
) -> None:
"""止盈/止损触发平仓后写入 trade_logs。"""
sym = (mon.get("symbol") or "").strip()
direction = (mon.get("direction") or "long").strip().lower()
entry = float(mon.get("entry_price") or close_price)
sl_raw = mon.get("stop_loss")
tp_raw = mon.get("take_profit")
sl = float(sl_raw) if sl_raw is not None else entry
tp = float(tp_raw) if tp_raw is not None else entry
lots = float(mon.get("lots") or 1)
open_time = (mon.get("open_time") or "").strip()
close_time = datetime.now(TZ).strftime("%Y-%m-%dT%H:%M")
codes = ths_to_codes(sym) or {}
sina_code = codes.get("sina_code") or ""
symbol_name = mon.get("symbol_name") or sym
market_code = mon.get("market_code") or codes.get("market_code") or ""
metrics = calc_position_metrics(
direction, entry, sl, tp, lots, close_price, capital, sym,
)
pnl = metrics.get("float_pnl") or 0.0
fee = calc_round_trip_fee(
sym, entry, close_price, lots, open_time, close_time, trading_mode=trading_mode,
)
pnl_net = round(pnl - fee, 2)
result = "止盈" if reason == "take_profit" else "止损"
try:
from app import holding_to_minutes
minutes = holding_to_minutes(open_time, close_time)
except Exception:
minutes = 0
conn.execute(
"""INSERT INTO trade_logs
(symbol, symbol_name, market_code, sina_code, monitor_type, direction,
entry_price, stop_loss, take_profit, close_price, lots, margin,
holding_minutes, open_time, close_time, pnl, fee, pnl_net, result)
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
(
sym,
symbol_name,
market_code,
sina_code,
_monitor_type_label(mon.get("monitor_type") or ""),
direction,
entry,
sl_raw if sl_raw is not None else sl,
tp_raw if tp_raw is not None else tp,
close_price,
lots,
metrics.get("margin"),
minutes,
open_time,
close_time,
pnl,
fee,
pnl_net,
result,
),
)
try:
from stats_engine import refresh_stats_cache
refresh_stats_cache(conn, capital)
except Exception as exc:
logger.debug("stats refresh after SL/TP close: %s", exc)
def _sl_triggered(direction: str, sl: float, mark: float, tick: float) -> bool:
buf = max(tick * 0.01, 1e-9)
if direction == "long":
@@ -216,6 +326,8 @@ def _execute_local_close(
mode: str,
mark: float,
reason: str,
capital: float = 0.0,
notify_fn: Callable[[str], None] | None = None,
) -> None:
sym = (mon.get("symbol") or "").strip()
direction = (mon.get("direction") or "long").strip().lower()
@@ -237,19 +349,41 @@ def _execute_local_close(
price=mark,
order_type="market",
)
_write_trade_log(
conn,
mon,
close_price=mark,
reason=reason,
trading_mode=mode,
capital=capital,
)
conn.execute("UPDATE trade_order_monitors SET status='closed' WHERE id=?", (mon["id"],))
conn.commit()
label = "止盈" if reason == "take_profit" else "止损"
logger.info(
"止盈止损本地触发 monitor=%s reason=%s %s %s %d手 @%s",
mon.get("id"), reason, sym, direction, lots, mark,
)
if notify_fn:
try:
notify_fn(f"{label}平仓 {sym} {direction} {lots}手 @{mark}，已记入交易记录")
except Exception as exc:
logger.debug("SL/TP notify failed: %s", exc)
def check_monitors_locally(conn, mode: str) -> int:
"""扫描 active 监控，本地比对行情；触发止盈/止损（含跳空穿透）后立刻平仓。"""
def check_monitors_locally(
conn,
mode: str,
*,
capital: float = 0.0,
notify_fn: Callable[[str], None] | None = None,
) -> int:
"""扫描 active 监控，本地比对行情；触发止盈/止损（含跳空穿透）后立刻市价平仓并记交易记录。"""
ensure_monitor_order_columns(conn)
if not ctp_status(mode).get("connected"):
return 0
if not is_trading_session():
return 0
reconcile_monitors_without_position(conn, mode)
closed = 0
rows = conn.execute(
@@ -293,12 +427,26 @@ def check_monitors_locally(conn, mode: str) -> int:
continue
if mid > 0 and not _can_close_now(mid):
continue
if mid > 0 and not _try_acquire_close(mid):
continue
try:
_mark_close_attempt(mid)
_execute_local_close(conn, mon, mode=mode, mark=mark, reason=reason)
_execute_local_close(
conn,
mon,
mode=mode,
mark=mark,
reason=reason,
capital=capital,
notify_fn=notify_fn,
)
if mid > 0:
_mark_close_attempt(mid)
closed += 1
except Exception as exc:
logger.warning("SL/TP local close failed monitor=%s: %s", mid, exc)
finally:
if mid > 0:
_release_close(mid)
return closed
@@ -358,6 +506,8 @@ def start_sl_tp_guard_worker(
db_path: str,
get_mode_fn: Callable[[], str],
init_tables_fn: Callable | None = None,
get_capital_fn: Callable | None = None,
notify_fn: Callable[[str], None] | None = None,
interval: int = CHECK_INTERVAL_SEC,
) -> None:
from db_conn import connect_db
@@ -365,20 +515,45 @@ def start_sl_tp_guard_worker(
def _loop() -> None:
time.sleep(8)
while True:
sleep_sec = max(1, interval)
try:
if not is_trading_session():
time.sleep(CLOSED_MARKET_SLEEP_SEC)
continue
mode = get_mode_fn()
if ctp_status(mode).get("connected"):
conn = connect_db(db_path)
try:
if init_tables_fn:
init_tables_fn(conn)
n = check_monitors_locally(conn, mode)
if not ctp_status(mode).get("connected"):
time.sleep(DISCONNECTED_SLEEP_SEC)
continue
conn = connect_db(db_path)
try:
if init_tables_fn:
init_tables_fn(conn)
has_monitors = conn.execute(
"""SELECT COUNT(*) AS n FROM trade_order_monitors
WHERE status='active'
AND (stop_loss IS NOT NULL OR take_profit IS NOT NULL)"""
).fetchone()["n"]
if not has_monitors:
sleep_sec = max(sleep_sec, 5)
else:
capital = 0.0
if get_capital_fn:
try:
capital = float(get_capital_fn(conn) or 0)
except Exception:
capital = 0.0
n = check_monitors_locally(
conn,
mode,
capital=capital,
notify_fn=notify_fn,
)
if n:
logger.info("止盈止损本地监控: 触发平仓 %d 笔", n)
finally:
conn.close()
finally:
conn.close()
except Exception as exc:
logger.warning("sl_tp_guard worker: %s", exc)
time.sleep(max(3, interval))
time.sleep(sleep_sec)
threading.Thread(target=_loop, daemon=True, name="sl-tp-guard").start()
static/css/trade.css
+1
View File
@@ -25,6 +25,7 @@
.trade-field label{display:block;font-size:.72rem;margin-bottom:.28rem;color:var(--text-label)}
.trade-field select,.trade-field input{width:100%;box-sizing:border-box}
.trade-field .lots-auto{color:var(--accent);font-weight:600;background:var(--card-inner);cursor:default}
.lots-warn{font-size:.7rem;margin-top:.25rem;margin-bottom:0}
.price-type-tabs{display:flex;gap:.35rem;margin-bottom:.35rem}
.price-tab{border:1px solid var(--card-border);background:var(--card-inner);color:var(--text-muted);padding:.28rem .7rem;border-radius:6px;font-size:.75rem;cursor:pointer;flex:1;text-align:center;width:auto}
.price-tab.active{border-color:var(--accent);color:var(--accent);font-weight:600;background:rgba(56,189,248,.08)}
static/js/trade.js
+100 -4
View File
@@ -19,6 +19,13 @@
var priceType = 'limit';
var lastCtpReconnectAt = 0;
var ctpReconnecting = false;
var isTradingSession = false;
var hasSlTpMonitoring = false;
var ctpConnected = false;
var pollIntervalMs = 0;
var selectedMaxLots = null;
var recommendMaxByProduct = {};
var recommendMaxByCode = {};
function runWhenReady(fn) {
if (document.readyState === 'loading') {
@@ -52,6 +59,63 @@
return parseInt(lotsInput && lotsInput.value, 10) || 1;
}
function updateRecommendMaxMaps(data) {
recommendMaxByProduct = {};
recommendMaxByCode = {};
(data && data.rows || []).forEach(function (r) {
if (!r || r.max_lots <= 0) return;
if (r.status !== 'ok' && r.status !== 'margin_ok') return;
if (r.ths) recommendMaxByProduct[String(r.ths).toLowerCase()] = r.max_lots;
if (r.main_code) recommendMaxByCode[String(r.main_code).toLowerCase()] = r.max_lots;
});
checkLotsLimit();
}
function maxLotsForSymbol(sym) {
if (selectedMaxLots > 0) return selectedMaxLots;
var code = (sym || '').trim().toLowerCase();
if (!code) return 0;
if (recommendMaxByCode[code]) return recommendMaxByCode[code];
var m = code.match(/^([a-z]+)/i);
if (m && recommendMaxByProduct[m[1].toLowerCase()]) {
return recommendMaxByProduct[m[1].toLowerCase()];
}
return 0;
}
function checkLotsLimit() {
var warn = document.getElementById('lots-warn');
if (!warn) return;
var sym = selectedSymbol();
var maxLots = maxLotsForSymbol(sym);
var lots = effectiveLots();
if (maxLots > 0 && lots > maxLots) {
warn.hidden = false;
warn.textContent = '已超过最大手数 ' + maxLots + ' 手，请调整手数';
} else {
warn.hidden = true;
warn.textContent = '';
}
}
function schedulePositionPoll() {
var nextMs = 0;
if (hasSlTpMonitoring && isTradingSession) {
nextMs = 1000;
} else if (!ctpConnected) {
nextMs = 5000;
}
if (nextMs === pollIntervalMs && pollTimer) return;
pollIntervalMs = nextMs;
if (pollTimer) {
clearInterval(pollTimer);
pollTimer = null;
}
if (nextMs > 0) {
pollTimer = setInterval(pollPositions, nextMs);
}
}
function entryPrice() {
if (priceType === 'market') return lastQuotePrice;
return parseFloat(priceInput && priceInput.value) || 0;
@@ -201,6 +265,7 @@
if (!sym || !entry || !sl) {
lotsCalc.value = '';
lotsCalc.placeholder = '填写止损后自动计算';
checkLotsLimit();
return;
}
lotsCalc.placeholder = '计算中…';
@@ -223,6 +288,7 @@
}
lotsCalc.value = data.lots;
lotsCalc.placeholder = '填写止损后自动计算';
checkLotsLimit();
scheduleQuote();
}).catch(function () {
lotsCalc.placeholder = '计算失败';
@@ -273,6 +339,11 @@
showOrderMsg('请填写手数', false);
return;
}
var maxLots = maxLotsForSymbol(sym);
if (maxLots > 0 && lots > maxLots) {
showOrderMsg('手数 ' + lots + ' 超过最大手数 ' + maxLots + ' 手', false);
return;
}
}
var btnOpen = document.getElementById('btn-open');
if (btnOpen) {
@@ -562,6 +633,8 @@
if (cap && data.capital != null) cap.textContent = Number(data.capital).toFixed(2);
var connected = data.ctp_status && data.ctp_status.connected;
var connecting = data.ctp_status && data.ctp_status.connecting;
ctpConnected = !!connected;
isTradingSession = !!data.trading_session;
updateCtpBadge(!!connected, !!connecting);
var riskBadge = document.getElementById('risk-badge');
if (riskBadge && data.risk_status) {
@@ -569,6 +642,10 @@
riskBadge.className = 'badge ' + (data.risk_status.can_trade ? 'profit' : 'loss');
}
var rows = data.rows || [];
hasSlTpMonitoring = rows.some(function (row) {
return row.stop_loss != null || row.take_profit != null;
});
schedulePositionPoll();
if (!connected) {
if (connecting) {
list.innerHTML = '<div class="empty-hint">CTP 连接中，请稍候…</div>';
@@ -618,6 +695,7 @@
function renderRecommendations(data) {
if (!recommendList || !data) return;
updateRecommendMaxMaps(data);
var recCap = document.getElementById('rec-capital');
if (recCap && data.capital != null) recCap.textContent = Number(data.capital).toFixed(2);
var recUpdated = document.getElementById('rec-updated');
@@ -666,13 +744,25 @@
});
if (symInput) {
symInput.addEventListener('input', function () { scheduleQuote(); scheduleAutoCalc(); });
symInput.addEventListener('symbol-selected', function () {
symInput.addEventListener('input', function () {
selectedMaxLots = null;
scheduleQuote();
scheduleAutoCalc();
checkLotsLimit();
});
symInput.addEventListener('symbol-selected', function (ev) {
var item = ev.detail || {};
selectedMaxLots = item.max_lots > 0 ? item.max_lots : null;
scheduleQuote();
scheduleAutoCalc();
checkLotsLimit();
});
}
if (lotsInput) lotsInput.addEventListener('input', scheduleQuote);
if (lotsInput) lotsInput.addEventListener('input', function () {
scheduleQuote();
checkLotsLimit();
});
if (lotsCalc) lotsCalc.addEventListener('input', checkLotsLimit);
if (slInput) slInput.addEventListener('input', scheduleAutoCalc);
if (tpInput) tpInput.addEventListener('input', scheduleAutoCalc);
if (dirSelect) dirSelect.addEventListener('change', scheduleAutoCalc);
@@ -697,7 +787,13 @@
setPriceType('limit');
pollPositions();
connectRecommendStream();
pollTimer = setInterval(pollPositions, 3000);
fetch('/api/recommend/list')
.then(function (r) { return r.json(); })
.then(function (data) { if (data.ok) renderRecommendations(data); })
.catch(function () {});
document.addEventListener('visibilitychange', function () {
if (document.visibilityState === 'visible') pollPositions();
});
scheduleQuote();
});
})();
templates/trade.html
+2 -1
View File
@@ -55,6 +55,7 @@
<label class="text-label">手数</label>
<input type="number" id="trade-lots" min="1" step="1" value="1" {% if sizing_mode == 'risk' %}hidden{% endif %}>
<input type="text" id="trade-lots-calc" class="lots-auto" readonly placeholder="填写止损后自动计算" {% if sizing_mode != 'risk' %}hidden{% endif %}>
<p class="hint lots-warn text-loss" id="lots-warn" hidden></p>
</div>
</div>
@@ -97,7 +98,7 @@
<div class="card trade-card" id="positions">
<h2>持仓监控</h2>
<p class="hint pos-hint">数据来自 CTP 柜台（交易所回报），浮盈等为柜台实际值。</p>
<p class="hint pos-hint">数据来自 CTP 柜台；设止盈/止损后程序在开盘期间每秒监控，触发即市价平仓并记入交易记录。</p>
<div class="card-body card-scroll" id="position-live-list">
<div class="empty-hint">{% if ctp_status.connected %}加载中…{% else %}请先连接 CTP 查看柜台持仓{% endif %}</div>
</div>