gavindiaz/mt5_python_ea_suite
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feat: 一票制并发锁 + MT5硬止损兜底

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- 一票制: _pending_long/_pending_short 计数器防同一周期内多信号穿透
- 硬止损: MT5下单时附带sl/tp，倍率1.5x(止损)/1.3x(止盈)，比EA软止损更宽
- config.py: 新增 hard_sl_multiplier/hard_tp_multiplier
- 全部 send_order 链路(abc/remote/live/server/dryrun/backtest) 支持 sl/tp 参数
- 对冲模块: 彻底移除
- 日志: 去重+30轮摘要
This commit is contained in:
silencesdg
2026-05-14 13:33:23 +08:00
parent cacca80e11
commit 430376eb61
18 changed files with 1089 additions and 120 deletions
Download Patch File Download Diff File Expand all files Collapse all files
core/data/abc.py
+1 -1
View File
@@ -37,7 +37,7 @@ class DataProvider(ABC):
"""获取品种信息（合约规格等）"""
@abstractmethod
def send_order(self, symbol, order_type, volume):
def send_order(self, symbol, order_type, volume, sl=None, tp=None):
"""发送订单"""
@abstractmethod
core/data/backtest.py
+1 -1
View File
@@ -64,7 +64,7 @@ class BacktestDataProvider(DataProvider):
symbol, timeframe, count, self.current_index
)
def send_order(self, symbol, order_type, volume):
def send_order(self, symbol, order_type, volume, sl=None, tp=None):
self.simulated_ticket_counter += 1
logger.info(f"[回测模式] 下单: {order_type} {volume:.2f}手 {symbol}")
return {'order': self.simulated_ticket_counter}
core/data/dryrun.py
+1 -1
View File
@@ -48,7 +48,7 @@ class DryRunDataProvider(DataProvider):
def get_positions(self, symbol):
return []
def send_order(self, symbol, order_type, volume):
def send_order(self, symbol, order_type, volume, sl=None, tp=None):
self.simulated_ticket_counter += 1
price_data = self.get_current_price(symbol)
price = price_data['last'] if price_data else "N/A"
core/data/live.py
+3 -1
View File
@@ -53,7 +53,7 @@ class LiveDataProvider(DataProvider):
def get_symbol_info(self, symbol):
return _get_mt5().symbol_info(symbol)
def send_order(self, symbol, order_type, volume):
def send_order(self, symbol, order_type, volume, sl=None, tp=None):
price_data = self.get_current_price(symbol)
if not price_data:
logger.error(f"无法获取 {symbol} 价格，无法下单")
@@ -92,6 +92,8 @@ class LiveDataProvider(DataProvider):
"volume": volume,
"type": order_type_mt5,
"price": price,
"sl": sl or 0.0, # ★ MT5 硬止损（0=不设）
"tp": tp or 0.0, # ★ MT5 硬止盈
"deviation": 20,
"magic": 234000,
"comment": f"{order_type} order",
core/data/remote.py
+7 -2
View File
@@ -92,11 +92,16 @@ class RemoteDataProvider(DataProvider):
except Exception:
return None
def send_order(self, symbol, order_type, volume):
def send_order(self, symbol, order_type, volume, sl=None, tp=None):
try:
body = {"symbol": symbol, "order_type": order_type, "volume": volume}
if sl is not None:
body["sl"] = sl
if tp is not None:
body["tp"] = tp
resp = self._session.post(
f"{self.base_url}/order",
json={"symbol": symbol, "order_type": order_type, "volume": volume},
json=body,
timeout=10,
)
if resp.status_code != 200:
core/risk/controller.py
-3
View File
@@ -19,9 +19,6 @@ class RiskController:
def monitor_positions(self, current_price, dry_run=False, weighted_signal=0.0):
self.position_manager.monitor_positions(current_price, dry_run, weighted_signal)
# 对冲摘要日志
if self.position_manager.hedge_manager and self.position_manager.hedge_manager.active_hedges > 0:
logger.info(f"🔒 活跃对冲: {self.position_manager.hedge_manager.active_hedges} 个")
def sync_state(self):
self.position_manager.update_equity()
core/risk/position.py
+100 -42
View File
@@ -8,7 +8,6 @@ from config import (
RISK_CONFIG_CONST, SIMULATION_CONFIG
)
from core.risk.exit_rules import ExitRuleEngine, ExitContext
from core.risk.hedge import HedgeManager
class PositionManager:
@@ -39,6 +38,10 @@ class PositionManager:
self.enable_time_based_exit = RISK_CONFIG_CONST.get("enable_time_based_exit", False)
self.max_daily_loss = risk.get("max_daily_loss", -0.30)
# ★ 硬止损倍率（MT5 服务器端兜底）
self.hard_sl_mult = risk.get("hard_sl_multiplier", 1.5)
self.hard_tp_mult = risk.get("hard_tp_multiplier", 1.3)
# 资金管理
self.initial_capital = INITIAL_CAPITAL
self.long_capital_pct = CAPITAL_ALLOCATION.get("long_pct", 0.5)
@@ -53,6 +56,9 @@ class PositionManager:
self.cooldown_bars = risk.get("cooldown_bars", 30)
self._cooldown_counter = 0
# 拒单去重：避免连续刷相同拒绝日志
self._last_rejected_msg = None
# 退出规则引擎
exit_config = {
"stop_loss_pct": self.stop_loss_pct,
@@ -73,7 +79,12 @@ class PositionManager:
# 对冲管理器
from config import HEDGE_CONFIG
self.hedge_manager = HedgeManager(self, HEDGE_CONFIG)
self.hedge_manager = None # 对冲模块已禁用
# ★ 一票制并发锁：防止同一周期内多个信号穿透
# 开仓前+1，完成后-1，持仓检查时累加 pending 计数
self._pending_long = 0
self._pending_short = 0
# ── 仓位计算 ──
@@ -103,6 +114,18 @@ class PositionManager:
volume = max(min_volume, min(volume, max_volume))
return volume
# ── 去重日志 ──
def _reject_log(self, msg):
"""只在首次出现或拒绝原因变化时打印"""
if msg != self._last_rejected_msg:
logger.info(msg)
self._last_rejected_msg = msg
def _clear_reject_log(self):
"""开仓成功/平仓后重置去重状态"""
self._last_rejected_msg = None
# ── 开仓 ──
def open_position(self, direction, current_price, signal_strength=0.0, dry_run=False):
@@ -123,65 +146,99 @@ class PositionManager:
# 交易方向限制
if self.trade_direction == "long" and direction == "sell":
logger.info("当前配置只允许做多，忽略卖出信号")
self._reject_log("当前配置只允许做多，忽略卖出信号")
return False
elif self.trade_direction == "short" and direction == "buy":
logger.info("当前配置只允许做空，忽略买入信号")
self._reject_log("当前配置只允许做空，忽略买入信号")
return False
# ★ 每日亏损检查（幽灵代码落地）
current_time = current_price.get('time', pd.Timestamp.now())
if self._check_max_daily_loss(current_time):
logger.warning("当日亏损已达上限，禁止开新仓")
self._reject_log("当日亏损已达上限，禁止开新仓")
return False
# 最大持仓数检查 — 优先使用 risk_config 传入值，回退到 REALTIME_CONFIG
# ★ 加入 pending 计数器防并发穿透：同一周期内多信号同时检查时，第一个开仓后
# 其 pending 计数会让后续信号看到正确数量，不会误开
max_key = f'max_{position_type}_positions'
max_positions = self._risk_config.get(max_key, None)
if max_positions is None:
from config import REALTIME_CONFIG
max_positions = REALTIME_CONFIG.get(max_key, 1)
current_count = len([p for p in self.positions if p['position_type'] == position_type])
pending_count = self._pending_long if position_type == 'long' else self._pending_short
current_count = len([p for p in self.positions if p['position_type'] == position_type]) + pending_count
if 0 < max_positions <= current_count:
logger.info(f"已达到最大{position_type}持仓数 ({max_positions})，忽略信号")
self._reject_log(f"已达{position_type}最大持仓({max_positions})，忽略信号")
return False
# 资金分配
capital_pct = self.long_capital_pct if direction == 'buy' else self.short_capital_pct
capital_for_trade = self.total_equity * capital_pct
position_volume = self._calculate_position_size(capital_for_trade, {'last': execution_price})
if position_volume <= 0:
logger.info("仓位大小为0，无法开仓")
return False
order_result = self.data_provider.send_order(self.symbol, direction, position_volume)
if order_result is None:
logger.error("订单返回None")
return False
# ★ 占位：标记一个 pending 订单，防止并发穿透
if position_type == 'long':
self._pending_long += 1
else:
self._pending_short += 1
try:
order_id = order_result['order'] if isinstance(order_result, dict) else order_result.order
except Exception as e:
logger.error(f"解析订单ID失败: {e}")
return False
# 资金分配
capital_pct = self.long_capital_pct if direction == 'buy' else self.short_capital_pct
capital_for_trade = self.total_equity * capital_pct
if order_result and order_id > 0:
new_position = {
'ticket': order_id,
'symbol': self.symbol,
'entry_price': execution_price,
'entry_time': current_time,
'position_type': position_type,
'quantity': position_volume,
'peak_profit_pct': 0.0,
}
self.positions.append(new_position)
logger.info(f"开仓成功: {direction} @ {execution_price:.2f}, 手数: {position_volume:.2f}, Ticket: {order_id}")
return True
else:
logger.error(f"开仓失败: {direction} @ {execution_price:.2f}")
return False
position_volume = self._calculate_position_size(capital_for_trade, {'last': execution_price})
if position_volume <= 0:
self._reject_log("仓位大小为0，无法开仓")
return False
# ★ 计算 MT5 硬止损/硬止盈（兜底安全网）
hard_sl_price = None
hard_tp_price = None
if direction == 'buy':
if self.hard_sl_mult > 0:
hard_sl_price = round(execution_price * (1 + self.stop_loss_pct * self.hard_sl_mult), 2)
if self.hard_tp_mult > 0:
hard_tp_price = round(execution_price * (1 + self.take_profit_pct * self.hard_tp_mult), 2)
else:
if self.hard_sl_mult > 0:
hard_sl_price = round(execution_price * (1 - self.stop_loss_pct * self.hard_sl_mult), 2)
if self.hard_tp_mult > 0:
hard_tp_price = round(execution_price * (1 - self.take_profit_pct * self.hard_tp_mult), 2)
order_result = self.data_provider.send_order(
self.symbol, direction, position_volume,
sl=hard_sl_price, tp=hard_tp_price
)
if order_result is None:
logger.error("订单返回None")
return False
try:
order_id = order_result['order'] if isinstance(order_result, dict) else order_result.order
except Exception as e:
logger.error(f"解析订单ID失败: {e}")
return False
if order_result and order_id > 0:
new_position = {
'ticket': order_id,
'symbol': self.symbol,
'entry_price': execution_price,
'entry_time': current_time,
'position_type': position_type,
'quantity': position_volume,
'peak_profit_pct': 0.0,
}
self.positions.append(new_position)
self._clear_reject_log()
logger.info(f"开仓成功: {direction} @ {execution_price:.2f}, 手数: {position_volume:.2f}, Ticket: {order_id}")
return True
else:
logger.error(f"开仓失败: {direction} @ {execution_price:.2f}")
return False
finally:
# ★ 释放 pending 占位（无论成功/失败/异常）
if position_type == 'long':
self._pending_long -= 1
else:
self._pending_short -= 1
# ── 持仓监控 ──
@@ -233,6 +290,7 @@ class PositionManager:
if positions_to_remove:
self.positions = [p for p in self.positions if p not in positions_to_remove]
self._cooldown_counter = self.cooldown_bars
self._clear_reject_log()
self.update_equity()
self.cleanup_peak_data()
@@ -353,8 +411,8 @@ class PositionManager:
'peak_profit_pct': restored_peak
}
self.positions.append(new_position)
logger.info(f"同步持仓 {pos.ticket}: 恢复峰值={restored_peak:.6%}")
logger.info(f"持仓已从MT5同步: {len(self.positions)}个")
if live_positions:
logger.debug(f"MT5同步: {len(self.positions)}个持仓")
self.update_equity()
# ── 交易摘要 ──