1
This commit is contained in:
薇薇安
parent
9379a9815e
commit
7cf6613540
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@ -47,3 +47,5 @@
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**已实现**：在 `risk_manager.get_take_profit_price` 中增加了 **USE_MARGIN_CAP_FOR_TP**（默认 **True**）：当使用盈亏比算出 TP2 时，若该价格比「TAKE_PROFIT_PERCENT 对应的保证金止盈价」更远，则**改用保证金止盈价**作为 TP2，这样止盈不会远到难以触及。
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- **⚠️ 不要关闭**：普遍出现的「止盈特别远（如 +238% 保证金）、亏损扛单」是因为**没有封顶**时用了「止损距离×3」的止盈。**关掉 USE_MARGIN_CAP_FOR_TP 会恢复那种过远止盈，加重扛单**。应保持 **True**，并确保交易进程已重启/配置已生效，新开仓才会用封顶后的止盈。
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**止损封顶（USE_MARGIN_CAP_FOR_SL）**：若仅封顶止盈、不封顶止损，会出现「止盈 55%、止损 -58%～-78%」——止损仍过宽、易扛单。因此增加了 **USE_MARGIN_CAP_FOR_SL**（默认 True）：当 ATR（或技术）止损对应的**保证金亏损**超过配置的 STOP_LOSS_PERCENT（如 10%）时，**改用保证金止损**，使止损不再超过 10% 保证金。与 USE_MARGIN_CAP_FOR_TP 一起使用，新开仓的 SL/TP 都会在「保证金比例」范围内，避免极端远距。
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@ -207,6 +207,7 @@ DEFAULT_TRADING_CONFIG = {
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'ATR_TAKE_PROFIT_MULTIPLIER': 6.0, # ATR止盈倍数6.0（追求更高盈亏比）
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'RISK_REWARD_RATIO': 3.0, # 盈亏比3:1
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'USE_MARGIN_CAP_FOR_TP': True, # 止盈按保证金上限封顶，避免 TP 过远难以触及、亏损扛单。勿关。
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'USE_MARGIN_CAP_FOR_SL': True, # 止损按保证金上限封顶，避免 ATR 过宽导致 -60%～-80% 保证金扛单。勿关。
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'ATR_PERIOD': 14, # ATR计算周期14
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'USE_DYNAMIC_ATR_MULTIPLIER': False, # 不使用动态ATR
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'ATR_MULTIPLIER_MIN': 0.5, # 动态ATR倍数最小值
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@ -1135,21 +1135,32 @@ class RiskManager:
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f"已采用保证金止损以与策略一致"
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)
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# 如果最终止损价对应的保证金百分比超过配置值，且不是ATR/技术止损，则强制使用保证金止损
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if final_stop_loss_pct_margin > (stop_loss_percent * 100) and not is_atr_or_tech:
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logger.warning(
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f"⚠️ 最终止损价({final_stop_loss:.4f}, 使用{selected_method})对应的保证金百分比({final_stop_loss_pct_margin:.2f}%) "
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f"超过配置值({stop_loss_percent*100:.1f}%)，强制使用保证金止损({stop_loss_price_margin:.4f})"
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)
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final_stop_loss = stop_loss_price_margin
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selected_method = '保证金（强制）'
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final_stop_loss_pct_margin = stop_loss_percent * 100
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elif final_stop_loss_pct_margin > (stop_loss_percent * 100) and is_atr_or_tech:
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logger.info(
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f"ℹ️ {selected_method}止损 ({final_stop_loss:.4f}) 超过保证金配置值 "
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f"({final_stop_loss_pct_margin:.2f}% > {stop_loss_percent*100:.1f}%)，"
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f"但予以保留（风险已通过仓位控制）"
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)
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# 如果最终止损价对应的保证金百分比超过配置值，强制使用保证金止损（含 ATR/技术止损）
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# 避免 ATR 过宽导致止损 -58%～-78% 保证金、长期扛单；与 USE_MARGIN_CAP_FOR_TP 一致
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use_margin_cap_sl = bool(config.TRADING_CONFIG.get('USE_MARGIN_CAP_FOR_SL', True))
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if final_stop_loss_pct_margin > (stop_loss_percent * 100):
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if not is_atr_or_tech:
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logger.warning(
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f"⚠️ 最终止损价({final_stop_loss:.4f}, 使用{selected_method})对应的保证金百分比({final_stop_loss_pct_margin:.2f}%) "
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f"超过配置值({stop_loss_percent*100:.1f}%)，强制使用保证金止损({stop_loss_price_margin:.4f})"
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)
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final_stop_loss = stop_loss_price_margin
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selected_method = '保证金（强制）'
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final_stop_loss_pct_margin = stop_loss_percent * 100
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elif use_margin_cap_sl:
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logger.info(
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f"止损已按保证金上限封顶: {selected_method}止损({final_stop_loss_pct_margin:.1f}% 保证金) "
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f"超过 STOP_LOSS_PERCENT({stop_loss_percent*100:.1f}%)，采用保证金止损({stop_loss_price_margin:.4f})"
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)
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final_stop_loss = stop_loss_price_margin
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selected_method = '保证金(止损上限)'
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final_stop_loss_pct_margin = stop_loss_percent * 100
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else:
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logger.info(
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f"ℹ️ {selected_method}止损 ({final_stop_loss:.4f}) 超过保证金配置值 "
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f"({final_stop_loss_pct_margin:.2f}% > {stop_loss_percent*100:.1f}%)，"
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f"但予以保留（USE_MARGIN_CAP_FOR_SL=False）"
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)
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# ⚠️ 最终强制检查：最小止损距离（防止 -2021 Order would immediately trigger）
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# 此检查必须在最后执行，覆盖之前的逻辑，因为这是交易所/系统的硬性约束
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452
持仓记录_2026-02-14T16-45-51.json
Normal file
452
持仓记录_2026-02-14T16-45-51.json
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@ -0,0 +1,452 @@
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[
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{
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"id": 4640,
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"symbol": "PIPPINUSDT",
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"side": "SELL",
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"quantity": 13,
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"entry_price": 0.70165,
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"entry_value_usdt": 9.12145,
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"notional_usdt": 9.060078690000001,
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"margin_usdt": 4.5300393450000005,
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"original_notional_usdt": 9.12145,
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"original_margin_usdt": 4.560725,
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"mark_price": 0.69692913,
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"pnl": 0.06137131,
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"pnl_percent": 1.3547632884853011,
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"leverage": 2,
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"entry_time": 1771087159,
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"stop_loss_price": 0.90642143,
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"take_profit_price": 0.50869625,
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"take_profit_1": 0.39449286,
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"take_profit_2": 0.50869625,
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"atr": 0.06825714,
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"entry_order_id": 4503065801,
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"entry_order_type": "LIMIT",
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"open_orders": [
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{
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"orderId": 2000000449763200,
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"type": "TAKE_PROFIT_MARKET",
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"side": "BUY",
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"stopPrice": 0.5087,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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},
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{
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"orderId": 2000000449763193,
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"type": "STOP_MARKET",
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"side": "BUY",
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"stopPrice": 0.90642,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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}
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],
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"active_sl_orders": "STOP_MARKET @ 0.90642 (NEW)",
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"active_tp_orders": "TAKE_PROFIT_MARKET @ 0.5087 (NEW)",
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"binance_open_orders_raw": [
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{
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"orderId": 2000000449763200,
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"type": "TAKE_PROFIT_MARKET",
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"side": "BUY",
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"stopPrice": 0.5087,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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},
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{
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"orderId": 2000000449763193,
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"type": "STOP_MARKET",
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"side": "BUY",
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"stopPrice": 0.90642,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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}
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]
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},
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{
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"id": 4643,
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"symbol": "ZECUSDT",
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"side": "SELL",
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"quantity": 0.084,
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"entry_price": 283.79,
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"entry_value_usdt": 23.83836,
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"notional_usdt": 23.828280000000003,
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"margin_usdt": 4.765656000000001,
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"original_notional_usdt": 23.83836,
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"original_margin_usdt": 4.767672,
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"mark_price": 283.67,
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"pnl": 0.01008,
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"pnl_percent": 0.21151337822117247,
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"leverage": 5,
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"entry_time": 1771087205,
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"stop_loss_price": 327.98,
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"take_profit_price": 252.5731,
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"take_profit_1": 217.505,
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"take_profit_2": 252.5731,
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"atr": 14.73,
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"entry_order_id": 797657761399,
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"entry_order_type": "LIMIT",
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"open_orders": [
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{
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"orderId": 2000000449766575,
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"type": "TAKE_PROFIT_MARKET",
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"side": "BUY",
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"stopPrice": 252.58,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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},
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{
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"orderId": 2000000449766566,
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"type": "STOP_MARKET",
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"side": "BUY",
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"stopPrice": 327.98,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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}
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],
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"active_sl_orders": "STOP_MARKET @ 327.98 (NEW)",
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"active_tp_orders": "TAKE_PROFIT_MARKET @ 252.58 (NEW)",
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"binance_open_orders_raw": [
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{
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"orderId": 2000000449766575,
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"type": "TAKE_PROFIT_MARKET",
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"side": "BUY",
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"stopPrice": 252.58,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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},
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{
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"orderId": 2000000449766566,
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"type": "STOP_MARKET",
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"side": "BUY",
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"stopPrice": 327.98,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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}
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]
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},
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{
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"id": 4641,
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"symbol": "TAOUSDT",
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"side": "SELL",
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"quantity": 0.104,
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"entry_price": 191.45,
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"entry_value_usdt": 19.9108,
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"notional_usdt": 19.9984220904,
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"margin_usdt": 4.9996055226,
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"original_notional_usdt": 19.9108,
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"original_margin_usdt": 4.9777,
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"mark_price": 192.2925201,
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"pnl": -0.08762209,
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"pnl_percent": -1.7525800706459123,
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"leverage": 4,
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"entry_time": 1771087174,
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"stop_loss_price": 223.29714286,
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"take_profit_price": 165.125625,
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"take_profit_1": 143.67928571,
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"take_profit_2": 165.125625,
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"atr": 10.61571429,
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"entry_order_id": 9523399174,
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"entry_order_type": "LIMIT",
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"open_orders": [
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{
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"orderId": 2000000449764167,
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"type": "TAKE_PROFIT_MARKET",
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"side": "BUY",
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"stopPrice": 165.13,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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},
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{
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"orderId": 2000000449764159,
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"type": "STOP_MARKET",
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"side": "BUY",
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"stopPrice": 223.29,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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}
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],
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"active_sl_orders": "STOP_MARKET @ 223.29 (NEW)",
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"active_tp_orders": "TAKE_PROFIT_MARKET @ 165.13 (NEW)",
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"binance_open_orders_raw": [
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{
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"orderId": 2000000449764167,
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"type": "TAKE_PROFIT_MARKET",
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"side": "BUY",
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"stopPrice": 165.13,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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},
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{
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"orderId": 2000000449764159,
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"type": "STOP_MARKET",
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"side": "BUY",
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"stopPrice": 223.29,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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}
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]
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},
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{
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"id": 4642,
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"symbol": "COAIUSDT",
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"side": "SELL",
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"quantity": 22,
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"entry_price": 0.4395,
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"entry_value_usdt": 9.669,
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"notional_usdt": 9.4624585,
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"margin_usdt": 4.73122925,
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"original_notional_usdt": 9.669,
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"original_margin_usdt": 4.8345,
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"mark_price": 0.43011175,
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"pnl": 0.2065415,
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"pnl_percent": 4.365493386311813,
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"leverage": 2,
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"entry_time": 1771087179,
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"stop_loss_price": 0.57938571,
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"take_profit_price": 0.3186375,
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"take_profit_1": 0.22967143,
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"take_profit_2": 0.3186375,
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"atr": 0.04662857,
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"entry_order_id": 2086471512,
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"entry_order_type": "LIMIT",
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"open_orders": [
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{
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"orderId": 2000000449764560,
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"type": "TAKE_PROFIT_MARKET",
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"side": "BUY",
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"stopPrice": 0.3187,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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},
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{
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"orderId": 2000000449764551,
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"type": "STOP_MARKET",
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"side": "BUY",
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"stopPrice": 0.5793,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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}
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],
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"active_sl_orders": "STOP_MARKET @ 0.5793 (NEW)",
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"active_tp_orders": "TAKE_PROFIT_MARKET @ 0.3187 (NEW)",
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"binance_open_orders_raw": [
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{
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"orderId": 2000000449764560,
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"type": "TAKE_PROFIT_MARKET",
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"side": "BUY",
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"stopPrice": 0.3187,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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},
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{
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"orderId": 2000000449764551,
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"type": "STOP_MARKET",
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"side": "BUY",
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"stopPrice": 0.5793,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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}
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]
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},
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{
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"id": 4647,
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"symbol": "PYTHUSDT",
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"side": "SELL",
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"quantity": 377,
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"entry_price": 0.0610065251989,
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"entry_value_usdt": 22.9994599999853,
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"notional_usdt": 23.053546230000002,
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"margin_usdt": 4.610709246000001,
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"original_notional_usdt": 22.9994505,
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"original_margin_usdt": 4.5998901,
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"mark_price": 0.06114999,
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"pnl": -0.05408819,
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"pnl_percent": -1.173099128879661,
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"leverage": 5,
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"entry_time": 1771087459,
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"stop_loss_price": 0.06959507,
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"take_profit_price": 0.05429579,
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"take_profit_1": 0.04812364,
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"take_profit_2": 0.05429579,
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"atr": 0.00286286,
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"entry_order_id": 5286793226,
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"entry_order_type": "LIMIT",
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"open_orders": [
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{
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"orderId": 2000000449784169,
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"type": "TAKE_PROFIT_MARKET",
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"side": "BUY",
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"stopPrice": 0.0543,
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"price": 0,
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"origType": "CONDITIONAL",
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"reduceOnly": true,
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"status": "NEW"
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},
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{
|
||||
"orderId": 2000000449784150,
|
||||
"type": "STOP_MARKET",
|
||||
"side": "BUY",
|
||||
"stopPrice": 0.06959,
|
||||
"price": 0,
|
||||
"origType": "CONDITIONAL",
|
||||
"reduceOnly": true,
|
||||
"status": "NEW"
|
||||
}
|
||||
],
|
||||
"active_sl_orders": "STOP_MARKET @ 0.06959 (NEW)",
|
||||
"active_tp_orders": "TAKE_PROFIT_MARKET @ 0.0543 (NEW)",
|
||||
"binance_open_orders_raw": [
|
||||
{
|
||||
"orderId": 2000000449784169,
|
||||
"type": "TAKE_PROFIT_MARKET",
|
||||
"side": "BUY",
|
||||
"stopPrice": 0.0543,
|
||||
"price": 0,
|
||||
"origType": "CONDITIONAL",
|
||||
"reduceOnly": true,
|
||||
"status": "NEW"
|
||||
},
|
||||
{
|
||||
"orderId": 2000000449784150,
|
||||
"type": "STOP_MARKET",
|
||||
"side": "BUY",
|
||||
"stopPrice": 0.06959,
|
||||
"price": 0,
|
||||
"origType": "CONDITIONAL",
|
||||
"reduceOnly": true,
|
||||
"status": "NEW"
|
||||
}
|
||||
]
|
||||
},
|
||||
{
|
||||
"id": 4639,
|
||||
"symbol": "VVVUSDT",
|
||||
"side": "SELL",
|
||||
"quantity": 3.64,
|
||||
"entry_price": 2.792,
|
||||
"entry_value_usdt": 10.16288,
|
||||
"notional_usdt": 10.46136,
|
||||
"margin_usdt": 5.23068,
|
||||
"original_notional_usdt": 10.16288,
|
||||
"original_margin_usdt": 5.08144,
|
||||
"mark_price": 2.874,
|
||||
"pnl": -0.29848,
|
||||
"pnl_percent": -5.706332637439109,
|
||||
"leverage": 2,
|
||||
"entry_time": 1771081222,
|
||||
"stop_loss_price": 3.776,
|
||||
"take_profit_price": -0.16,
|
||||
"take_profit_1": 1.316,
|
||||
"take_profit_2": -0.16,
|
||||
"atr": 0.328,
|
||||
"entry_order_id": 824862620,
|
||||
"entry_order_type": "LIMIT",
|
||||
"open_orders": [
|
||||
{
|
||||
"orderId": 2000000449333341,
|
||||
"type": "STOP_MARKET",
|
||||
"side": "BUY",
|
||||
"stopPrice": 3.776,
|
||||
"price": 0,
|
||||
"origType": "CONDITIONAL",
|
||||
"reduceOnly": true,
|
||||
"status": "NEW"
|
||||
}
|
||||
],
|
||||
"active_sl_orders": "STOP_MARKET @ 3.776 (NEW)",
|
||||
"active_tp_orders": "",
|
||||
"binance_open_orders_raw": [
|
||||
{
|
||||
"orderId": 2000000449333341,
|
||||
"type": "STOP_MARKET",
|
||||
"side": "BUY",
|
||||
"stopPrice": 3.776,
|
||||
"price": 0,
|
||||
"origType": "CONDITIONAL",
|
||||
"reduceOnly": true,
|
||||
"status": "NEW"
|
||||
}
|
||||
]
|
||||
},
|
||||
{
|
||||
"id": 4637,
|
||||
"symbol": "RIVERUSDT",
|
||||
"side": "SELL",
|
||||
"quantity": 0.7,
|
||||
"entry_price": 13.874,
|
||||
"entry_value_usdt": 9.7118,
|
||||
"notional_usdt": 9.251199999999999,
|
||||
"margin_usdt": 4.6255999999999995,
|
||||
"original_notional_usdt": 9.7118,
|
||||
"original_margin_usdt": 4.8559,
|
||||
"mark_price": 13.216,
|
||||
"pnl": 0.4606,
|
||||
"pnl_percent": 9.95762711864407,
|
||||
"leverage": 2,
|
||||
"entry_time": 1771079231,
|
||||
"stop_loss_price": 19.02242857,
|
||||
"take_profit_price": -1.57128571,
|
||||
"take_profit_1": 6.15135714,
|
||||
"take_profit_2": -1.57128571,
|
||||
"atr": 1.71614286,
|
||||
"entry_order_id": 3923246641,
|
||||
"entry_order_type": "LIMIT",
|
||||
"open_orders": [
|
||||
{
|
||||
"orderId": 2000000449191175,
|
||||
"type": "STOP_MARKET",
|
||||
"side": "BUY",
|
||||
"stopPrice": 19.022,
|
||||
"price": 0,
|
||||
"origType": "CONDITIONAL",
|
||||
"reduceOnly": true,
|
||||
"status": "NEW"
|
||||
}
|
||||
],
|
||||
"active_sl_orders": "STOP_MARKET @ 19.022 (NEW)",
|
||||
"active_tp_orders": "",
|
||||
"binance_open_orders_raw": [
|
||||
{
|
||||
"orderId": 2000000449191175,
|
||||
"type": "STOP_MARKET",
|
||||
"side": "BUY",
|
||||
"stopPrice": 19.022,
|
||||
"price": 0,
|
||||
"origType": "CONDITIONAL",
|
||||
"reduceOnly": true,
|
||||
"status": "NEW"
|
||||
}
|
||||
]
|
||||
}
|
||||
]
|
||||
Loading…
Reference in New Issue
Block a user