41b0aa3f28
Critical: - #2: Add _entry_lock in RiskManager to serialize concurrent entry (balance race) - #3: Add startTime to get_recent_income + record _entry_time_ms (SYNC PnL fix) Important: - #1: Add threading.Lock + _run_api() helper for thread-safe Client access - #4: Convert reset_daily to async with lock - #8: Add 24h TTL to exchange_info_cache Minor: - #7: Remove duplicate Indicators creation in _open_position (use ATR directly) - #11: Add input validation for LEVERAGE, MARGIN ratios, ML_THRESHOLD - #12: Replace hardcoded corr[0]/corr[1] with dict-based dynamic access - #14: Add fillna(0.0) to LightGBM path for NaN consistency with ONNX Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
78 lines
3.3 KiB
Python
78 lines
3.3 KiB
Python
import asyncio
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from loguru import logger
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from src.config import Config
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class RiskManager:
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def __init__(self, config: Config, max_daily_loss_pct: float = 0.05):
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self.config = config
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self.max_daily_loss_pct = max_daily_loss_pct
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self.daily_pnl: float = 0.0
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self.initial_balance: float = 0.0
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self.open_positions: dict[str, str] = {} # {symbol: side}
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self._lock = asyncio.Lock()
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self._entry_lock = asyncio.Lock() # 동시 진입 시 잔고 레이스 방지
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async def is_trading_allowed(self) -> bool:
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"""일일 최대 손실 초과 시 거래 중단"""
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async with self._lock:
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if self.initial_balance <= 0:
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return True
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loss_pct = abs(self.daily_pnl) / self.initial_balance
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if self.daily_pnl < 0 and loss_pct >= self.max_daily_loss_pct:
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logger.warning(
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f"일일 손실 한도 초과: {loss_pct:.2%} >= {self.max_daily_loss_pct:.2%}"
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)
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return False
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return True
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async def can_open_new_position(self, symbol: str, side: str) -> bool:
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"""포지션 오픈 가능 여부 (전체 한도 + 중복 진입 + 동일 방향 제한)"""
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async with self._lock:
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if len(self.open_positions) >= self.config.max_positions:
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logger.info(f"최대 포지션 수 도달: {len(self.open_positions)}/{self.config.max_positions}")
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return False
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if symbol in self.open_positions:
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logger.info(f"{symbol} 이미 포지션 보유 중")
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return False
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same_dir = sum(1 for s in self.open_positions.values() if s == side)
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if same_dir >= self.config.max_same_direction:
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logger.info(f"동일 방향({side}) 한도 도달: {same_dir}/{self.config.max_same_direction}")
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return False
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return True
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async def register_position(self, symbol: str, side: str):
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"""포지션 등록"""
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async with self._lock:
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self.open_positions[symbol] = side
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logger.info(f"포지션 등록: {symbol} {side} (현재 {len(self.open_positions)}개)")
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async def close_position(self, symbol: str, pnl: float):
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"""포지션 닫기 + PnL 기록"""
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async with self._lock:
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self.open_positions.pop(symbol, None)
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self.daily_pnl += pnl
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logger.info(f"포지션 종료: {symbol}, PnL={pnl:+.4f}, 누적={self.daily_pnl:+.4f}")
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async def record_pnl(self, pnl: float):
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async with self._lock:
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self.daily_pnl += pnl
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logger.info(f"오늘 누적 PnL: {self.daily_pnl:.4f} USDT")
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async def reset_daily(self):
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"""매일 자정 초기화"""
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async with self._lock:
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self.daily_pnl = 0.0
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logger.info("일일 PnL 초기화")
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def set_base_balance(self, balance: float) -> None:
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"""봇 시작 시 기준 잔고 설정"""
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self.initial_balance = balance
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def get_dynamic_margin_ratio(self, balance: float) -> float:
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"""잔고에 따라 선형 감소하는 증거금 비율 반환"""
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ratio = self.config.margin_max_ratio - (
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(balance - self.initial_balance) * self.config.margin_decay_rate
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)
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return max(self.config.margin_min_ratio, min(self.config.margin_max_ratio, ratio))
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