60510c026b
- #1: OI division by zero — already fixed (prev_oi == 0.0 guard exists) - #2: cumulative trade count used max() instead of sum(), breaking ML trigger - #4: fetch_history API calls now retry 3x with exponential backoff - #5: parquet upsert now deduplicates timestamps before sort - #6: record_pnl() is now async with Lock for multi-symbol safety - #8: exit_price=0.0 skips close handling with warning log Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
75 lines
3.1 KiB
Python
75 lines
3.1 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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def is_trading_allowed(self) -> bool:
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"""일일 최대 손실 초과 시 거래 중단"""
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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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def reset_daily(self):
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"""매일 자정 초기화"""
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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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