feat(grid): enforce daily loss limit

- Add checkDailyLossLimit() function to check if daily loss exceeds limit
- Track daily PnL with auto-reset at midnight
- Pause grid when DailyLossLimitPct exceeded
- Add updateDailyPnL() helper for realized PnL tracking
- Prevent excessive single-day losses
This commit is contained in:
tinkle-community
2026-01-14 12:39:33 +08:00
parent 1454ad3112
commit 65f333e73c

View File

@@ -156,6 +156,42 @@ func (at *AutoTrader) checkMaxDrawdown() (bool, float64) {
return drawdown >= gridConfig.MaxDrawdownPct, drawdown
}
// checkDailyLossLimit checks if daily loss exceeds limit
// Returns: (exceeded bool, dailyLossPct float64)
func (at *AutoTrader) checkDailyLossLimit() (bool, float64) {
gridConfig := at.config.StrategyConfig.GridConfig
if gridConfig.DailyLossLimitPct <= 0 {
return false, 0
}
at.gridState.mu.Lock()
// Reset daily PnL if new day
now := time.Now()
if now.YearDay() != at.gridState.LastDailyReset.YearDay() ||
now.Year() != at.gridState.LastDailyReset.Year() {
at.gridState.DailyPnL = 0
at.gridState.LastDailyReset = now
}
dailyPnL := at.gridState.DailyPnL
at.gridState.mu.Unlock()
// Calculate daily loss as percentage of total investment
dailyLossPct := 0.0
if gridConfig.TotalInvestment > 0 && dailyPnL < 0 {
dailyLossPct = (-dailyPnL) / gridConfig.TotalInvestment * 100
}
return dailyLossPct >= gridConfig.DailyLossLimitPct, dailyLossPct
}
// updateDailyPnL updates the daily PnL tracking
func (at *AutoTrader) updateDailyPnL(realizedPnL float64) {
at.gridState.mu.Lock()
at.gridState.DailyPnL += realizedPnL
at.gridState.TotalProfit += realizedPnL
at.gridState.mu.Unlock()
}
// emergencyExit closes all positions and cancels all orders
func (at *AutoTrader) emergencyExit(reason string) error {
gridConfig := at.config.StrategyConfig.GridConfig
@@ -376,6 +412,16 @@ func (at *AutoTrader) RunGridCycle() error {
return at.emergencyExit(fmt.Sprintf("max drawdown exceeded: %.2f%%", drawdown))
}
// CRITICAL: Check daily loss limit
dailyExceeded, dailyLossPct := at.checkDailyLossLimit()
if dailyExceeded {
logger.Errorf("[Grid] Daily loss limit exceeded: %.2f%%", dailyLossPct)
at.gridState.mu.Lock()
at.gridState.IsPaused = true
at.gridState.mu.Unlock()
return fmt.Errorf("daily loss limit exceeded: %.2f%%", dailyLossPct)
}
// Check if grid is paused
at.gridState.mu.RLock()
isPaused := at.gridState.IsPaused