execution-monitor-engine

name	execution-monitor-engine
version	1.0.0
description	A股实盘执行与监控引擎。支持模拟交易(paper)与实盘交易(live)两种模式，可对接 xtquant(miniQMT)、掘金(gm) 等券商接口。内置硬风控断路器（单日亏损限制、单笔金额上限、持仓集中度、订单频率限制），支持账户查询、订单发送与撤单、仓位同步，所有交易操作完整记录到审计日志。默认使用 paper 模拟交易模式（生产可用）。
author	quant-team
license	MIT
tags	["quant-trading","A股","execution-engine","实盘交易","风控","xtquant","paper"]
dependencies	["pandas>=2.0.0","numpy>=1.24.0","pydantic>=2.0.0","xtquant (可选)","gm (可选)","tqcenter (可选)"]
environment_variables	[{"name":"TRADE_MODE","description":"交易模式（paper / live）","required":false,"default":"paper"},{"name":"TRADE_BACKEND","description":"交易接口后端（xtquant / gm）","required":false,"default":"paper"},{"name":"QUANT_WORK_DIR","description":"工作目录根路径","required":false,"default":"./workspace"},{"name":"XTQUANT_PATH","description":"miniQMT userdata_mini 路径（live+xtquant 模式必需）","required":false},{"name":"XTQUANT_ACCOUNT","description":"miniQMT 资金账号（live+xtquant 模式必需）","required":false},{"name":"GM_TOKEN","description":"掘金量化 API Token（live+gm 模式必需）","required":false},{"name":"GM_ACCOUNT_ID","description":"掘金账户 ID（live+gm 模式必需，终端获取）","required":false},{"name":"INIT_CAPITAL","description":"初始资金（paper 模式）","required":false,"default":"1000000"},{"name":"MAX_DAILY_LOSS_RATIO","description":"单日最大亏损比例","required":false,"default":"0.02"},{"name":"MAX_SINGLE_ORDER_RATIO","description":"单笔订单最大金额比例","required":false,"default":"0.10"},{"name":"MAX_ORDER_FREQUENCY","description":"最大下单频率（笔/秒）","required":false,"default":"2"},{"name":"SLIPPAGE","description":"滑点模拟比例（paper 模式）","required":false,"default":"0.001"},{"name":"COMMISSION_RATE","description":"佣金费率","required":false,"default":"0.00025"},{"name":"STAMP_TAX_RATE","description":"印花税率（卖出）","required":false,"default":"0.001"}]
language	python
python_version	3.9+
entry_point	engine.py
trigger_keywords	["实盘","下单","交易","执行","监控","模拟","风控","断路器","订单","撤单","量化断路器"]

execution-monitor-engine

概述

execution-monitor-engine 是 A 股量化投研的实盘执行与监控引擎，提供：

1. 双模式支持：模拟交易（Paper）和实盘交易（Live）
2. 多券商对接：xtquant、掘金量化
3. 硬风控断路器：独立于策略的风险检查层
4. 账户管理：查询资产、持仓、可用资金
5. 订单操作：发送（市价/限价）、撤单
6. 审计日志：完整的 JSONL 日志记录

执行模式

模式	状态	说明
paper	生产可用	模拟交易，本地虚拟账户（滑点/T+1/数量校验/资金校验/断路器）
live（xtquant）	生产可用	迅投 miniQMT 实盘，需本地客户端 + XTQUANT_PATH/XTQUANT_ACCOUNT
live（gm）	生产可用	掘金量化实盘，需 GM_TOKEN/GM_ACCOUNT_ID

三种模式均已通过实盘连通性验证（连接/查询/下单/撤单全流程）。

硬风控断路器

• 单日亏损限制：累计亏损超过净值 2% → 拒绝新开仓
• 单笔金额上限：不超过净资产 10%
• 订单频率：每秒最多 2 笔

量化断路器

optimizations/quant_circuit_breaker.py 提供增强版量化断路器（可选独立组件，未被 PaperExecutor 默认集成）：

• 支持多维度风控规则组合（单日亏损 / 滚动窗口 ROI / 单笔金额 / 频率）
• 可配置的触发阈值和滞回恢复条件
• Fail-open 语义（自身异常时放行，避免风控 bug 阻断全部交易）
• JSON 状态持久化，支持跨进程恢复

使用示例

Python API

from engine import run
from scripts.context import Context

ctx = Context(
    task_id="task_001",
    user_intent="执行交易",
    current_stage="IDLE"
)

result = run(ctx)

CLI 运行

python engine.py -i "执行目标组合"

配置说明

详见 references/config_guide.md

API 文档

详见 references/api_reference.md