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Update engine.py

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1122455801 2019-05-28 14:07:19 +08:00
parent a259b2eb82
commit 2e619685e7
1 changed files with 48 additions and 62 deletions
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110
vnpy/app/risk_manager/engine.py
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@ -1,13 +1,6 @@
# encoding: UTF-8
"""
本文件中实现了风控引擎，用于提供一系列常用的风控功能：
1. 委托流控（单位时间内最大允许发出的委托数量）
2. 总成交限制（每日总成交数量限制）
3. 单笔委托的委托数量控制
"""
import platform
from vnpy.trader.object import LogData, OrderRequest
""""""
from collections import defaultdict
from vnpy.trader.object import OrderRequest
from vnpy.event import Event, EventEngine, EVENT_TIMER
from vnpy.trader.engine import BaseEngine, MainEngine
from vnpy.trader.event import EVENT_TRADE, EVENT_ORDER, EVENT_LOG
@ -15,7 +8,10 @@ from vnpy.trader.constant import Status
from vnpy.trader.utility import load_json, save_json
class RmEngine(BaseEngine):
APP_NAME = "RiskManager"
class RiskManagerEngine(BaseEngine):
"""风控引擎"""
setting_filename = "risk_manager_setting.json"
@ -26,16 +22,16 @@ class RmEngine(BaseEngine):
main_engine.rmEngine = self
self.active = False
self.order_flow_count = 0 # 单位时间内委托计数
self.order_flow_limit = 50 # 委托限制
self.order_flow_clear = 1 # 计数清空时间（秒）
self.order_flow_timer = 0 # 计数清空时间计时
self.order_size_limit = 100 # 单笔委托最大限制
self.trade_count = 0 # 当日成交合约数量统计
self.trade_limit = 1000 # 当日成交合约数量限制
self.order_cancel_limit = 10 # 撤单总次数限制
self.order_cancel_count = {} # 单一合约对应撤单次数的字典
self.active_order_limit = 20 # 活动合约最大限制
self.order_flow_count = 0
self.order_flow_limit = 50
self.order_flow_clear = 1
self.order_flow_timer = 0
self.order_size_limit = 100
self.trade_count = 0
self.trade_limit = 1000
self.order_cancel_limit = 10
self.order_cancel_counts = defaultdict(int)
self.active_order_limit = 20
self.load_setting()
self.registerEvent()
@ -68,27 +64,23 @@ class RmEngine(BaseEngine):
def register_event(self):
""""""
self.event_engine.register(EVENT_TRADE, self.update_trade)
self.event_engine.register(EVENT_TIMER, self.update_timer)
self.event_engine.register(EVENT_ORDER, self.update_order)
self.event_engine.register(EVENT_TRADE, self.process_trade_event)
self.event_engine.register(EVENT_TIMER, self.process_timer_event)
self.event_engine.register(EVENT_ORDER, self.process_order_event)
def update_order(self, event):
def process_order_event(self, event: Event):
""""""
order = event.dict_["data"]
order = event.data
if order.status != Status.CANCELLED:
return
if order.symbol not in self.order_cancel_count:
self.order_cancel_count[order.symbol] = 1
else:
self.order_cancel_count[order.symbol] += 1
return
self.order_cancel_counts[order.symbol] += 1
def update_trade(self, event):
def process_trade_event(self, event: Event):
""""""
trade = event.dict_["data"]
trade = event.data
self.trade_count += trade.volume
def update_timer(self, event):
def process_timer_event(self, event: Event):
""""""
self.order_flow_timer += 1
@ -96,68 +88,62 @@ class RmEngine(BaseEngine):
self.order_flow_count = 0
self.order_flow_timer = 0
def write_risk_log(self, content):
""""""
if platform.uname() == "Windows":
import winsound
winsound.PlaySound("SystemHand", winsound.SND_ASYNC)
log = LogData()
log.log_content = content
log.gateway_name = self.name
event = Event(type_=EVENT_LOG)
event.dict_["data"] = log
def write_risk_log(self, msg: str):
""""""
event = Event(
EVENT_LOG,
msg
)
self.event_engine.put(event)
def checkRisk(self, req: OrderRequest, gateway_name):
def check_risk(self, req: OrderRequest, gateway_name: str):
""""""
if not self.active:
return True
# 检查委托数量
# Check order volume
if req.volume <= 0:
self.write_risk_log(f"委托数量必须大于0")
self.write_risk_log("委托数量必须大于0")
return False
if req.volume > self.order_size_limit:
self.write_risk_log(f"单笔委托数量{req.volume}，超过限制{self.order_size_limit}")
return False
# 检查成交合约量
# Check trade volume
if self.trade_count >= self.trade_limit:
self.write_risk_log(f"今日总成交合约数量{self.trade_count}，超过限制{self.trade_limit}")
return False
# 检查流控
# Check flow count
if self.order_flow_count >= self.order_flow_limit:
self.write_risk_log(f"委托流数量{self.order_flow_count}，超过限制每{self.order_flow_clear}秒{self.order_flow_limit}")
return False
# 检查总活动合约
# Check all active orders
active_order_count = len(self.main_engine.get_all_active_orders())
if active_order_count >= self.active_order_limit:
self.write_risk_log(f"当前活动委托数量{active_order_count}，超过限制{self.active_order_limit}")
return False
# 检查撤单次数
if req.symbol in self.order_cancel_count and self.order_cancel_count[req.symbol] >= self.order_cancel_limit:
self.write_risk_log(f"当日{req.symbol}撤单次数{self.order_cancel_count[req.symbol]}，超过限制{self.order_cancel_limit}")
# Check order cancel counts
if req.symbol in self.order_cancel_counts and self.order_cancel_counts[req.symbol] >= self.order_cancel_limit:
self.write_risk_log(f"当日{req.symbol}撤单次数{self.order_cancel_counts[req.symbol]}，超过限制{self.order_cancel_limit}")
return False
# 对于通过风控的委托，增加流控计数
# Add flow count if pass all checks
self.order_flow_count += 1
return True
def clear_order_flow_count(self):
""""""
self.order_flow_count = 0
self.write_risk_log(f"清空流控计数")
self.write_risk_log("清空流控计数")
def clear_trade_count(self):
""""""
self.trade_count = 0
self.write_risk_log(f"清空总成交计数")
self.write_risk_log("清空总成交计数")
def set_order_flow_limit(self, n):
""""""
@ -188,9 +174,9 @@ class RmEngine(BaseEngine):
self.active = not self.active
if self.active:
self.write_risk_log(f"风险管理功能启动")
self.write_risk_log("风险管理功能启动")
else:
self.write_risk_log(f"风险管理功能停止")
self.write_risk_log("风险管理功能停止")
def stop(self):
""""""