From a259b2eb826f24a938cb5e64a1085296f04f72aa Mon Sep 17 00:00:00 2001 From: 1122455801 Date: Mon, 27 May 2019 16:43:14 +0800 Subject: [PATCH 1/8] Create engine.py --- vnpy/app/risk_manager/engine.py | 198 ++++++++++++++++++++++++++++++++ 1 file changed, 198 insertions(+) create mode 100644 vnpy/app/risk_manager/engine.py diff --git a/vnpy/app/risk_manager/engine.py b/vnpy/app/risk_manager/engine.py new file mode 100644 index 00000000..878f4ba4 --- /dev/null +++ b/vnpy/app/risk_manager/engine.py @@ -0,0 +1,198 @@ +# 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 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 +from vnpy.trader.constant import Status +from vnpy.trader.utility import load_json, save_json + + +class RmEngine(BaseEngine): + """风控引擎""" + setting_filename = "risk_manager_setting.json" + + def __init__(self, main_engine: MainEngine, event_engine: EventEngine): + """""" + self.main_engine = main_engine + self.event_engine = event_engine + 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.load_setting() + self.registerEvent() + + def load_setting(self): + """""" + setting = load_json(self.setting_filename) + + self.active = setting["active"] + self.order_flow_limit = setting["order_flow_limit"] + self.order_flow_clear = setting["order_flow_clear"] + self.order_size_limit = setting["order_size_limit"] + self.trade_limit = setting["trade_limit"] + self.active_order_limit = setting["active_order_limit"] + self.order_cancel_limit = setting["order_cancel_limit"] + + def save_setting(self): + """""" + setting = { + "active": self.active, + "order_flow_limit": self.order_flow_limit, + "order_flow_clear": self.order_flow_clear, + "order_size_limit": self.order_size_limit, + "trade_limit": self.trade_limit, + "active_order_limit": self.active_order_limit, + "order_cancel_limit": self.order_cancel_limit, + } + + save_json(self.setting_filename, setting) + + 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) + + def update_order(self, event): + """""" + order = event.dict_["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 + + def update_trade(self, event): + """""" + trade = event.dict_["data"] + self.trade_count += trade.volume + + def update_timer(self, event): + """""" + self.order_flow_timer += 1 + + if self.order_flow_timer >= self.order_flow_clear: + 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 + self.event_engine.put(event) + + def checkRisk(self, req: OrderRequest, gateway_name): + """""" + if not self.active: + return True + + # 检查委托数量 + if req.volume <= 0: + self.write_risk_log(f"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 + 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 + 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 + 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}") + return False + + # 对于通过风控的委托，增加流控计数 + 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") + + def clear_trade_count(self): + """""" + self.trade_count = 0 + self.write_risk_log(f"清空总成交计数") + + def set_order_flow_limit(self, n): + """""" + self.order_flow_limit = n + + def set_order_flow_clear(self, n): + """""" + self.order_flow_clear = n + + def set_order_size_limit(self, n): + """""" + self.order_size_limit = n + + def set_trade_limit(self, n): + """""" + self.trade_limit = n + + def set_active_order_limit(self, n): + """""" + self.active_order_limit = n + + def set_order_cancel_limit(self, n): + """""" + self.order_cancel_limit = n + + def switch_engine_status(self): + """""" + self.active = not self.active + + if self.active: + self.write_risk_log(f"风险管理功能启动") + else: + self.write_risk_log(f"风险管理功能停止") + + def stop(self): + """""" + self.save_setting() + From 2e619685e7645bec86c77d2e8c98b34399fdb714 Mon Sep 17 00:00:00 2001 From: 1122455801 Date: Tue, 28 May 2019 14:07:19 +0800 Subject: [PATCH 2/8] Update engine.py --- vnpy/app/risk_manager/engine.py | 110 ++++++++++++++------------------ 1 file changed, 48 insertions(+), 62 deletions(-) diff --git a/vnpy/app/risk_manager/engine.py b/vnpy/app/risk_manager/engine.py index 878f4ba4..981baf12 100644 --- a/vnpy/app/risk_manager/engine.py +++ b/vnpy/app/risk_manager/engine.py @@ -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): """""" From d76e842a735ef378cbb93f113aa5565f9b9ca6a3 Mon Sep 17 00:00:00 2001 From: 1122455801 Date: Thu, 30 May 2019 15:09:45 +0800 Subject: [PATCH 3/8] Create __init__.py --- vnpy/app/risk_manager/__init__.py | 14 ++++++++++++++ 1 file changed, 14 insertions(+) create mode 100644 vnpy/app/risk_manager/__init__.py diff --git a/vnpy/app/risk_manager/__init__.py b/vnpy/app/risk_manager/__init__.py new file mode 100644 index 00000000..3c51a1e7 --- /dev/null +++ b/vnpy/app/risk_manager/__init__.py @@ -0,0 +1,14 @@ +from pathlib import Path +from vnpy.trader.app import BaseApp +from .engine import RiskManagerEngine, APP_NAME + + +class RiskManagerApp(BaseApp): + """""" + app_name = APP_NAME + app_module = __module__ + app_path = Path(__file__).parent + display_name = "风险控制" + engine_class = RiskManagerEngine + widget_name = "RiskManager" + icon_name = "risk_manager.ico" From a5dff8e948a4e744dd50be12b36ffcaf952d28f7 Mon Sep 17 00:00:00 2001 From: 1122455801 Date: Thu, 30 May 2019 15:11:17 +0800 Subject: [PATCH 4/8] Update engine.py --- vnpy/app/risk_manager/engine.py | 55 ++++++++++++++++++++------------- 1 file changed, 33 insertions(+), 22 deletions(-) diff --git a/vnpy/app/risk_manager/engine.py b/vnpy/app/risk_manager/engine.py index 981baf12..84fa1c9c 100644 --- a/vnpy/app/risk_manager/engine.py +++ b/vnpy/app/risk_manager/engine.py @@ -1,6 +1,7 @@ """""" + from collections import defaultdict -from vnpy.trader.object import OrderRequest +from vnpy.trader.object import OrderRequest, LogData 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 @@ -12,15 +13,16 @@ APP_NAME = "RiskManager" class RiskManagerEngine(BaseEngine): - """风控引擎""" + """""" setting_filename = "risk_manager_setting.json" def __init__(self, main_engine: MainEngine, event_engine: EventEngine): """""" + super().__init__(main_engine, event_engine, APP_NAME) + self.main_engine = main_engine self.event_engine = event_engine - main_engine.rmEngine = self - + self.active = False self.order_flow_count = 0 self.order_flow_limit = 50 @@ -31,22 +33,34 @@ class RiskManagerEngine(BaseEngine): self.trade_limit = 1000 self.order_cancel_limit = 10 self.order_cancel_counts = defaultdict(int) - self.active_order_limit = 20 + self.active_order_limit = 20 + # Patch send order function of MainEngine + self._send_order = self.main_engine.send_order + self.main_engine.send_order = self.send_order + self.load_setting() - self.registerEvent() + self.register_event() + + def send_order(self, req: OrderRequest, gateway_name: str): + """""" + result = self.check_risk(req, gateway_name) + if not result: + return "" + + return self._send_order(req, gateway_name) def load_setting(self): """""" setting = load_json(self.setting_filename) - self.active = setting["active"] - self.order_flow_limit = setting["order_flow_limit"] - self.order_flow_clear = setting["order_flow_clear"] - self.order_size_limit = setting["order_size_limit"] - self.trade_limit = setting["trade_limit"] - self.active_order_limit = setting["active_order_limit"] - self.order_cancel_limit = setting["order_cancel_limit"] + self.active = setting.get("active", self.active) + self.order_flow_limit = setting.get("order_flow_limit", self.order_flow_count) + self.order_flow_clear = setting.get("order_flow_clear", self.order_flow_clear) + self.order_size_limit = setting.get("order_size_limit", self.order_size_limit) + self.trade_limit = setting.get("trade_limit", self.trade_limit) + self.active_order_limit = setting.get("active_order_limit", self.active_order_limit) + self.order_cancel_limit = setting.get("order_cancel_limit", self.order_cancel_limit) def save_setting(self): """""" @@ -89,11 +103,9 @@ class RiskManagerEngine(BaseEngine): self.order_flow_timer = 0 def write_risk_log(self, msg: str): - """""" - event = Event( - EVENT_LOG, - msg - ) + """""" + log = LogData(msg=msg, gateway_name="RiskManager") + event = Event(type=EVENT_LOG, data=log) self.event_engine.put(event) def check_risk(self, req: OrderRequest, gateway_name: str): @@ -117,17 +129,17 @@ class RiskManagerEngine(BaseEngine): # 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}") + 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}次") return False # 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}") + self.write_risk_log(f"当前活动委托次数{active_order_count}，超过限制{self.active_order_limit}") return False # Check order cancel counts - if req.symbol in self.order_cancel_counts and self.order_cancel_counts[req.symbol] >= self.order_cancel_limit: + 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 @@ -181,4 +193,3 @@ class RiskManagerEngine(BaseEngine): def stop(self): """""" self.save_setting() - From b219f44c754aafb959217ecf4199c8dc23a41ab1 Mon Sep 17 00:00:00 2001 From: 1122455801 Date: Thu, 30 May 2019 15:11:22 +0800 Subject: [PATCH 5/8] Create __init__.py --- vnpy/app/risk_manager/ui/__init__.py | 1 + 1 file changed, 1 insertion(+) create mode 100644 vnpy/app/risk_manager/ui/__init__.py diff --git a/vnpy/app/risk_manager/ui/__init__.py b/vnpy/app/risk_manager/ui/__init__.py new file mode 100644 index 00000000..358dbf33 --- /dev/null +++ b/vnpy/app/risk_manager/ui/__init__.py @@ -0,0 +1 @@ +from .widget import RiskManager From 3730bb95ad0f9b0acaa7960fd6b6ab28e2b64afa Mon Sep 17 00:00:00 2001 From: 1122455801 Date: Thu, 30 May 2019 15:11:26 +0800 Subject: [PATCH 6/8] Create risk_manager.ico --- vnpy/app/risk_manager/ui/risk_manager.ico | Bin 0 -> 67646 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Mon Sep 17 00:00:00 2001 From: 1122455801 Date: Thu, 30 May 2019 15:11:32 +0800 Subject: [PATCH 7/8] Create widget.py --- vnpy/app/risk_manager/ui/widget.py | 116 +++++++++++++++++++++++++++++ 1 file changed, 116 insertions(+) create mode 100644 vnpy/app/risk_manager/ui/widget.py diff --git a/vnpy/app/risk_manager/ui/widget.py b/vnpy/app/risk_manager/ui/widget.py new file mode 100644 index 00000000..d4baaa18 --- /dev/null +++ b/vnpy/app/risk_manager/ui/widget.py @@ -0,0 +1,116 @@ +from vnpy.event import EventEngine +from vnpy.trader.engine import MainEngine +from vnpy.trader.ui import QtWidgets +from ..engine import APP_NAME + + +class RiskManager(QtWidgets.QWidget): + """""" + + def __init__(self, main_engine: MainEngine, event_engine: EventEngine): + """""" + super().__init__() + + self.main_engine = main_engine + self.event_engine = event_engine + self.risk_manager_engine = main_engine.get_engine(APP_NAME) + + self.init_ui() + self.update_engine_status() + + def init_ui(self): + """""" + self.setWindowTitle("风险控制") + + # SpinBox + self.order_flow_limit = RiskManagerSpinBox(0) + self.order_flow_clear = RiskManagerSpinBox(0) + self.order_size_limit = RiskManagerSpinBox(0) + self.trade_limit = RiskManagerSpinBox(0) + self.active_order_limit = RiskManagerSpinBox(0) + self.order_cancel_limit = RiskManagerSpinBox(0) + + # Button + self.switch_button = QtWidgets.QPushButton("风控模块未启动") + clear_order_count_button = QtWidgets.QPushButton("清空流控计数") + clear_trade_count_button = QtWidgets.QPushButton("清空总成交计数") + save_setting_button = QtWidgets.QPushButton("保存设置") + + # Grid layout + Label = QtWidgets.QLabel + grid = QtWidgets.QGridLayout() + grid.addWidget(Label("工作状态"), 0, 0) + grid.addWidget(self.switch_button, 0, 1) + grid.addWidget(Label("流控上限"), 1, 0) + grid.addWidget(self.order_flow_limit, 1, 1) + grid.addWidget(Label("流控清空（秒）"), 2, 0) + grid.addWidget(self.order_flow_clear, 2, 1) + grid.addWidget(Label("单笔委托上限"), 3, 0) + grid.addWidget(self.order_size_limit, 3, 1) + grid.addWidget(Label("总成交上限"), 4, 0) + grid.addWidget(self.trade_limit, 4, 1) + grid.addWidget(Label("活动订单上限"), 5, 0) + grid.addWidget(self.active_order_limit, 5, 1) + grid.addWidget(Label("单合约撤单上限"), 6, 0) + grid.addWidget(self.order_cancel_limit, 6, 1) + + # Horizontal box layout + hbox = QtWidgets.QHBoxLayout() + hbox.addWidget(clear_order_count_button) + hbox.addWidget(clear_trade_count_button) + hbox.addWidget(save_setting_button) + + # Vertical box layout + vbox = QtWidgets.QVBoxLayout() + vbox.addLayout(grid) + vbox.addLayout(hbox) + self.setLayout(vbox) + + # Connect signal to SpinBox + self.order_flow_limit.valueChanged.connect(self.risk_manager_engine.set_order_flow_limit) + self.order_flow_clear.valueChanged.connect(self.risk_manager_engine.set_order_flow_clear) + self.order_size_limit.valueChanged.connect(self.risk_manager_engine.set_order_size_limit) + self.trade_limit.valueChanged.connect(self.risk_manager_engine.set_trade_limit) + self.active_order_limit.valueChanged.connect(self.risk_manager_engine.set_active_order_limit) + self.order_cancel_limit.valueChanged.connect(self.risk_manager_engine.set_order_cancel_limit) + + # Connect signal to button + self.switch_button.clicked.connect(self.switch_engine_status) + clear_order_count_button.clicked.connect(self.risk_manager_engine.clear_order_flow_count) + clear_trade_count_button.clicked.connect(self.risk_manager_engine.clear_trade_count) + save_setting_button.clicked.connect(self.risk_manager_engine.save_setting) + + # Set Fix Size + self.setFixedSize(self.sizeHint()) + + def switch_engine_status(self): + """""" + self.risk_manager_engine.switch_engine_status() + self.update_engine_status() + + def update_engine_status(self): + """""" + if self.risk_manager_engine.active: + self.switch_button.setText("风控模块运行中") + self.order_flow_limit.setValue(self.risk_manager_engine.order_flow_limit) + self.order_flow_clear.setValue(self.risk_manager_engine.order_flow_clear) + self.order_size_limit.setValue(self.risk_manager_engine.order_size_limit) + self.trade_limit.setValue(self.risk_manager_engine.trade_limit) + self.active_order_limit.setValue(self.risk_manager_engine.active_order_limit) + self.order_cancel_limit.setValue(self.risk_manager_engine.order_cancel_limit) + else: + self.switch_button.setText("风控模块未启动") + + self.risk_manager_engine.save_setting() + + +class RiskManagerSpinBox(QtWidgets.QSpinBox): + """""" + + def __init__(self, value): + """""" + super(RiskManagerSpinBox, self).__init__() + + self.setMinimum(0) + self.setMaximum(1000000) + self.setValue(value) From 41bcf7b605a6a1f18b0567ae0f6d2692dd376a52 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 2 Jun 2019 14:51:15 +0800 Subject: [PATCH 8/8] [Mod] change RiskManager to use QDialog --- tests/trader/run.py | 2 + vnpy/app/risk_manager/__init__.py | 4 +- vnpy/app/risk_manager/engine.py | 169 ++++++++++------------ vnpy/app/risk_manager/ui/risk_manager.ico | Bin 67646 -> 0 bytes vnpy/app/risk_manager/ui/rm.ico | Bin 0 -> 59966 bytes vnpy/app/risk_manager/ui/widget.py | 149 +++++++++---------- vnpy/trader/ui/mainwindow.py | 4 +- 7 files changed, 152 insertions(+), 176 deletions(-) delete mode 100644 vnpy/app/risk_manager/ui/risk_manager.ico create mode 100644 vnpy/app/risk_manager/ui/rm.ico diff --git a/tests/trader/run.py b/tests/trader/run.py index b06b4af4..cf698f0e 100644 --- a/tests/trader/run.py +++ b/tests/trader/run.py @@ -25,6 +25,7 @@ from vnpy.app.csv_loader import CsvLoaderApp from vnpy.app.algo_trading import AlgoTradingApp from vnpy.app.cta_backtester import CtaBacktesterApp from vnpy.app.data_recorder import DataRecorderApp +from vnpy.app.risk_manager import RiskManagerApp def main(): @@ -55,6 +56,7 @@ def main(): main_engine.add_app(CsvLoaderApp) main_engine.add_app(AlgoTradingApp) main_engine.add_app(DataRecorderApp) + main_engine.add_app(RiskManagerApp) main_window = MainWindow(main_engine, event_engine) main_window.showMaximized() diff --git a/vnpy/app/risk_manager/__init__.py b/vnpy/app/risk_manager/__init__.py index 3c51a1e7..0b867f06 100644 --- a/vnpy/app/risk_manager/__init__.py +++ b/vnpy/app/risk_manager/__init__.py @@ -8,7 +8,7 @@ class RiskManagerApp(BaseApp): app_name = APP_NAME app_module = __module__ app_path = Path(__file__).parent - display_name = "风险控制" + display_name = "交易风控" engine_class = RiskManagerEngine widget_name = "RiskManager" - icon_name = "risk_manager.ico" + icon_name = "rm.ico" diff --git a/vnpy/app/risk_manager/engine.py b/vnpy/app/risk_manager/engine.py index 84fa1c9c..35ab4a74 100644 --- a/vnpy/app/risk_manager/engine.py +++ b/vnpy/app/risk_manager/engine.py @@ -15,32 +15,42 @@ APP_NAME = "RiskManager" class RiskManagerEngine(BaseEngine): """""" setting_filename = "risk_manager_setting.json" - + def __init__(self, main_engine: MainEngine, event_engine: EventEngine): """""" super().__init__(main_engine, event_engine, APP_NAME) - + self.main_engine = main_engine self.event_engine = event_engine - + self.active = False - 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 - - # Patch send order function of MainEngine - self._send_order = self.main_engine.send_order - self.main_engine.send_order = self.send_order + + 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 = 500 + self.order_cancel_counts = defaultdict(int) + + self.active_order_limit = 50 self.load_setting() self.register_event() + self.patch_send_order() + + def patch_send_order(self): + """ + Patch send order function of MainEngine. + """ + self._send_order = self.main_engine.send_order + self.main_engine.send_order = self.send_order def send_order(self, req: OrderRequest, gateway_name: str): """""" @@ -49,20 +59,23 @@ class RiskManagerEngine(BaseEngine): return "" return self._send_order(req, gateway_name) - - def load_setting(self): - """""" - setting = load_json(self.setting_filename) - self.active = setting.get("active", self.active) - self.order_flow_limit = setting.get("order_flow_limit", self.order_flow_count) - self.order_flow_clear = setting.get("order_flow_clear", self.order_flow_clear) - self.order_size_limit = setting.get("order_size_limit", self.order_size_limit) - self.trade_limit = setting.get("trade_limit", self.trade_limit) - self.active_order_limit = setting.get("active_order_limit", self.active_order_limit) - self.order_cancel_limit = setting.get("order_cancel_limit", self.order_cancel_limit) - - def save_setting(self): + def update_setting(self, setting: dict): + """""" + self.active = setting["active"] + self.order_flow_limit = setting["order_flow_limit"] + self.order_flow_clear = setting["order_flow_clear"] + self.order_size_limit = setting["order_size_limit"] + self.trade_limit = setting["trade_limit"] + self.active_order_limit = setting["active_order_limit"] + self.order_cancel_limit = setting["order_cancel_limit"] + + if self.active: + self.write_log("交易风控功能启动") + else: + self.write_log("交易风控功能停止") + + def get_setting(self): """""" setting = { "active": self.active, @@ -73,27 +86,39 @@ class RiskManagerEngine(BaseEngine): "active_order_limit": self.active_order_limit, "order_cancel_limit": self.order_cancel_limit, } + return setting + def load_setting(self): + """""" + setting = load_json(self.setting_filename) + if not setting: + return + + self.update_setting(setting) + + def save_setting(self): + """""" + setting = self.get_setting() save_json(self.setting_filename, setting) - + def register_event(self): """""" 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 process_order_event(self, event: Event): """""" order = event.data if order.status != Status.CANCELLED: - return + return self.order_cancel_counts[order.symbol] += 1 - + def process_trade_event(self, event: Event): """""" trade = event.data self.trade_count += trade.volume - + def process_timer_event(self, event: Event): """""" self.order_flow_timer += 1 @@ -101,9 +126,9 @@ class RiskManagerEngine(BaseEngine): if self.order_flow_timer >= self.order_flow_clear: self.order_flow_count = 0 self.order_flow_timer = 0 - - def write_risk_log(self, msg: str): - """""" + + def write_log(self, msg: str): + """""" log = LogData(msg=msg, gateway_name="RiskManager") event = Event(type=EVENT_LOG, data=log) self.event_engine.put(event) @@ -115,81 +140,39 @@ class RiskManagerEngine(BaseEngine): # Check order volume if req.volume <= 0: - self.write_risk_log("委托数量必须大于0") + self.write_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}") + self.write_log( + f"单笔委托数量{req.volume}，超过限制{self.order_size_limit}") return False # 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}") + self.write_log( + f"今日总成交合约数量{self.trade_count}，超过限制{self.trade_limit}") return False # 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}次") + self.write_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}次") return False # 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"当前活动委托次数{active_order_count}，超过限制{self.active_order_limit}") + self.write_log( + f"当前活动委托次数{active_order_count}，超过限制{self.active_order_limit}") return False # 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}") + if req.symbol in self.order_cancel_counts and self.order_cancel_counts[req.symbol] >= self.order_cancel_limit: + self.write_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 # 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("清空流控计数") - - def clear_trade_count(self): - """""" - self.trade_count = 0 - self.write_risk_log("清空总成交计数") - - def set_order_flow_limit(self, n): - """""" - self.order_flow_limit = n - - def set_order_flow_clear(self, n): - """""" - self.order_flow_clear = n - - def set_order_size_limit(self, n): - """""" - self.order_size_limit = n - - def set_trade_limit(self, n): - """""" - self.trade_limit = n - - def set_active_order_limit(self, n): - """""" - self.active_order_limit = n - - def set_order_cancel_limit(self, n): - """""" - self.order_cancel_limit = n - - def switch_engine_status(self): - """""" - self.active = not self.active - - if self.active: - self.write_risk_log("风险管理功能启动") - else: - self.write_risk_log("风险管理功能停止") - - def stop(self): - """""" - self.save_setting() diff --git a/vnpy/app/risk_manager/ui/risk_manager.ico b/vnpy/app/risk_manager/ui/risk_manager.ico deleted file mode 100644 index 4b376934c3f7d350ca3577567c6e2a39ef2812ed..0000000000000000000000000000000000000000 GIT binary patch literal 0 HcmV?d00001 literal 67646 zcmeI5eT-d28OCodhGL-#LJ^xCmk*Yw}RDR6W9-;06|fj58#U&xu3N>rESkn$|B1pE~!p10Da 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