[Mod] change RiskManager to use QDialog
This commit is contained in:
vn.py
parent
6311bb510e
commit
41bcf7b605
@ -25,6 +25,7 @@ from vnpy.app.csv_loader import CsvLoaderApp
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from vnpy.app.algo_trading import AlgoTradingApp
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from vnpy.app.cta_backtester import CtaBacktesterApp
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from vnpy.app.data_recorder import DataRecorderApp
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from vnpy.app.risk_manager import RiskManagerApp
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def main():
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@ -55,6 +56,7 @@ def main():
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main_engine.add_app(CsvLoaderApp)
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main_engine.add_app(AlgoTradingApp)
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main_engine.add_app(DataRecorderApp)
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main_engine.add_app(RiskManagerApp)
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main_window = MainWindow(main_engine, event_engine)
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main_window.showMaximized()
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@ -8,7 +8,7 @@ class RiskManagerApp(BaseApp):
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app_name = APP_NAME
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app_module = __module__
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app_path = Path(__file__).parent
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display_name = "风险控制"
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display_name = "交易风控"
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engine_class = RiskManagerEngine
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widget_name = "RiskManager"
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icon_name = "risk_manager.ico"
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icon_name = "rm.ico"
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@ -24,23 +24,33 @@ class RiskManagerEngine(BaseEngine):
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self.event_engine = event_engine
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self.active = False
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self.order_flow_count = 0
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self.order_flow_limit = 50
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self.order_flow_clear = 1
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self.order_flow_timer = 0
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self.order_size_limit = 100
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self.trade_count = 0
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self.trade_limit = 1000
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self.order_cancel_limit = 10
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self.order_cancel_counts = defaultdict(int)
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self.active_order_limit = 20
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# Patch send order function of MainEngine
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self._send_order = self.main_engine.send_order
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self.main_engine.send_order = self.send_order
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self.order_cancel_limit = 500
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self.order_cancel_counts = defaultdict(int)
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self.active_order_limit = 50
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self.load_setting()
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self.register_event()
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self.patch_send_order()
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def patch_send_order(self):
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"""
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Patch send order function of MainEngine.
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"""
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self._send_order = self.main_engine.send_order
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self.main_engine.send_order = self.send_order
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def send_order(self, req: OrderRequest, gateway_name: str):
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""""""
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@ -50,19 +60,22 @@ class RiskManagerEngine(BaseEngine):
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return self._send_order(req, gateway_name)
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def load_setting(self):
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def update_setting(self, setting: dict):
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""""""
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setting = load_json(self.setting_filename)
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self.active = setting["active"]
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self.order_flow_limit = setting["order_flow_limit"]
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self.order_flow_clear = setting["order_flow_clear"]
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self.order_size_limit = setting["order_size_limit"]
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self.trade_limit = setting["trade_limit"]
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self.active_order_limit = setting["active_order_limit"]
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self.order_cancel_limit = setting["order_cancel_limit"]
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self.active = setting.get("active", self.active)
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self.order_flow_limit = setting.get("order_flow_limit", self.order_flow_count)
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self.order_flow_clear = setting.get("order_flow_clear", self.order_flow_clear)
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self.order_size_limit = setting.get("order_size_limit", self.order_size_limit)
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self.trade_limit = setting.get("trade_limit", self.trade_limit)
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self.active_order_limit = setting.get("active_order_limit", self.active_order_limit)
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self.order_cancel_limit = setting.get("order_cancel_limit", self.order_cancel_limit)
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if self.active:
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self.write_log("交易风控功能启动")
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else:
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self.write_log("交易风控功能停止")
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def save_setting(self):
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def get_setting(self):
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""""""
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setting = {
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"active": self.active,
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@ -73,7 +86,19 @@ class RiskManagerEngine(BaseEngine):
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"active_order_limit": self.active_order_limit,
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"order_cancel_limit": self.order_cancel_limit,
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}
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return setting
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def load_setting(self):
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""""""
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setting = load_json(self.setting_filename)
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if not setting:
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return
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self.update_setting(setting)
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def save_setting(self):
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""""""
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setting = self.get_setting()
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save_json(self.setting_filename, setting)
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def register_event(self):
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@ -102,7 +127,7 @@ class RiskManagerEngine(BaseEngine):
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self.order_flow_count = 0
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self.order_flow_timer = 0
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def write_risk_log(self, msg: str):
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def write_log(self, msg: str):
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""""""
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log = LogData(msg=msg, gateway_name="RiskManager")
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event = Event(type=EVENT_LOG, data=log)
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@ -115,81 +140,39 @@ class RiskManagerEngine(BaseEngine):
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# Check order volume
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if req.volume <= 0:
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self.write_risk_log("委托数量必须大于0")
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self.write_log("委托数量必须大于0")
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return False
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if req.volume > self.order_size_limit:
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self.write_risk_log(f"单笔委托数量{req.volume}，超过限制{self.order_size_limit}")
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self.write_log(
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f"单笔委托数量{req.volume}，超过限制{self.order_size_limit}")
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return False
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# Check trade volume
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if self.trade_count >= self.trade_limit:
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self.write_risk_log(f"今日总成交合约数量{self.trade_count}，超过限制{self.trade_limit}")
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self.write_log(
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f"今日总成交合约数量{self.trade_count}，超过限制{self.trade_limit}")
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return False
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# Check flow count
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if self.order_flow_count >= self.order_flow_limit:
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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")
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self.write_log(
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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")
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return False
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# Check all active orders
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active_order_count = len(self.main_engine.get_all_active_orders())
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if active_order_count >= self.active_order_limit:
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self.write_risk_log(f"当前活动委托次数{active_order_count}，超过限制{self.active_order_limit}")
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self.write_log(
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f"当前活动委托次数{active_order_count}，超过限制{self.active_order_limit}")
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return False
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# Check order cancel counts
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if req.symbol in self.order_cancel_counts and self.order_cancel_counts[req.symbol] >= self.order_cancel_limit:
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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}")
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self.write_log(
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f"当日{req.symbol}撤单次数{self.order_cancel_counts[req.symbol]}，超过限制{self.order_cancel_limit}")
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return False
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# Add flow count if pass all checks
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self.order_flow_count += 1
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return True
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def clear_order_flow_count(self):
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""""""
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self.order_flow_count = 0
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self.write_risk_log("清空流控计数")
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def clear_trade_count(self):
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""""""
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self.trade_count = 0
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self.write_risk_log("清空总成交计数")
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def set_order_flow_limit(self, n):
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""""""
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self.order_flow_limit = n
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def set_order_flow_clear(self, n):
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""""""
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self.order_flow_clear = n
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def set_order_size_limit(self, n):
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""""""
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self.order_size_limit = n
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def set_trade_limit(self, n):
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""""""
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self.trade_limit = n
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def set_active_order_limit(self, n):
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""""""
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self.active_order_limit = n
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def set_order_cancel_limit(self, n):
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""""""
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self.order_cancel_limit = n
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def switch_engine_status(self):
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""""""
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self.active = not self.active
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if self.active:
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self.write_risk_log("风险管理功能启动")
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else:
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self.write_risk_log("风险管理功能停止")
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def stop(self):
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""""""
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self.save_setting()
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Binary file not shown.
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Before Width: | Height: | Size: 66 KiB |
BIN
vnpy/app/risk_manager/ui/rm.ico
Normal file
BIN
vnpy/app/risk_manager/ui/rm.ico
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Binary file not shown.
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After Width: | Height: | Size: 59 KiB |
@ -4,7 +4,7 @@ from vnpy.trader.ui import QtWidgets
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from ..engine import APP_NAME
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class RiskManager(QtWidgets.QWidget):
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class RiskManager(QtWidgets.QDialog):
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""""""
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def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
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@ -13,104 +13,95 @@ class RiskManager(QtWidgets.QWidget):
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self.main_engine = main_engine
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self.event_engine = event_engine
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self.risk_manager_engine = main_engine.get_engine(APP_NAME)
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self.rm_engine = main_engine.get_engine(APP_NAME)
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self.init_ui()
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self.update_engine_status()
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def init_ui(self):
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""""""
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self.setWindowTitle("风险控制")
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self.setWindowTitle("交易风控")
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# SpinBox
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self.order_flow_limit = RiskManagerSpinBox(0)
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self.order_flow_clear = RiskManagerSpinBox(0)
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self.order_size_limit = RiskManagerSpinBox(0)
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self.trade_limit = RiskManagerSpinBox(0)
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self.active_order_limit = RiskManagerSpinBox(0)
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self.order_cancel_limit = RiskManagerSpinBox(0)
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# Create widgets
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self.active_combo = QtWidgets.QComboBox()
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self.active_combo.addItems(["停止", "启动"])
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# Button
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self.switch_button = QtWidgets.QPushButton("风控模块未启动")
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clear_order_count_button = QtWidgets.QPushButton("清空流控计数")
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clear_trade_count_button = QtWidgets.QPushButton("清空总成交计数")
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save_setting_button = QtWidgets.QPushButton("保存设置")
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self.flow_limit_spin = RiskManagerSpinBox()
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self.flow_clear_spin = RiskManagerSpinBox()
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self.size_limit_spin = RiskManagerSpinBox()
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self.trade_limit_spin = RiskManagerSpinBox()
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self.active_limit_spin = RiskManagerSpinBox()
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self.cancel_limit_spin = RiskManagerSpinBox()
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# Grid layout
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Label = QtWidgets.QLabel
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grid = QtWidgets.QGridLayout()
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grid.addWidget(Label("工作状态"), 0, 0)
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grid.addWidget(self.switch_button, 0, 1)
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grid.addWidget(Label("流控上限"), 1, 0)
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grid.addWidget(self.order_flow_limit, 1, 1)
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grid.addWidget(Label("流控清空（秒）"), 2, 0)
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grid.addWidget(self.order_flow_clear, 2, 1)
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grid.addWidget(Label("单笔委托上限"), 3, 0)
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grid.addWidget(self.order_size_limit, 3, 1)
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grid.addWidget(Label("总成交上限"), 4, 0)
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grid.addWidget(self.trade_limit, 4, 1)
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grid.addWidget(Label("活动订单上限"), 5, 0)
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grid.addWidget(self.active_order_limit, 5, 1)
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grid.addWidget(Label("单合约撤单上限"), 6, 0)
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grid.addWidget(self.order_cancel_limit, 6, 1)
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save_button = QtWidgets.QPushButton("保存")
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save_button.clicked.connect(self.save_setting)
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# Horizontal box layout
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hbox = QtWidgets.QHBoxLayout()
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hbox.addWidget(clear_order_count_button)
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hbox.addWidget(clear_trade_count_button)
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hbox.addWidget(save_setting_button)
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# Form layout
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form = QtWidgets.QFormLayout()
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form.addRow("风控运行状态", self.active_combo)
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form.addRow("委托流控上限（笔）", self.flow_limit_spin)
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form.addRow("委托流控清空（秒）", self.flow_clear_spin)
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form.addRow("单笔委托上限（数量）", self.size_limit_spin)
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form.addRow("总成交上限（笔）", self.trade_limit_spin)
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form.addRow("活动委托上限（笔）", self.active_limit_spin)
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form.addRow("合约撤单上限（笔）", self.cancel_limit_spin)
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form.addRow(save_button)
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# Vertical box layout
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vbox = QtWidgets.QVBoxLayout()
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vbox.addLayout(grid)
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vbox.addLayout(hbox)
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self.setLayout(vbox)
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# Connect signal to SpinBox
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self.order_flow_limit.valueChanged.connect(self.risk_manager_engine.set_order_flow_limit)
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self.order_flow_clear.valueChanged.connect(self.risk_manager_engine.set_order_flow_clear)
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self.order_size_limit.valueChanged.connect(self.risk_manager_engine.set_order_size_limit)
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self.trade_limit.valueChanged.connect(self.risk_manager_engine.set_trade_limit)
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self.active_order_limit.valueChanged.connect(self.risk_manager_engine.set_active_order_limit)
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self.order_cancel_limit.valueChanged.connect(self.risk_manager_engine.set_order_cancel_limit)
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# Connect signal to button
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self.switch_button.clicked.connect(self.switch_engine_status)
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clear_order_count_button.clicked.connect(self.risk_manager_engine.clear_order_flow_count)
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clear_trade_count_button.clicked.connect(self.risk_manager_engine.clear_trade_count)
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save_setting_button.clicked.connect(self.risk_manager_engine.save_setting)
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self.setLayout(form)
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# Set Fix Size
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self.setFixedSize(self.sizeHint())
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hint = self.sizeHint()
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self.setFixedSize(hint.width() * 1.2, hint.height())
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def switch_engine_status(self):
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def save_setting(self):
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""""""
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self.risk_manager_engine.switch_engine_status()
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self.update_engine_status()
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def update_engine_status(self):
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""""""
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if self.risk_manager_engine.active:
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self.switch_button.setText("风控模块运行中")
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self.order_flow_limit.setValue(self.risk_manager_engine.order_flow_limit)
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self.order_flow_clear.setValue(self.risk_manager_engine.order_flow_clear)
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self.order_size_limit.setValue(self.risk_manager_engine.order_size_limit)
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self.trade_limit.setValue(self.risk_manager_engine.trade_limit)
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self.active_order_limit.setValue(self.risk_manager_engine.active_order_limit)
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self.order_cancel_limit.setValue(self.risk_manager_engine.order_cancel_limit)
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active_text = self.active_combo.currentText()
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if active_text == "启动":
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active = True
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else:
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self.switch_button.setText("风控模块未启动")
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active = False
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self.risk_manager_engine.save_setting()
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setting = {
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"active": active,
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"order_flow_limit": self.flow_limit_spin.value(),
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"order_flow_clear": self.flow_clear_spin.value(),
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"order_size_limit": self.size_limit_spin.value(),
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"trade_limit": self.trade_limit_spin.value(),
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"active_order_limit": self.active_limit_spin.value(),
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"order_cancel_limit": self.cancel_limit_spin.value(),
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}
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self.rm_engine.update_setting(setting)
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self.rm_engine.save_setting()
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self.close()
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def update_setting(self):
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""""""
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setting = self.rm_engine.get_setting()
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if setting["active"]:
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self.active_combo.setCurrentIndex(1)
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else:
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self.active_combo.setCurrentIndex(0)
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self.flow_limit_spin.setValue(setting["order_flow_limit"])
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self.flow_clear_spin.setValue(setting["order_flow_clear"])
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self.size_limit_spin.setValue(setting["order_size_limit"])
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self.trade_limit_spin.setValue(setting["trade_limit"])
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self.active_limit_spin.setValue(setting["active_order_limit"])
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self.cancel_limit_spin.setValue(setting["order_cancel_limit"])
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def exec_(self):
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""""""
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self.update_setting()
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super().exec_()
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class RiskManagerSpinBox(QtWidgets.QSpinBox):
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""""""
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def __init__(self, value):
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def __init__(self, value: int = 0):
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""""""
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super(RiskManagerSpinBox, self).__init__()
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super().__init__()
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self.setMinimum(0)
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self.setMaximum(1000000)
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self.setValue(value)
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@ -187,7 +187,7 @@ class MainWindow(QtWidgets.QMainWindow):
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if not dialog:
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dialog = ConnectDialog(self.main_engine, gateway_name)
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dialog.exec()
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dialog.exec_()
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def closeEvent(self, event):
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"""
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@ -222,7 +222,7 @@ class MainWindow(QtWidgets.QMainWindow):
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self.widgets[name] = widget
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if isinstance(widget, QtWidgets.QDialog):
|
||||
widget.exec()
|
||||
widget.exec_()
|
||||
else:
|
||||
widget.show()
|
||||
|
||||
|
||||
Loading…
Reference in New Issue
Block a user