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[增强功能] 风控模块，增加废单比，撤单比控制

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This commit is contained in:
msincenselee 2020-09-01 15:47:10 +08:00
parent c890b931b7
commit 5cd7edd3dc
2 changed files with 61 additions and 13 deletions
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60
vnpy/app/risk_manager/engine.py
View File

@ -13,6 +13,12 @@ from vnpy.trader.utility import load_json, save_json
APP_NAME = "RiskManager"
"""
中信证券期权新要求：
-系统须具备撤单比控制控能，对单日客户账户委托撤单比例进行控制（当委托笔数大于预定阀值时启用），撤单比=撤单笔数/(总委托笔数-废单笔数)*100%；
-交易系统须具备废单比控制功能，对单日客户账户委托废单比例进行控制（当委托笔数大于预定阀值时启用），废单比=废单委托笔数/总委托笔数*100%；
-系统需具备成交持仓比控制功能，对当日客户账户成交持仓比例进行控制（当账户成交量大于1000张时启用），各期权标的合约成交持仓比=成交张数/max（昨日净持仓张数，今日净持仓张数）；
"""
class RiskManagerEngine(BaseEngine):
""""""
@ -24,21 +30,29 @@ class RiskManagerEngine(BaseEngine):
self.active = False
self.order_flow_count = 0
self.order_flow_limit = 500
self.order_flow_count = 0 # 单位时间内，委托数量计数器
self.order_flow_limit = 500 # 单位时间内，委托数量上限。
self.order_flow_clear = 1
self.order_flow_timer = 0
self.order_flow_clear = 1 # 单位时间，即清空委托数量计数器得秒数
self.order_flow_timer = 0 # 计时秒
self.order_size_limit = 1000
self.order_size_limit = 1000 # 单笔委托数量限制
self.order_volumes = 0 # 累计委托数量
self.trade_volumes = 0 # 累计成交数量
self.trade_limit = 10000 # 成交数量上限
self.trade_count = 0
self.trade_limit = 10000
self.order_cancel_limit = 5000 # 撤单数量限制
self.order_cancel_counts = defaultdict(int) # 撤单次数 {合约：撤单次数}
self.order_cancel_limit = 5000
self.order_cancel_counts = defaultdict(int)
self.order_cancel_volumes = 0 # 累计撤单笔数
self.order_reject_volumes = 0 # 累计废单笔数
self.active_order_limit = 500
self.ratio_active_order_limit = 500 # 激活撤单比、废单比得订单总数量阈值
self.cancel_ratio_percent_limit = 99 # 撤单比阈值
self.reject_ratio_percent_limit = 99 # 废单比阈值
self.active_order_limit = 500 # 未完成订单数量
# 总仓位相关(0~100+)
self.percent_limit = 100 # 仓位比例限制
@ -77,6 +91,10 @@ class RiskManagerEngine(BaseEngine):
self.active_order_limit = setting["active_order_limit"]
self.order_cancel_limit = setting["order_cancel_limit"]
self.percent_limit = setting.get('percent_limit', 100)
self.ratio_active_order_limit = setting.get('ratio_active_order_limit', 500)
self.cancel_ratio_percent_limit = setting.get('cancel_ratio_percent_limit', 99)
self.reject_ratio_percent_limit = setting.get('reject_ratio_percent_limit', 99)
if self.active:
self.write_log("交易风控功能启动")
else:
@ -119,14 +137,21 @@ class RiskManagerEngine(BaseEngine):
def process_order_event(self, event: Event):
""""""
order = event.data
if order.status in [Status.ALLTRADED, Status.REJECTED, Status.CANCELLED]:
self.order_volumes += order.volume
if order.status == Status.REJECTED:
self.order_reject_volumes += order.volume
if order.status != Status.CANCELLED:
return
self.order_cancel_counts[order.symbol] += 1
self.order_cancel_volumes += order.volume
def process_trade_event(self, event: Event):
""""""
trade = event.data
self.trade_count += trade.volume
self.trade_volumes += trade.volume
def process_timer_event(self, event: Event):
""""""
@ -221,9 +246,9 @@ class RiskManagerEngine(BaseEngine):
return False
# Check trade volume
if self.trade_count >= self.trade_limit:
if self.trade_volumes >= 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}")
f"今日总成交合约数量{self.trade_volumes}，超过限制{self.trade_limit}")
return False
# Check flow count
@ -250,6 +275,15 @@ class RiskManagerEngine(BaseEngine):
self.write_log(f'当前资金仓位{self.gateway_dict[gateway_name]}超过仓位限制:{self.percent_limit}')
return False
# 激活撤单比，废单比
if self.order_volumes > self.ratio_active_order_limit:
if self.order_reject_volumes > 0 and (self.order_reject_volumes/self.order_volumes) * 100 > self.reject_ratio_percent_limit:
self.write_log(f'当前订单总数:{self.order_volumes}, 废单总数:{self.order_reject_volumes}, 超过阈值{self.reject_ratio_percent_limit}%')
return False
if self.order_cancel_volumes > 0 and (self.order_cancel_volumes/self.order_volumes) * 100 > self.cancel_ratio_percent_limit:
self.write_log(f'当前订单总数:{self.order_volumes}, 撤单总数:{self.order_reject_volumes}, 超过阈值{self.cancel_ratio_percent_limit}%')
return False
# Add flow count if pass all checks
self.order_flow_count += 1
return True

14
vnpy/app/risk_manager/ui/widget.py
View File

@ -33,6 +33,10 @@ class RiskManager(QtWidgets.QDialog):
self.cancel_limit_spin = RiskManagerSpinBox()
self.percent_limit_spin = RiskManagerSpinBox()
self.ratio_active_limit_spin = RiskManagerSpinBox()
self.reject_limit_percent_spin = RiskManagerSpinBox()
self.cancel_limit_percent_spin = RiskManagerSpinBox()
save_button = QtWidgets.QPushButton("保存")
save_button.clicked.connect(self.save_setting)
@ -46,6 +50,9 @@ class RiskManager(QtWidgets.QDialog):
form.addRow("活动委托上限（笔）", self.active_limit_spin)
form.addRow("合约撤单上限（笔）", self.cancel_limit_spin)
form.addRow("资金仓位上限(%)", self.percent_limit_spin)
form.addRow("激活废单/撤单(笔)", self.ratio_active_limit_spin)
form.addRow("废单比上限(%)", self.reject_limit_percent_spin)
form.addRow("撤单比上限(%)", self.cancel_limit_percent_spin)
form.addRow(save_button)
self.setLayout(form)
@ -71,6 +78,9 @@ class RiskManager(QtWidgets.QDialog):
"active_order_limit": self.active_limit_spin.value(),
"order_cancel_limit": self.cancel_limit_spin.value(),
"percent_limit": self.percent_limit_spin.value(),
"ratio_active_order_limit": self.ratio_active_limit_spin.value(),
"cancel_ratio_percent_limit": self.cancel_limit_percent_spin.value(),
"reject_ratio_percent_limit": self.reject_limit_percent_spin.value()
}
self.rm_engine.update_setting(setting)
@ -93,6 +103,10 @@ class RiskManager(QtWidgets.QDialog):
self.active_limit_spin.setValue(setting["active_order_limit"])
self.cancel_limit_spin.setValue(setting["order_cancel_limit"])
self.percent_limit_spin.setValue(setting.get('percent_limit', 100))
self.ratio_active_limit_spin.setValue(setting.get('ratio_active_order_limit', 500))
self.cancel_limit_percent_spin.setValue(setting.get('cancel_ratio_percent_limit', 90))
self.reject_limit_percent_spin.setValue(setting.get('reject_ratio_percent_limit', 90))
def exec_(self):
""""""