diff --git a/vnpy/app/risk_manager/engine.py b/vnpy/app/risk_manager/engine.py index 1087944a..49cf75a9 100644 --- a/vnpy/app/risk_manager/engine.py +++ b/vnpy/app/risk_manager/engine.py @@ -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 diff --git a/vnpy/app/risk_manager/ui/widget.py b/vnpy/app/risk_manager/ui/widget.py index f106a3c6..d47ecd93 100644 --- a/vnpy/app/risk_manager/ui/widget.py +++ b/vnpy/app/risk_manager/ui/widget.py @@ -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): """"""