From 739b0750453a08d04658a7f28f1739e17447468c Mon Sep 17 00:00:00 2001 From: msincenselee Date: Tue, 1 Sep 2020 16:56:07 +0800 Subject: [PATCH] =?UTF-8?q?[=E5=A2=9E=E5=BC=BA=E5=8A=9F=E8=83=BD]=20?= =?UTF-8?q?=E9=A3=8E=E6=8E=A7=E5=A2=9E=E5=8A=A0=E6=88=90=E4=BA=A4=E6=8C=81?= =?UTF-8?q?=E4=BB=93=E6=AF=94=E9=98=88=E5=80=BC?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/app/risk_manager/engine.py | 99 +++++++++++++++++++++++------- vnpy/app/risk_manager/ui/widget.py | 14 ++++- 2 files changed, 88 insertions(+), 25 deletions(-) diff --git a/vnpy/app/risk_manager/engine.py b/vnpy/app/risk_manager/engine.py index 49cf75a9..339a7f06 100644 --- a/vnpy/app/risk_manager/engine.py +++ b/vnpy/app/risk_manager/engine.py @@ -3,11 +3,11 @@ import logging from copy import copy from collections import defaultdict from datetime import datetime -from vnpy.trader.constant import Offset +from vnpy.trader.constant import Offset, Direction 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, EVENT_ACCOUNT +from vnpy.trader.event import EVENT_TRADE, EVENT_ORDER, EVENT_LOG, EVENT_ACCOUNT, EVENT_POSITION from vnpy.trader.constant import Status from vnpy.trader.utility import load_json, save_json @@ -20,6 +20,7 @@ APP_NAME = "RiskManager" -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): """""" setting_filename = "risk_manager_setting.json" @@ -30,29 +31,34 @@ class RiskManagerEngine(BaseEngine): self.active = False - 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_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 # 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_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 # 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.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.order_cancel_limit = 5000 # 撤单数量限制 + 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_volumes = 0 # 累计撤单笔数 - self.order_reject_volumes = 0 # 累计废单笔数 + self.pos_yd_counts = {} # {vt_symbol: {'long':x, 'short':y} } 合约多单昨持仓数，# 合约空单昨持仓数 + self.pos_td_counts = {} # {vt_symbol: {'long':x, 'short':y} } 合约多单今持仓数, # 合约空单今持仓数 + + self.order_cancel_volumes = 0 # 累计撤单笔数 + self.order_reject_volumes = 0 # 累计废单笔数 self.ratio_active_order_limit = 500 # 激活撤单比、废单比得订单总数量阈值 + self.trade_hold_active_limit = 1000 # 激活“成交持仓比例”的阈值 - self.cancel_ratio_percent_limit = 99 # 撤单比阈值 - self.reject_ratio_percent_limit = 99 # 废单比阈值 + self.cancel_ratio_percent_limit = 99 # 撤单比风控阈值 + self.reject_ratio_percent_limit = 99 # 废单比风控阈值 + self.trade_hold_percent_limit = 300 # 成交/持仓比例风控阈值 - self.active_order_limit = 500 # 未完成订单数量 + 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 @@ -94,6 +100,8 @@ class RiskManagerEngine(BaseEngine): 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) + self.trade_hold_active_limit = setting.get('trade_hold_active_limit', 1000) + self.trade_hold_percent_limit = setting.get('trade_hold_percent_limit', 300) if self.active: self.write_log("交易风控功能启动") @@ -110,7 +118,12 @@ class RiskManagerEngine(BaseEngine): "trade_limit": self.trade_limit, "active_order_limit": self.active_order_limit, "order_cancel_limit": self.order_cancel_limit, - "percent_limit": self.percent_limit + "percent_limit": self.percent_limit, + "ratio_active_order_limit": self.ratio_active_order_limit, + "cancel_ratio_percent_limit": self.cancel_ratio_percent_limit, + "reject_ratio_percent_limit": self.reject_ratio_percent_limit, + "trade_hold_active_limit": self.trade_hold_active_limit, + "trade_hold_percent_limit": self.trade_hold_percent_limit } return setting @@ -132,10 +145,11 @@ class RiskManagerEngine(BaseEngine): 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) + self.event_engine.register(EVENT_POSITION, self.process_position_event) self.event_engine.register(EVENT_ACCOUNT, self.process_account_event) def process_order_event(self, event: Event): - """""" + """委托更新（增加计数器）""" order = event.data if order.status in [Status.ALLTRADED, Status.REJECTED, Status.CANCELLED]: self.order_volumes += order.volume @@ -149,10 +163,29 @@ class RiskManagerEngine(BaseEngine): self.order_cancel_volumes += order.volume def process_trade_event(self, event: Event): - """""" + """交易更新（增加计数器）""" trade = event.data self.trade_volumes += trade.volume + def process_position_event(self, event: Event): + """持仓更新""" + pos = event.data + if pos.direction in [Direction.LONG, Direction.NET]: + yd = self.pos_yd_counts.get(pos.vt_symbol, {}) + td = self.pos_td_counts.get(pos.vt_symbol, {}) + yd.update({'long': pos.yd_volume}) + td.update({'long': pos.volume - pos.yd_volume}) + self.pos_yd_counts[pos.vt_symbol] = yd + self.pos_td_counts[pos.vt_symbol] = td + + if pos.direction in [Direction.SHORT]: + yd = self.pos_yd_counts.get(pos.vt_symbol, {}) + td = self.pos_td_counts.get(pos.vt_symbol, {}) + yd.update({'short': pos.yd_volume}) + td.update({'short': pos.volume - pos.yd_volume}) + self.pos_yd_counts[pos.vt_symbol] = yd + self.pos_td_counts[pos.vt_symbol] = td + def process_timer_event(self, event: Event): """""" self.order_flow_timer += 1 @@ -277,13 +310,33 @@ class RiskManagerEngine(BaseEngine): # 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}%') + 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}%') + 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 + # 激活成交持仓风控 + if self.trade_volumes > self.trade_hold_active_limit: + # 昨仓持仓总数 + yd_volumes = sum([max(yd.get('long', 0), yd.get('short', 0)) for yd in self.pos_yd_counts.values()]) + # 今仓持仓总数 + td_volumes = sum([max(td.get('long', 0), td.get('short', 0)) for td in self.pos_td_counts.values()]) + + hold_volumes = max(yd_volumes, td_volumes) + + if hold_volumes > 0: + if (self.trade_volumes / hold_volumes) * 100 > self.trade_hold_percent_limit: + self.write_log( + f'当前成交总数:{self.trade_volumes}, 昨仓净持仓总数:{yd_volumes},今仓净持仓总数{td_volumes}: ' + f'max净持仓数:{hold_volumes}, 成交/持仓比, 超过阈值{self.trade_hold_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 d47ecd93..38b9c96b 100644 --- a/vnpy/app/risk_manager/ui/widget.py +++ b/vnpy/app/risk_manager/ui/widget.py @@ -37,6 +37,10 @@ class RiskManager(QtWidgets.QDialog): self.reject_limit_percent_spin = RiskManagerSpinBox() self.cancel_limit_percent_spin = RiskManagerSpinBox() + self.trade_hold_active_limit_spin = RiskManagerSpinBox() + self.trade_hold_percent_limit_spin = RiskManagerSpinBox() + + save_button = QtWidgets.QPushButton("保存") save_button.clicked.connect(self.save_setting) @@ -53,6 +57,9 @@ class RiskManager(QtWidgets.QDialog): 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("激活成交/持仓比阈值（笔）" ,self.trade_hold_active_limit_spin) + form.addRow("成交/持仓比上限(%)", self.trade_hold_percent_limit_spin) + form.addRow(save_button) self.setLayout(form) @@ -80,7 +87,9 @@ class RiskManager(QtWidgets.QDialog): "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() + "reject_ratio_percent_limit": self.reject_limit_percent_spin.value(), + "trade_hold_active_limit": self.trade_hold_active_limit_spin.value(), + "trade_hold_percent_limit": self.trade_hold_percent_limit_spin.value() } self.rm_engine.update_setting(setting) @@ -106,7 +115,8 @@ class RiskManager(QtWidgets.QDialog): 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)) - + self.trade_hold_active_limit_spin.setValue(setting.get('trade_hold_active_limit', 1000)) + self.trade_hold_percent_limit_spin.setValue(setting.get("trade_hold_percent_limit", 300)) def exec_(self): """"""