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[增强功能] 风控增加成交持仓比阈值

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This commit is contained in:
msincenselee 2020-09-01 16:56:07 +08:00
parent 5cd7edd3dc
commit 739b075045
2 changed files with 88 additions and 25 deletions
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75
vnpy/app/risk_manager/engine.py
View File

@ -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"
@ -44,13 +45,18 @@ class RiskManagerEngine(BaseEngine):
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.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
@ -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
@ -277,11 +310,31 @@ 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

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

@ -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):
""""""