From a259b2eb826f24a938cb5e64a1085296f04f72aa Mon Sep 17 00:00:00 2001 From: 1122455801 Date: Mon, 27 May 2019 16:43:14 +0800 Subject: [PATCH 1/2] Create engine.py --- vnpy/app/risk_manager/engine.py | 198 ++++++++++++++++++++++++++++++++ 1 file changed, 198 insertions(+) create mode 100644 vnpy/app/risk_manager/engine.py diff --git a/vnpy/app/risk_manager/engine.py b/vnpy/app/risk_manager/engine.py new file mode 100644 index 00000000..878f4ba4 --- /dev/null +++ b/vnpy/app/risk_manager/engine.py @@ -0,0 +1,198 @@ +# encoding: UTF-8 + +""" +本文件中实现了风控引擎，用于提供一系列常用的风控功能： +1. 委托流控（单位时间内最大允许发出的委托数量） +2. 总成交限制（每日总成交数量限制） +3. 单笔委托的委托数量控制 +""" +import platform +from vnpy.trader.object import LogData, OrderRequest +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 +from vnpy.trader.constant import Status +from vnpy.trader.utility import load_json, save_json + + +class RmEngine(BaseEngine): + """风控引擎""" + setting_filename = "risk_manager_setting.json" + + def __init__(self, main_engine: MainEngine, event_engine: EventEngine): + """""" + self.main_engine = main_engine + self.event_engine = event_engine + main_engine.rmEngine = self + + self.active = False + self.order_flow_count = 0 # 单位时间内委托计数 + self.order_flow_limit = 50 # 委托限制 + self.order_flow_clear = 1 # 计数清空时间（秒） + self.order_flow_timer = 0 # 计数清空时间计时 + self.order_size_limit = 100 # 单笔委托最大限制 + self.trade_count = 0 # 当日成交合约数量统计 + self.trade_limit = 1000 # 当日成交合约数量限制 + self.order_cancel_limit = 10 # 撤单总次数限制 + self.order_cancel_count = {} # 单一合约对应撤单次数的字典 + self.active_order_limit = 20 # 活动合约最大限制 + + self.load_setting() + self.registerEvent() + + def load_setting(self): + """""" + setting = load_json(self.setting_filename) + + self.active = setting["active"] + self.order_flow_limit = setting["order_flow_limit"] + self.order_flow_clear = setting["order_flow_clear"] + self.order_size_limit = setting["order_size_limit"] + self.trade_limit = setting["trade_limit"] + self.active_order_limit = setting["active_order_limit"] + self.order_cancel_limit = setting["order_cancel_limit"] + + def save_setting(self): + """""" + setting = { + "active": self.active, + "order_flow_limit": self.order_flow_limit, + "order_flow_clear": self.order_flow_clear, + "order_size_limit": self.order_size_limit, + "trade_limit": self.trade_limit, + "active_order_limit": self.active_order_limit, + "order_cancel_limit": self.order_cancel_limit, + } + + save_json(self.setting_filename, setting) + + def register_event(self): + """""" + self.event_engine.register(EVENT_TRADE, self.update_trade) + self.event_engine.register(EVENT_TIMER, self.update_timer) + self.event_engine.register(EVENT_ORDER, self.update_order) + + def update_order(self, event): + """""" + order = event.dict_["data"] + if order.status != Status.CANCELLED: + return + + if order.symbol not in self.order_cancel_count: + self.order_cancel_count[order.symbol] = 1 + else: + self.order_cancel_count[order.symbol] += 1 + + def update_trade(self, event): + """""" + trade = event.dict_["data"] + self.trade_count += trade.volume + + def update_timer(self, event): + """""" + self.order_flow_timer += 1 + + if self.order_flow_timer >= self.order_flow_clear: + self.order_flow_count = 0 + self.order_flow_timer = 0 + + def write_risk_log(self, content): + """""" + if platform.uname() == "Windows": + import winsound + winsound.PlaySound("SystemHand", winsound.SND_ASYNC) + + log = LogData() + log.log_content = content + log.gateway_name = self.name + event = Event(type_=EVENT_LOG) + event.dict_["data"] = log + self.event_engine.put(event) + + def checkRisk(self, req: OrderRequest, gateway_name): + """""" + if not self.active: + return True + + # 检查委托数量 + if req.volume <= 0: + self.write_risk_log(f"委托数量必须大于0") + return False + + if req.volume > self.order_size_limit: + self.write_risk_log(f"单笔委托数量{req.volume}，超过限制{self.order_size_limit}") + return False + + # 检查成交合约量 + if self.trade_count >= self.trade_limit: + self.write_risk_log(f"今日总成交合约数量{self.trade_count}，超过限制{self.trade_limit}") + return False + + # 检查流控 + if self.order_flow_count >= self.order_flow_limit: + 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}") + return False + + # 检查总活动合约 + active_order_count = len(self.main_engine.get_all_active_orders()) + if active_order_count >= self.active_order_limit: + self.write_risk_log(f"当前活动委托数量{active_order_count}，超过限制{self.active_order_limit}") + return False + + # 检查撤单次数 + if req.symbol in self.order_cancel_count and self.order_cancel_count[req.symbol] >= self.order_cancel_limit: + self.write_risk_log(f"当日{req.symbol}撤单次数{self.order_cancel_count[req.symbol]}，超过限制{self.order_cancel_limit}") + return False + + # 对于通过风控的委托，增加流控计数 + self.order_flow_count += 1 + + return True + + def clear_order_flow_count(self): + """""" + self.order_flow_count = 0 + self.write_risk_log(f"清空流控计数") + + def clear_trade_count(self): + """""" + self.trade_count = 0 + self.write_risk_log(f"清空总成交计数") + + def set_order_flow_limit(self, n): + """""" + self.order_flow_limit = n + + def set_order_flow_clear(self, n): + """""" + self.order_flow_clear = n + + def set_order_size_limit(self, n): + """""" + self.order_size_limit = n + + def set_trade_limit(self, n): + """""" + self.trade_limit = n + + def set_active_order_limit(self, n): + """""" + self.active_order_limit = n + + def set_order_cancel_limit(self, n): + """""" + self.order_cancel_limit = n + + def switch_engine_status(self): + """""" + self.active = not self.active + + if self.active: + self.write_risk_log(f"风险管理功能启动") + else: + self.write_risk_log(f"风险管理功能停止") + + def stop(self): + """""" + self.save_setting() + From 2e619685e7645bec86c77d2e8c98b34399fdb714 Mon Sep 17 00:00:00 2001 From: 1122455801 Date: Tue, 28 May 2019 14:07:19 +0800 Subject: [PATCH 2/2] Update engine.py --- vnpy/app/risk_manager/engine.py | 110 ++++++++++++++------------------ 1 file changed, 48 insertions(+), 62 deletions(-) diff --git a/vnpy/app/risk_manager/engine.py b/vnpy/app/risk_manager/engine.py index 878f4ba4..981baf12 100644 --- a/vnpy/app/risk_manager/engine.py +++ b/vnpy/app/risk_manager/engine.py @@ -1,13 +1,6 @@ -# encoding: UTF-8 - -""" -本文件中实现了风控引擎，用于提供一系列常用的风控功能： -1. 委托流控（单位时间内最大允许发出的委托数量） -2. 总成交限制（每日总成交数量限制） -3. 单笔委托的委托数量控制 -""" -import platform -from vnpy.trader.object import LogData, OrderRequest +"""""" +from collections import defaultdict +from vnpy.trader.object import OrderRequest 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 @@ -15,7 +8,10 @@ from vnpy.trader.constant import Status from vnpy.trader.utility import load_json, save_json -class RmEngine(BaseEngine): +APP_NAME = "RiskManager" + + +class RiskManagerEngine(BaseEngine): """风控引擎""" setting_filename = "risk_manager_setting.json" @@ -26,16 +22,16 @@ class RmEngine(BaseEngine): main_engine.rmEngine = self self.active = False - self.order_flow_count = 0 # 单位时间内委托计数 - self.order_flow_limit = 50 # 委托限制 - self.order_flow_clear = 1 # 计数清空时间（秒） - self.order_flow_timer = 0 # 计数清空时间计时 - self.order_size_limit = 100 # 单笔委托最大限制 - self.trade_count = 0 # 当日成交合约数量统计 - self.trade_limit = 1000 # 当日成交合约数量限制 - self.order_cancel_limit = 10 # 撤单总次数限制 - self.order_cancel_count = {} # 单一合约对应撤单次数的字典 - self.active_order_limit = 20 # 活动合约最大限制 + self.order_flow_count = 0 + self.order_flow_limit = 50 + self.order_flow_clear = 1 + self.order_flow_timer = 0 + self.order_size_limit = 100 + self.trade_count = 0 + self.trade_limit = 1000 + self.order_cancel_limit = 10 + self.order_cancel_counts = defaultdict(int) + self.active_order_limit = 20 self.load_setting() self.registerEvent() @@ -68,27 +64,23 @@ class RmEngine(BaseEngine): def register_event(self): """""" - self.event_engine.register(EVENT_TRADE, self.update_trade) - self.event_engine.register(EVENT_TIMER, self.update_timer) - self.event_engine.register(EVENT_ORDER, self.update_order) + 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) - def update_order(self, event): + def process_order_event(self, event: Event): """""" - order = event.dict_["data"] + order = event.data if order.status != Status.CANCELLED: - return - - if order.symbol not in self.order_cancel_count: - self.order_cancel_count[order.symbol] = 1 - else: - self.order_cancel_count[order.symbol] += 1 + return + self.order_cancel_counts[order.symbol] += 1 - def update_trade(self, event): + def process_trade_event(self, event: Event): """""" - trade = event.dict_["data"] + trade = event.data self.trade_count += trade.volume - def update_timer(self, event): + def process_timer_event(self, event: Event): """""" self.order_flow_timer += 1 @@ -96,68 +88,62 @@ class RmEngine(BaseEngine): self.order_flow_count = 0 self.order_flow_timer = 0 - def write_risk_log(self, content): - """""" - if platform.uname() == "Windows": - import winsound - winsound.PlaySound("SystemHand", winsound.SND_ASYNC) - - log = LogData() - log.log_content = content - log.gateway_name = self.name - event = Event(type_=EVENT_LOG) - event.dict_["data"] = log + def write_risk_log(self, msg: str): + """""" + event = Event( + EVENT_LOG, + msg + ) self.event_engine.put(event) - - def checkRisk(self, req: OrderRequest, gateway_name): + + def check_risk(self, req: OrderRequest, gateway_name: str): """""" if not self.active: return True - # 检查委托数量 + # Check order volume if req.volume <= 0: - self.write_risk_log(f"委托数量必须大于0") + self.write_risk_log("委托数量必须大于0") return False if req.volume > self.order_size_limit: self.write_risk_log(f"单笔委托数量{req.volume}，超过限制{self.order_size_limit}") return False - # 检查成交合约量 + # Check trade volume if self.trade_count >= self.trade_limit: self.write_risk_log(f"今日总成交合约数量{self.trade_count}，超过限制{self.trade_limit}") return False - # 检查流控 + # Check flow count if self.order_flow_count >= self.order_flow_limit: 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}") return False - # 检查总活动合约 + # Check all active orders active_order_count = len(self.main_engine.get_all_active_orders()) if active_order_count >= self.active_order_limit: self.write_risk_log(f"当前活动委托数量{active_order_count}，超过限制{self.active_order_limit}") return False - # 检查撤单次数 - if req.symbol in self.order_cancel_count and self.order_cancel_count[req.symbol] >= self.order_cancel_limit: - self.write_risk_log(f"当日{req.symbol}撤单次数{self.order_cancel_count[req.symbol]}，超过限制{self.order_cancel_limit}") + # Check order cancel counts + if req.symbol in self.order_cancel_counts and self.order_cancel_counts[req.symbol] >= self.order_cancel_limit: + 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}") return False - # 对于通过风控的委托，增加流控计数 + # Add flow count if pass all checks self.order_flow_count += 1 - return True def clear_order_flow_count(self): """""" self.order_flow_count = 0 - self.write_risk_log(f"清空流控计数") + self.write_risk_log("清空流控计数") def clear_trade_count(self): """""" self.trade_count = 0 - self.write_risk_log(f"清空总成交计数") + self.write_risk_log("清空总成交计数") def set_order_flow_limit(self, n): """""" @@ -188,9 +174,9 @@ class RmEngine(BaseEngine): self.active = not self.active if self.active: - self.write_risk_log(f"风险管理功能启动") + self.write_risk_log("风险管理功能启动") else: - self.write_risk_log(f"风险管理功能停止") + self.write_risk_log("风险管理功能停止") def stop(self): """"""