Merge pull request #252 from ares89/dev

风控模块增加单品种报撤单次数限制

vn.trader/riskManager/RM_setting.json

@@ -4,5 +4,6 @@
     "tradeLimit": 100, 
     "orderSizeLimit": 10, 
     "active": true, 
-    "orderFlowLimit": 10
+    "orderCountLimit": 400, 
+    "orderFlowLimit": 50
 }

vn.trader/riskManager/rmEngine.py

@@ -21,8 +21,8 @@ class RmEngine(object):
     """风控引擎"""
     settingFileName = 'RM_setting.json'
     path = os.path.abspath(os.path.dirname(__file__))
-    settingFileName = os.path.join(path, settingFileName)    
+    settingFileName = os.path.join(path, settingFileName)
-    
+
     name = u'风控模块'
 
     #----------------------------------------------------------------------
@@ -30,47 +30,53 @@ class RmEngine(object):
         """Constructor"""
         self.mainEngine = mainEngine
         self.eventEngine = eventEngine
-        
+
         # 是否启动风控
         self.active = False
-        
+
         # 流控相关
         self.orderFlowCount = EMPTY_INT     # 单位时间内委托计数
         self.orderFlowLimit = EMPTY_INT     # 委托限制
         self.orderFlowClear = EMPTY_INT     # 计数清空时间（秒）
         self.orderFlowTimer = EMPTY_INT     # 计数清空时间计时
-    
+
         # 单笔委托相关
         self.orderSizeLimit = EMPTY_INT     # 单笔委托最大限制
-    
+
         # 成交统计相关
         self.tradeCount = EMPTY_INT         # 当日成交合约数量统计
         self.tradeLimit = EMPTY_INT         # 当日成交合约数量限制
-        
+
+        # 单品种报撤
+        self.orderCountLimit = 450
+        self.orderCount = {}
+
         # 活动合约相关
         self.workingOrderLimit = EMPTY_INT  # 活动合约最大限制
-        
+
         self.loadSetting()
         self.registerEvent()
-        
+
     #----------------------------------------------------------------------
     def loadSetting(self):
         """读取配置"""
         with open(self.settingFileName) as f:
             d = json.load(f)
-            
+
             # 设置风控参数
             self.active = d['active']
-            
+
             self.orderFlowLimit = d['orderFlowLimit']
             self.orderFlowClear = d['orderFlowClear']
-            
+
             self.orderSizeLimit = d['orderSizeLimit']
-            
+
             self.tradeLimit = d['tradeLimit']
-            
+
             self.workingOrderLimit = d['workingOrderLimit']
-        
+
+            self.orderCountLimit = d['orderCountLimit']
+
     #----------------------------------------------------------------------
     def saveSetting(self):
         """保存风控参数"""
@@ -79,42 +85,55 @@ class RmEngine(object):
             d = {}
 
             d['active'] = self.active
-            
+
             d['orderFlowLimit'] = self.orderFlowLimit
             d['orderFlowClear'] = self.orderFlowClear
-            
+
             d['orderSizeLimit'] = self.orderSizeLimit
-            
+
             d['tradeLimit'] = self.tradeLimit
-            
+
             d['workingOrderLimit'] = self.workingOrderLimit
-            
+
+            d['orderCountLimit'] = self.orderCountLimit
+
             # 写入json
             jsonD = json.dumps(d, indent=4)
             f.write(jsonD)
-        
+
     #----------------------------------------------------------------------
     def registerEvent(self):
         """注册事件监听"""
         self.eventEngine.register(EVENT_TRADE, self.updateTrade)
         self.eventEngine.register(EVENT_TIMER, self.updateTimer)
-    
+        self.eventEngine.register(EVENT_ORDER, self.updateOrder)
+
+    def updateOrder(self, event):
+        """更新成交数据"""
+        order = event.dict_['data']
+        if not self.orderCount.has_key(order.symbol):
+            self.orderCount[order.symbol] = 0
+        if order.status in [STATUS_NOTTRADED, STATUS_PARTTRADED, STATUS_ALLTRADED, STATUS_UNKNOWN]:
+            self.orderCount[order.symbol] += 1
+        elif order.status == STATUS_CANCELLED:
+            self.orderCount[order.symbol] += 2
+
     #----------------------------------------------------------------------
     def updateTrade(self, event):
         """更新成交数据"""
         trade = event.dict_['data']
         self.tradeCount += trade.volume
-    
+
     #----------------------------------------------------------------------
     def updateTimer(self, event):
         """更新定时器"""
         self.orderFlowTimer += 1
-        
+
         # 如果计时超过了流控清空的时间间隔，则执行清空
         if self.orderFlowTimer >= self.orderFlowClear:
             self.orderFlowCount = 0
             self.orderFlowTimer = 0
-        
+
     #----------------------------------------------------------------------
     def writeRiskLog(self, content):
         """快速发出日志事件"""
@@ -122,95 +141,105 @@ class RmEngine(object):
 
         if platform.uname() == 'Windows':
             import winsound
-            winsound.PlaySound("SystemHand", winsound.SND_ASYNC) 
+            winsound.PlaySound("SystemHand", winsound.SND_ASYNC)
-        
+
         # 发出日志事件
         log = VtLogData()
         log.logContent = content
         log.gatewayName = self.name
         event = Event(type_=EVENT_LOG)
         event.dict_['data'] = log
-        self.eventEngine.put(event)      
+        self.eventEngine.put(event)
-    
+
     #----------------------------------------------------------------------
     def checkRisk(self, orderReq):
         """检查风险"""
         # 如果没有启动风控检查，则直接返回成功
         if not self.active:
-            return True
+            return RISK_OK
-        
+
         # 检查委托数量
         if orderReq.volume > self.orderSizeLimit:
-            self.writeRiskLog(u'单笔委托数量%s，超过限制%s' 
+            self.writeRiskLog(u'单笔委托数量%s，超过限制%s'
                               %(orderReq.volume, self.orderSizeLimit))
-            return False
+            return RISK_ERROR_ORDER_SIZE
-        
+
         # 检查成交合约量
         if self.tradeCount >= self.tradeLimit:
-            self.writeRiskLog(u'今日总成交合约数量%s，超过限制%s' 
+            self.writeRiskLog(u'今日总成交合约数量%s，超过限制%s'
                               %(self.tradeCount, self.tradeLimit))
-            return False
+            return RISK_ERROR_TRADE_COUNT
-        
+
         # 检查流控
         if self.orderFlowCount >= self.orderFlowLimit:
-            self.writeRiskLog(u'委托流数量%s，超过限制每%s秒%s' 
+            self.writeRiskLog(u'委托流数量%s，超过限制每%s秒%s'
                               %(self.orderFlowCount, self.orderFlowClear, self.orderFlowLimit))
-            return False
+            return RISK_ERROR_ORDER_FLOW_COUNT
-        
+
         # 检查总活动合约
         workingOrderCount = len(self.mainEngine.getAllWorkingOrders())
         if workingOrderCount >= self.workingOrderLimit:
             self.writeRiskLog(u'当前活动委托数量%s，超过限制%s'
                               %(workingOrderCount, self.workingOrderLimit))
-            return False
+            return RISK_ERROR_WORKING_ORDER
-        
+
+        if self.orderCount.has_key(orderReq.symbol) and self.orderCount[orderReq.symbol] > self.orderCountLimit:
+            self.writeRiskLog(u'%s当日报撤%s，超过限制%s'
+                              % (orderReq.symbol, self.orderCount[orderReq.symbol], self.orderCountLimit))
+            return RISK_ERROR_ORDER_SEND
+
         # 对于通过风控的委托，增加流控计数
         self.orderFlowCount += 1
-        
+
-        return True    
+        return RISK_OK
-    
+
     #----------------------------------------------------------------------
     def clearOrderFlowCount(self):
         """清空流控计数"""
         self.orderFlowCount = 0
         self.writeRiskLog(u'清空流控计数')
-        
+
     #----------------------------------------------------------------------
     def clearTradeCount(self):
         """清空成交数量计数"""
         self.tradeCount = 0
         self.writeRiskLog(u'清空总成交计数')
-        
+
     #----------------------------------------------------------------------
     def setOrderFlowLimit(self, n):
         """设置流控限制"""
         self.orderFlowLimit = n
-        
+
     #----------------------------------------------------------------------
     def setOrderFlowClear(self, n):
         """设置流控清空时间"""
         self.orderFlowClear = n
-        
+
     #----------------------------------------------------------------------
     def setOrderSizeLimit(self, n):
         """设置委托最大限制"""
         self.orderSizeLimit = n
-        
+
     #----------------------------------------------------------------------
     def setTradeLimit(self, n):
         """设置成交限制"""
         self.tradeLimit = n
-        
+
     #----------------------------------------------------------------------
     def setWorkingOrderLimit(self, n):
         """设置活动合约限制"""
         self.workingOrderLimit = n
-        
+
+        #----------------------------------------------------------------------
+    def setOrderCountLimit(self, n):
+        """设置单品种报撤次数上限"""
+        self.orderCountLimit = n
+
     #----------------------------------------------------------------------
     def switchEngineStatus(self):
         """开关风控引擎"""
         self.active = not self.active
-        
+
         if self.active:
             self.writeRiskLog(u'风险管理功能启动')
         else:

vn.trader/riskManager/uiRmWidget.py

@@ -68,6 +68,7 @@ class RmEngineManager(QtGui.QWidget):
         self.spinOrderSizeLimit = RmSpinBox(self.rmEngine.orderSizeLimit)
         self.spinTradeLimit = RmSpinBox(self.rmEngine.tradeLimit)
         self.spinWorkingOrderLimit = RmSpinBox(self.rmEngine.workingOrderLimit)
+        self.spinOrderCountLimit = RmSpinBox(self.rmEngine.orderCountLimit)
         
         buttonClearOrderFlowCount = QtGui.QPushButton(u'清空流控计数')
         buttonClearTradeCount = QtGui.QPushButton(u'清空总成交计数')
@@ -91,6 +92,8 @@ class RmEngineManager(QtGui.QWidget):
         grid.addWidget(RmLine(), 8, 0, 1, 2)
         grid.addWidget(Label(u'活动订单上限'), 9, 0)
         grid.addWidget(self.spinWorkingOrderLimit, 9, 1)
+        grid.addWidget(Label(u'单品种报撤次数上限'), 10, 0)
+        grid.addWidget(self.spinOrderCountLimit, 10, 1)
         
         hbox = QtGui.QHBoxLayout()
         hbox.addWidget(buttonClearOrderFlowCount)
@@ -109,7 +112,8 @@ class RmEngineManager(QtGui.QWidget):
         self.spinOrderSizeLimit.valueChanged.connect(self.rmEngine.setOrderSizeLimit)
         self.spinTradeLimit.valueChanged.connect(self.rmEngine.setTradeLimit)
         self.spinWorkingOrderLimit.valueChanged.connect(self.rmEngine.setWorkingOrderLimit)
-        
+        self.spinOrderCountLimit.valueChanged.connect(self.rmEngine.setOrderCountLimit)
+
         self.buttonSwitchEngineStatus.clicked.connect(self.switchEngineSatus)
         buttonClearOrderFlowCount.clicked.connect(self.rmEngine.clearOrderFlowCount)
         buttonClearTradeCount.clicked.connect(self.rmEngine.clearTradeCount)

vn.trader/vtConstant.py

@@ -6,6 +6,18 @@ EMPTY_UNICODE = u''
 EMPTY_INT = 0
 EMPTY_FLOAT = 0.0
 
+# 风控常量
+RISK_OK = 0  # 风控正常
+RISK_ERROR_ORDER_SIZE = 1  # 单笔委托数量超限
+RISK_ERROR_TRADE_COUNT = 2  # 今日总成交合约数量超限
+RISK_ERROR_ORDER_FLOW_COUNT = 3  # 委托流数量超限
+RISK_ERROR_WORKING_ORDER = 4  # 当前活动委托数量超限
+RISK_ERROR_ORDER_SEND = 5  # 当日单品种报撤次数超限
+
+RISK_MESSAGE = {RISK_ERROR_ORDER_SIZE: u'单笔委托数量超限', RISK_ERROR_TRADE_COUNT: u'今日总成交合约数量超限',
+                RISK_ERROR_ORDER_FLOW_COUNT: u'委托流数量超限', RISK_ERROR_WORKING_ORDER: u'当前活动委托数量超限',
+                RISK_ERROR_ORDER_SEND: u'当日单品种报撤次数超限'}
+
 # 方向常量
 DIRECTION_NONE = u'无方向'
 DIRECTION_LONG = u'多'

vn.trader/vtEngine.py

@@ -188,9 +188,10 @@ class MainEngine(object):
     def sendOrder(self, orderReq, gatewayName):
         """对特定接口发单"""
         # 如果风控检查失败则不发单
-        if not self.rmEngine.checkRisk(orderReq):
+        riskResult = self.rmEngine.checkRisk(orderReq)
-            return ''    
+        if riskResult != RISK_OK:
-        
+            return riskResult
+
         if gatewayName in self.gatewayDict:
             gateway = self.gatewayDict[gatewayName]
             return gateway.sendOrder(orderReq)