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() +