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Update engine.py

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This commit is contained in:
1122455801 2019-05-30 15:11:17 +08:00
parent d76e842a73
commit a5dff8e948
1 changed files with 33 additions and 22 deletions
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55
vnpy/app/risk_manager/engine.py
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@ -1,6 +1,7 @@
""""""
from collections import defaultdict
from vnpy.trader.object import OrderRequest
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
@ -12,15 +13,16 @@ APP_NAME = "RiskManager"
class RiskManagerEngine(BaseEngine):
"""风控引擎"""
""""""
setting_filename = "risk_manager_setting.json"
def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
""""""
super().__init__(main_engine, event_engine, APP_NAME)
self.main_engine = main_engine
self.event_engine = event_engine
main_engine.rmEngine = self
self.active = False
self.order_flow_count = 0
self.order_flow_limit = 50
@ -31,22 +33,34 @@ class RiskManagerEngine(BaseEngine):
self.trade_limit = 1000
self.order_cancel_limit = 10
self.order_cancel_counts = defaultdict(int)
self.active_order_limit = 20
self.active_order_limit = 20
# Patch send order function of MainEngine
self._send_order = self.main_engine.send_order
self.main_engine.send_order = self.send_order
self.load_setting()
self.registerEvent()
self.register_event()
def send_order(self, req: OrderRequest, gateway_name: str):
""""""
result = self.check_risk(req, gateway_name)
if not result:
return ""
return self._send_order(req, gateway_name)
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"]
self.active = setting.get("active", self.active)
self.order_flow_limit = setting.get("order_flow_limit", self.order_flow_count)
self.order_flow_clear = setting.get("order_flow_clear", self.order_flow_clear)
self.order_size_limit = setting.get("order_size_limit", self.order_size_limit)
self.trade_limit = setting.get("trade_limit", self.trade_limit)
self.active_order_limit = setting.get("active_order_limit", self.active_order_limit)
self.order_cancel_limit = setting.get("order_cancel_limit", self.order_cancel_limit)
def save_setting(self):
""""""
@ -89,11 +103,9 @@ class RiskManagerEngine(BaseEngine):
self.order_flow_timer = 0
def write_risk_log(self, msg: str):
""""""
event = Event(
EVENT_LOG,
msg
)
""""""
log = LogData(msg=msg, gateway_name="RiskManager")
event = Event(type=EVENT_LOG, data=log)
self.event_engine.put(event)
def check_risk(self, req: OrderRequest, gateway_name: str):
@ -117,17 +129,17 @@ class RiskManagerEngine(BaseEngine):
# 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}")
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}次")
return False
# 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}")
self.write_risk_log(f"当前活动委托次数{active_order_count}，超过限制{self.active_order_limit}")
return False
# Check order cancel counts
if req.symbol in self.order_cancel_counts and self.order_cancel_counts[req.symbol] >= self.order_cancel_limit:
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
@ -181,4 +193,3 @@ class RiskManagerEngine(BaseEngine):
def stop(self):
""""""
self.save_setting()