风控模块增加保证金占比风控逻辑
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vn.py
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@ -1,6 +1,7 @@
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{
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"orderFlowClear": 1,
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"orderCancelLimit": 10,
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"marginRatioLimit": 0.85,
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"workingOrderLimit": 20,
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"tradeLimit": 1000,
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"orderSizeLimit": 100,
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@ -5,5 +5,6 @@
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"tradeLimit": 1000,
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"orderSizeLimit": 100,
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"active": true,
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"orderFlowLimit": 50
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"orderFlowLimit": 50,
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"marginRatioLimit": 0.95
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}
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@ -14,4 +14,5 @@ ORDER_FLOW_CLEAR = u'流控清空（秒）'
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ORDER_SIZE_LIMIT = u'单笔委托上限'
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TOTAL_TRADE_LIMIT = u'总成交上限'
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WORKING_ORDER_LIMIT = u'活动订单上限'
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CONTRACT_CANCEL_LIMIT = u'单合约撤单上限'
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CONTRACT_CANCEL_LIMIT = u'单合约撤单上限'
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MARGIN_RATIO_LIMIT = u'保证金占比上限'
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@ -14,4 +14,5 @@ ORDER_FLOW_CLEAR = u'Flow Clear(s)'
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ORDER_SIZE_LIMIT = u'Order Size Limit'
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TOTAL_TRADE_LIMIT = u'Total Fill Limit'
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WORKING_ORDER_LIMIT = u'Working Order Limit'
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CONTRACT_CANCEL_LIMIT = u'Contract Cancel Limit'
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CONTRACT_CANCEL_LIMIT = u'Contract Cancel Limit'
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MARGIN_RATIO_LIMIT = u'Margin Ratio Limit'
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@ -7,6 +7,8 @@
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3. 单笔委托的委托数量控制
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'''
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from __future__ import division
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import json
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import os
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import platform
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@ -57,6 +59,10 @@ class RmEngine(object):
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# 活动合约相关
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self.workingOrderLimit = EMPTY_INT # 活动合约最大限制
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# 保证金相关
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self.marginRatioDict = {} # 保证金占账户净值比例字典
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self.marginRatioLimit = EMPTY_FLOAT # 最大比例限制
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self.loadSetting()
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self.registerEvent()
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@ -80,6 +86,8 @@ class RmEngine(object):
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self.workingOrderLimit = d['workingOrderLimit']
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self.orderCancelLimit = d['orderCancelLimit']
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self.marginRatioLimit = d['marginRatioLimit']
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#----------------------------------------------------------------------
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def saveSetting(self):
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@ -100,6 +108,8 @@ class RmEngine(object):
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d['workingOrderLimit'] = self.workingOrderLimit
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d['orderCancelLimit'] = self.orderCancelLimit
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d['marginRatioLimit'] = self.marginRatioLimit
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# 写入json
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jsonD = json.dumps(d, indent=4)
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@ -111,6 +121,7 @@ class RmEngine(object):
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self.eventEngine.register(EVENT_TRADE, self.updateTrade)
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self.eventEngine.register(EVENT_TIMER, self.updateTimer)
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self.eventEngine.register(EVENT_ORDER, self.updateOrder)
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self.eventEngine.register(EVENT_ACCOUNT, self.updateAccount)
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#----------------------------------------------------------------------
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def updateOrder(self, event):
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@ -141,6 +152,19 @@ class RmEngine(object):
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self.orderFlowCount = 0
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self.orderFlowTimer = 0
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#----------------------------------------------------------------------
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def updateAccount(self, event):
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"""账户资金更新"""
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account = event.dict_['data']
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# 计算保证金占比
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ratio = 0
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if account.balance:
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ratio = account.margin / account.balance
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# 更新到字典中
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self.marginRatioDict[account.gatewayName] = ratio
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#----------------------------------------------------------------------
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def writeRiskLog(self, content):
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"""快速发出日志事件"""
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@ -159,7 +183,7 @@ class RmEngine(object):
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self.eventEngine.put(event)
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#----------------------------------------------------------------------
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def checkRisk(self, orderReq):
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def checkRisk(self, orderReq, gatewayName):
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"""检查风险"""
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# 如果没有启动风控检查，则直接返回成功
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if not self.active:
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@ -200,6 +224,12 @@ class RmEngine(object):
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%(orderReq.symbol, self.orderCancelDict[orderReq.symbol], self.orderCancelLimit))
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return False
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# 检查保证金比例
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if gatewayName in self.marginRatioDict and self.marginRatioDict[gatewayName] >= self.marginRatioLimit:
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self.writeRiskLog(u'%s接口保证金占比%S，超过限制%s'
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%(gatewayName, self.marginRatioDict[gatewayName], self.marginRatioLimit))
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return False
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# 对于通过风控的委托，增加流控计数
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self.orderFlowCount += 1
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@ -247,6 +277,11 @@ class RmEngine(object):
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"""设置单合约撤单次数上限"""
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self.orderCancelLimit = n
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#----------------------------------------------------------------------
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def setMarginRatioLimit(self, n):
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"""设置保证金比例限制"""
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self.marginRatioLimit = n/100 # n为百分数，需要除以100
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#----------------------------------------------------------------------
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def switchEngineStatus(self):
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"""开关风控引擎"""
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@ -68,6 +68,10 @@ class RmEngineManager(QtWidgets.QWidget):
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self.spinWorkingOrderLimit = RmSpinBox(self.rmEngine.workingOrderLimit)
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self.spinOrderCancelLimit = RmSpinBox(self.rmEngine.orderCancelLimit)
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self.spinMarginRatioLimit = RmSpinBox(self.rmEngine.marginRatioLimit * 100) # 百分比显示配置
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self.spinMarginRatioLimit.setMaximum(100)
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self.spinMarginRatioLimit.setSuffix('%')
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buttonClearOrderFlowCount = QtWidgets.QPushButton(text.CLEAR_ORDER_FLOW_COUNT)
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buttonClearTradeCount = QtWidgets.QPushButton(text.CLEAR_TOTAL_FILL_COUNT)
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buttonSaveSetting = QtWidgets.QPushButton(text.SAVE_SETTING)
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@ -93,6 +97,9 @@ class RmEngineManager(QtWidgets.QWidget):
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grid.addWidget(RmLine(), 10, 0, 1, 2)
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grid.addWidget(Label(text.CONTRACT_CANCEL_LIMIT), 11, 0)
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grid.addWidget(self.spinOrderCancelLimit, 11, 1)
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grid.addWidget(RmLine(), 12, 0, 1, 2)
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grid.addWidget(Label(text.MARGIN_RATIO_LIMIT), 13, 0)
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grid.addWidget(self.spinMarginRatioLimit, 13, 1)
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hbox = QtWidgets.QHBoxLayout()
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hbox.addWidget(buttonClearOrderFlowCount)
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@ -112,6 +119,7 @@ class RmEngineManager(QtWidgets.QWidget):
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self.spinTradeLimit.valueChanged.connect(self.rmEngine.setTradeLimit)
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self.spinWorkingOrderLimit.valueChanged.connect(self.rmEngine.setWorkingOrderLimit)
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self.spinOrderCancelLimit.valueChanged.connect(self.rmEngine.setOrderCancelLimit)
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self.spinMarginRatioLimit.valueChanged.connect(self.rmEngine.setMarginRatioLimit)
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self.buttonSwitchEngineStatus.clicked.connect(self.switchEngineSatus)
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buttonClearOrderFlowCount.clicked.connect(self.rmEngine.clearOrderFlowCount)
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@ -122,7 +122,7 @@ class MainEngine(object):
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def sendOrder(self, orderReq, gatewayName):
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"""对特定接口发单"""
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# 如果创建了风控引擎，且风控检查失败则不发单
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if self.rmEngine and not self.rmEngine.checkRisk(orderReq):
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if self.rmEngine and not self.rmEngine.checkRisk(orderReq, gatewayName):
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return ''
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gateway = self.getGateway(gatewayName)
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