Merge branch 'dev' of https://github.com/vnpy/vnpy into dev
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@ -71,23 +71,23 @@ def main():
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## 接口分类
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| 接口 |类型 |
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| ------ | :------: |
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| CTP | 期货 |
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| FEMAS | 期货 |
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| OES | 国内股票 |
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| XTP | 国内股票、指数、基金、债券、期权、融资融券 |
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| IB | 外盘股票、期货、期权 |
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| TAP | 外盘股票、期货、期权 |
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| FUTU | 国内股票、港股、美股 |
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| TIGER | 国内股票、港股、美股 |
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| BITFINEX | 数字货币 |
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| BITMEX | 数字货币 |
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| OKEX | 数字货币 |
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| OKEXF | 数字货币 |
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| HUOBI | 数字货币 |
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| HBDM | 数字货币 |
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| ONETOKEN | 数字货币 |
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| 接口 | 类型 |
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| -------- | :----------------------------------------: |
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| CTP | 期货 |
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| FEMAS | 期货 |
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| OES | 国内股票 |
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| XTP | 国内股票、指数、基金、债券、期权、融资融券 |
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| IB | 外盘股票、期货、期权 |
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| TAP | 外盘股票、期货、期权 |
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| FUTU | 国内股票、港股、美股 |
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| TIGER | 国内股票、港股、美股 |
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| BITFINEX | 数字货币 |
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| BITMEX | 数字货币 |
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| OKEX | 数字货币 |
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| OKEXF | 数字货币 |
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| HUOBI | 数字货币 |
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| HBDM | 数字货币 |
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| ONETOKEN | 数字货币 |
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@ -270,8 +270,11 @@ main_engine.add_gateway(IbGateway)
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#### 其他特点
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可交易品种几乎覆盖全球的股票、期权、期权；手续费相对较低。
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注意IB接口的合约代码较为特殊，请前往官网的产品查询板块查询，VN Trader中使用的是盈透证券对于每个合约在某一交易所的唯一标识符ConId来作为合约代码，而非Symbol或者LocalName。
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39
docs/risk_manager.md
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39
docs/risk_manager.md
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@ -0,0 +1,39 @@
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# 交易风控
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交易风控模块属于事前风控，即在委托在通过交易API接口发出去前，需要检查其状态不能超过风控限制，其中包括：
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- 委托数量必须大于0
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- 单笔委托的数量上限
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- 当日总成交数量上限
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- 委托流数量上限
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- 当前活动委托次数上限
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- 当日撤单次数上限
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## 加载启动
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进入VN Trader后，首先登陆接口，如连接CTP；然后在菜单栏中点击“功能”->"交易风控“后，会弹出交易风控窗口，如图。
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窗口中显示的参数，对应的是C:\Users\Administrator\.vntrader里面risk_manager_setting.json的参数字典，如图。
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在“风控运行状态”的选择框中点击“启动”后
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- 立刻调用RiskManagerEngine类的update_setting()函数读取risk_manager_setting.json的参数字典并且绑定类的属性。
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- 在日志中输出"交易风控功能启动"。
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- 运行check_risk()函数，去检查每一笔发出去的委托是否符合各种风控要求，若全部满足后，流控计数+1，委托真正通过API接口发送出去。
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## 修改参数
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交易风控组件允许用户修改风控参数。由于GUI界面的各参数栏是基于PyQt5的QSpinBox，用户可以用鼠标点击上下箭头来修改，也可以直接键盘输入来修改。
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最后点击窗口下方的“保存”按钮，对调用RiskManagerEngine类的save_setting()函数去更新到risk_manager_setting.json的参数字典中，最后通过update_setting()函数把参数字典绑定到类的属性。
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## 停止风控
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在“风控运行状态”的选择框中点击“停止后”后，RiskManagerEngine类的active变成False，check_risk()函数不再检查委托的风控流控状态，同时在日志中输出"交易风控功能停止"。
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@ -17,8 +17,8 @@ from vnpy.trader.ui import MainWindow, create_qapp
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# from vnpy.gateway.onetoken import OnetokenGateway
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# from vnpy.gateway.okexf import OkexfGateway
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# from vnpy.gateway.xtp import XtpGateway
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# from vnpy.gateway.hbdm import HbdmGateway
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from vnpy.gateway.tap import TapGateway
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from vnpy.gateway.hbdm import HbdmGateway
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# from vnpy.gateway.tap import TapGateway
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# from vnpy.app.cta_strategy import CtaStrategyApp
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# from vnpy.app.csv_loader import CsvLoaderApp
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@ -49,8 +49,8 @@ def main():
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# main_engine.add_gateway(BitfinexGateway)
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# main_engine.add_gateway(OnetokenGateway)
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# main_engine.add_gateway(OkexfGateway)
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# main_engine.add_gateway(HbdmGateway)
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main_engine.add_gateway(TapGateway)
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main_engine.add_gateway(HbdmGateway)
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# main_engine.add_gateway(TapGateway)
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# main_engine.add_app(CtaStrategyApp)
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# main_engine.add_app(CtaBacktesterApp)
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@ -214,6 +214,8 @@ class BacktestingEngine:
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if not self.end:
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self.end = datetime.now()
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self.history_data.clear() # Clear previously loaded history data
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# Load 30 days of data each time and allow for progress update
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progress_delta = timedelta(days=30)
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total_delta = self.end - self.start
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@ -36,7 +36,7 @@ from vnpy.trader.constant import (
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Offset,
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Status
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)
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from vnpy.trader.utility import load_json, save_json, extract_vt_symbol
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from vnpy.trader.utility import load_json, save_json, extract_vt_symbol, round_to
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from vnpy.trader.database import database_manager
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from vnpy.trader.rqdata import rqdata_client
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@ -464,7 +464,11 @@ class CtaEngine(BaseEngine):
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if not contract:
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self.write_log(f"委托失败，找不到合约：{strategy.vt_symbol}", strategy)
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return ""
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# Round order price and volume to nearest incremental value
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price = round_to(price, contract.pricetick)
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volume = round_to(volume, contract.min_volume)
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if stop:
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if contract.stop_supported:
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return self.send_server_stop_order(strategy, contract, direction, offset, price, volume, lock)
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@ -957,6 +957,9 @@ class HbdmDataWebsocketApi(HbdmWebsocketApiBase):
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def on_connected(self):
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""""""
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self.gateway.write_log("行情Websocket API连接成功")
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for ws_symbol in self.ticks.keys():
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self.subscribe_data(ws_symbol)
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def subscribe(self, req: SubscribeRequest):
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""""""
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@ -979,7 +982,11 @@ class HbdmDataWebsocketApi(HbdmWebsocketApiBase):
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gateway_name=self.gateway_name,
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)
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self.ticks[ws_symbol] = tick
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self.subscribe_data(ws_symbol)
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def subscribe_data(self, ws_symbol: str):
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""""""
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# Subscribe to market depth update
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self.req_id += 1
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req = {
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@ -416,6 +416,9 @@ class IbApi(EWrapper):
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accountName,
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)
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if not contract.exchange:
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return
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ib_size = contract.multiplier
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if not ib_size:
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ib_size = 1
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@ -299,7 +299,7 @@ class LogEngine(BaseEngine):
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file_path = log_path.joinpath(filename)
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file_handler = logging.FileHandler(
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file_path, mode="w", encoding="utf8"
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file_path, mode="a", encoding="utf8"
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)
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file_handler.setLevel(self.level)
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file_handler.setFormatter(self.formatter)
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