增加了风控模块。

vn.sgit/vnsgitmd/vnsgitmd/vnsgitmd.cpp

@@ -114,7 +114,7 @@ void MdApi::OnFrontDisconnected(char *pErrMsg)
 
 	if (pErrMsg)
 	{
-		task.task_data = *pErrMsg;
+		task.task_data = string(pErrMsg);
 	}
 	else
 	{

vn.sgit/vnsgittd/vnsgittd/vnsgittd.cpp

@@ -114,7 +114,7 @@ void TdApi::OnFrontDisconnected(char *pErrMsg)
 
 	if (pErrMsg)
 	{
-		task.task_data = *pErrMsg;
+		task.task_data = string(pErrMsg);
 	}
 	else
 	{

vn.trader/ibGateway/ibGateway.py

@@ -323,7 +323,6 @@ class IbWrapper(EWrapper):
     #---------------------------------------------------------------------- 
     def orderStatus(self, orderId, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice, clientId, whyHeld):
         """报单成交回报"""
-        pass
         orderId = str(orderId)
         
         if orderId in self.orderDict:

vn.trader/riskManager/RM_setting.json

@@ -0,0 +1,8 @@
+{
+    "orderFlowClear": 1, 
+    "workingOrderLimit": 0, 
+    "tradeLimit": 200, 
+    "orderSizeLimit": 10, 
+    "active": true, 
+    "orderFlowLimit": 10
+}

vn.trader/riskManager/rmEngine.py

@@ -0,0 +1,213 @@
+# 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 json
+import os
+import winsound
+
+from eventEngine import *
+from vtConstant import *
+from vtGateway import VtLogData
+
+
+########################################################################
+class RmEngine(object):
+    """风控引擎"""
+    settingFileName = 'RM_setting.json'
+    settingFileName = os.getcwd() + '/riskManager/' + settingFileName 
+    
+    name = u'风控模块'
+
+    #----------------------------------------------------------------------
+    def __init__(self, mainEngine, eventEngine):
+        """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
+        
+        # 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']
+        
+    #----------------------------------------------------------------------
+    def saveSetting(self):
+        """保存风控参数"""
+        with open(self.settingFileName, 'w') as f:
+            # 保存风控参数
+            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
+            
+            # 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)
+    
+    #----------------------------------------------------------------------
+    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"""
+        # 发出报警提示音
+        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)      
+    
+    #----------------------------------------------------------------------
+    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
+        
+        # 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' 
+                              %(orderReq.volume, self.orderSizeLimit))
+            return False
+        
+        # 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.tradeCount, self.tradeLimit))
+            return False
+        
+        # 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.orderFlowCount, self.orderFlowClear, self.orderFlowLimit))
+            return False
+        
+        # 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
+        
+        # 对于通过风控的委托，增加流控计数
+        self.orderFlowCount += 1
+        
+        return True    
+    
+    #----------------------------------------------------------------------
+    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 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:
+            self.writeRiskLog(u'风险管理功能停止')

vn.trader/riskManager/uiRmWidget.py

@@ -0,0 +1,133 @@
+# encoding: UTF-8
+
+'''
+风控模块相关的GUI控制组件
+'''
+
+
+from uiBasicWidget import QtGui, QtCore
+from eventEngine import *
+
+
+########################################################################
+class RmSpinBox(QtGui.QSpinBox):
+    """调整参数用的数值框"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, value):
+        """Constructor"""
+        super(RmSpinBox, self).__init__()
+        self.setValue(value)
+        
+        self.setMinimum(0)
+        self.setMaximum(1000000)
+    
+    
+
+
+########################################################################
+class RmLine(QtGui.QFrame):
+    """水平分割线"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        super(RmLine, self).__init__()
+        self.setFrameShape(self.HLine)
+        self.setFrameShadow(self.Sunken)
+    
+    
+  
+
+########################################################################
+class RmEngineManager(QtGui.QWidget):
+    """风控引擎的管理组件"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, rmEngine, eventEngine, parent=None):
+        """Constructor"""
+        super(RmEngineManager, self).__init__(parent)
+        
+        self.rmEngine = rmEngine
+        self.eventEngine = eventEngine
+        
+        self.initUi()
+        self.updateEngineStatus()
+
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        self.setWindowTitle(u'风险管理')
+        
+        # 设置界面
+        self.buttonSwitchEngineStatus = QtGui.QPushButton(u'风控模块未启动')
+        
+        self.spinOrderFlowLimit = RmSpinBox(self.rmEngine.orderFlowLimit)
+        self.spinOrderFlowClear = RmSpinBox(self.rmEngine.orderFlowClear)
+        self.spinOrderSizeLimit = RmSpinBox(self.rmEngine.orderSizeLimit)
+        self.spinTradeLimit = RmSpinBox(self.rmEngine.tradeLimit)
+        self.spinWorkingOrderLimit = RmSpinBox(self.rmEngine.workingOrderLimit)
+        
+        buttonClearOrderFlowCount = QtGui.QPushButton(u'清空流控计数')
+        buttonClearTradeCount = QtGui.QPushButton(u'清空总成交计数')
+        buttonSaveSetting = QtGui.QPushButton(u'保存设置')
+        
+        Label = QtGui.QLabel
+        grid = QtGui.QGridLayout()
+        grid.addWidget(Label(u'工作状态'), 0, 0)
+        grid.addWidget(self.buttonSwitchEngineStatus, 0, 1)
+        grid.addWidget(RmLine(), 1, 0, 1, 2)
+        grid.addWidget(Label(u'流控上限'), 2, 0)
+        grid.addWidget(self.spinOrderFlowLimit, 2, 1)
+        grid.addWidget(Label(u'流控清空（秒）'), 3, 0)
+        grid.addWidget(self.spinOrderFlowClear, 3, 1)
+        grid.addWidget(RmLine(), 4, 0, 1, 2)
+        grid.addWidget(Label(u'单笔委托上限'), 5, 0)
+        grid.addWidget(self.spinOrderSizeLimit, 5, 1)
+        grid.addWidget(RmLine(), 6, 0, 1, 2)
+        grid.addWidget(Label(u'总成交上限'), 7, 0)
+        grid.addWidget(self.spinTradeLimit, 7, 1)
+        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)
+        
+        hbox = QtGui.QHBoxLayout()
+        hbox.addWidget(buttonClearOrderFlowCount)
+        hbox.addWidget(buttonClearTradeCount)
+        hbox.addStretch()
+        hbox.addWidget(buttonSaveSetting)
+        
+        vbox = QtGui.QVBoxLayout()
+        vbox.addLayout(grid)
+        vbox.addLayout(hbox)
+        self.setLayout(vbox)
+        
+        # 连接组件信号
+        self.spinOrderFlowLimit.valueChanged.connect(self.rmEngine.setOrderFlowLimit)
+        self.spinOrderFlowClear.valueChanged.connect(self.rmEngine.setOrderFlowClear)
+        self.spinOrderSizeLimit.valueChanged.connect(self.rmEngine.setOrderSizeLimit)
+        self.spinTradeLimit.valueChanged.connect(self.rmEngine.setTradeLimit)
+        
+        self.buttonSwitchEngineStatus.clicked.connect(self.switchEngineSatus)
+        buttonClearOrderFlowCount.clicked.connect(self.rmEngine.clearOrderFlowCount)
+        buttonClearTradeCount.clicked.connect(self.rmEngine.clearTradeCount)
+        buttonSaveSetting.clicked.connect(self.rmEngine.saveSetting)
+        
+        # 设为固定大小
+        self.setFixedSize(self.sizeHint())
+        
+    #----------------------------------------------------------------------
+    def switchEngineSatus(self):
+        """控制风控引擎开关"""
+        self.rmEngine.switchEngineStatus()
+        self.updateEngineStatus()
+        
+    #----------------------------------------------------------------------
+    def updateEngineStatus(self):
+        """更新引擎状态"""
+        if self.rmEngine.active:
+            self.buttonSwitchEngineStatus.setText(u'风控模块运行中')
+        else:
+            self.buttonSwitchEngineStatus.setText(u'风控模块未启动')
+ 
+    

vn.trader/uiMainWindow.py

@@ -5,7 +5,7 @@ import psutil
 from uiBasicWidget import *
 from ctaAlgo.uiCtaWidget import CtaEngineManager
 from dataRecorder.uiDrWidget import DrEngineManager
-
+from riskManager.uiRmWidget import RmEngineManager
 
 ########################################################################
 class MainWindow(QtGui.QMainWindow):
@@ -109,6 +109,9 @@ class MainWindow(QtGui.QMainWindow):
         ctaAction = QtGui.QAction(u'CTA策略', self)
         ctaAction.triggered.connect(self.openCta)
         
+        rmAction = QtGui.QAction(u'风险管理', self)
+        rmAction.triggered.connect(self.openRm)        
+        
         # 创建菜单
         menubar = self.menuBar()
         
@@ -133,6 +136,7 @@ class MainWindow(QtGui.QMainWindow):
         functionMenu = menubar.addMenu(u'功能')
         functionMenu.addAction(contractAction)
         functionMenu.addAction(drAction)
+        functionMenu.addAction(rmAction)
         
         # 算法相关
         algoMenu = menubar.addMenu(u'算法')
@@ -263,6 +267,15 @@ class MainWindow(QtGui.QMainWindow):
         except KeyError:
             self.widgetDict['drM'] = DrEngineManager(self.mainEngine.drEngine, self.eventEngine)
             self.widgetDict['drM'].showMaximized()
+            
+    #----------------------------------------------------------------------
+    def openRm(self):
+        """打开组件"""
+        try:
+            self.widgetDict['rmM'].show()
+        except KeyError:
+            self.widgetDict['rmM'] = RmEngineManager(self.mainEngine.rmEngine, self.eventEngine)
+            self.widgetDict['rmM'].show()      
     
     #----------------------------------------------------------------------
     def closeEvent(self, event):

vn.trader/vtEngine.py

@@ -12,6 +12,7 @@ from vtFunction import loadMongoSetting
 
 from ctaAlgo.ctaEngine import CtaEngine
 from dataRecorder.drEngine import DrEngine
+from riskManager.rmEngine import RmEngine
 
 
 ########################################################################
@@ -37,6 +38,7 @@ class MainEngine(object):
         # 扩展模块
         self.ctaEngine = CtaEngine(self, self.eventEngine)
         self.drEngine = DrEngine(self, self.eventEngine)
+        self.rmEngine = RmEngine(self, self.eventEngine)
         
     #----------------------------------------------------------------------
     def initGateway(self):
@@ -148,6 +150,10 @@ class MainEngine(object):
     #----------------------------------------------------------------------
     def cancelOrder(self, cancelOrderReq, gatewayName):
         """对特定接口撤单"""
+        # 如果风控检查失败则不发单
+        if not self.rmEngine.checkRisk(orderReq):
+            return ''        
+        
         if gatewayName in self.gatewayDict:
             gateway = self.gatewayDict[gatewayName]
             gateway.cancelOrder(cancelOrderReq)