增加：

1、自动根据持仓合约，订阅tick消息。
2、风控增加亏损比例监控（暂时还没有确定的强制平仓处理）

vn.trader/dataRecorder/drEngine.py

@@ -11,6 +11,8 @@ import os
 import copy
 from collections import OrderedDict
 from datetime import datetime, timedelta
+from Queue import Queue
+from threading import Thread
 
 from eventEngine import *
 from vtGateway import VtSubscribeReq, VtLogData
@@ -43,6 +45,11 @@ class DrEngine(object):
         # K线对象字典
         self.barDict = {}
         
+        # 负责执行数据库插入的单独线程相关
+        self.active = False                     # 工作状态
+        self.queue = Queue()                    # 队列
+        self.thread = Thread(target=self.run)   # 线程
+
         # 载入设置，订阅行情
         self.loadSetting()
         
@@ -112,6 +119,9 @@ class DrEngine(object):
                 for activeSymbol, vtSymbol in d.items():
                     self.activeSymbolDict[vtSymbol] = activeSymbol
 
+            # 启动数据插入线程
+            self.start()
+
             # 注册事件监听
             self.registerEvent()
 
@@ -187,7 +197,29 @@ class DrEngine(object):
     #----------------------------------------------------------------------
     def insertData(self, dbName, collectionName, data):
         """插入数据到数据库（这里的data可以是CtaTickData或者CtaBarData）"""
-        self.mainEngine.dbInsert(dbName, collectionName, data.__dict__)
+        self.queue.put((dbName, collectionName, data.__dict__))
+
+    #----------------------------------------------------------------------
+    def run(self):
+        """运行插入线程"""
+        while self.active:
+            try:
+                dbName, collectionName, d = self.queue.get(block=True, timeout=1)
+                self.mainEngine.dbInsert(dbName, collectionName, d)
+            except Empty:
+                pass
+    #----------------------------------------------------------------------
+    def start(self):
+        """启动"""
+        self.active = True
+        self.thread.start()
+
+    #----------------------------------------------------------------------
+    def stop(self):
+        """退出"""
+        if self.active:
+            self.active = False
+            self.thread.join()
         
     #----------------------------------------------------------------------
     def writeDrLog(self, content):

vn.trader/eventType.py

@@ -19,9 +19,9 @@ EVENT_LOG = 'eLog'                      # 日志事件，全局通用
 EVENT_TICK = 'eTick.'                   # TICK行情事件，可后接具体的vtSymbol
 EVENT_TRADE = 'eTrade.'                 # 成交回报事件
 EVENT_ORDER = 'eOrder.'                 # 报单回报事件
-EVENT_ERRRTNORDERINSERT = 'eErrRtnOrderInsert'      # 报单录入错误回报事件
 EVENT_POSITION = 'ePosition.'           # 持仓回报事件
 EVENT_ACCOUNT = 'eAccount.'             # 账户回报事件
+EVENT_ACCOUNT_LOSS = 'eAccountLoss'     # 账户亏损事件
 EVENT_CONTRACT = 'eContract.'           # 合约基础信息回报事件
 EVENT_ERROR = 'eError.'                 # 错误回报事件
 

vn.trader/riskManager/RM_setting.json

@@ -1,9 +1,10 @@
 {
     "orderFlowClear": 10, 
-    "percentLimit": 90, 
+    "percentLimit": 80, 
     "workingOrderLimit": 200, 
-    "tradeLimit": 1000, 
+    "tradeLimit": 20000, 
     "orderSizeLimit": 100, 
     "active": true, 
-    "orderFlowLimit": 1000
+    "lossPercentLimit": 11, 
+    "orderFlowLimit": 20000
 }

vn.trader/riskManager/uiRmWidget.py

@@ -23,9 +23,6 @@ class RmSpinBox(QtGui.QSpinBox):
         
         self.setValue(value)
 
-    
-
-
 ########################################################################
 class RmLine(QtGui.QFrame):
     """水平分割线"""
@@ -38,8 +35,6 @@ class RmLine(QtGui.QFrame):
         self.setFrameShadow(self.Sunken)
   
 
-  
-
 ########################################################################
 class RmEngineManager(QtGui.QWidget):
     """风控引擎的管理组件"""
@@ -72,6 +67,9 @@ class RmEngineManager(QtGui.QWidget):
         # 最大开仓比例
         self.spinPercentLimit = RmSpinBox(self.rmEngine.percentLimit)
 
+        # 最大净值止损比例,满足后强制止损
+        self.spinLossPercentLimit = RmSpinBox(self.rmEngine.lossPercentLimit)
+
         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')
@@ -98,6 +96,8 @@ class RmEngineManager(QtGui.QWidget):
         grid.addWidget(RmLine(), 10, 0, 1, 2)
         grid.addWidget(Label(u'仓位上限(1~100)'), 11, 0)
         grid.addWidget(self.spinPercentLimit, 11, 1)
+        grid.addWidget(Label(u'强制止损比例'), 12, 0)
+        grid.addWidget(self.spinLossPercentLimit, 12, 1)
 
         hbox = QtGui.QHBoxLayout()
         hbox.addWidget(buttonClearOrderFlowCount)
@@ -117,6 +117,7 @@ class RmEngineManager(QtGui.QWidget):
         self.spinTradeLimit.valueChanged.connect(self.rmEngine.setTradeLimit)
         self.spinWorkingOrderLimit.valueChanged.connect(self.rmEngine.setWorkingOrderLimit)
         self.spinPercentLimit.valueChanged.connect(self.rmEngine.setAccountPercentLimit)
+        self.spinLossPercentLimit.valueChanged.connect(self.rmEngine.setLossPercentLimit)
 
         self.buttonSwitchEngineStatus.clicked.connect(self.switchEngineSatus)
         buttonClearOrderFlowCount.clicked.connect(self.rmEngine.clearOrderFlowCount)

vn.trader/uiBasicWidget.py

@@ -610,8 +610,6 @@ class PositionMonitor(BasicMonitor):
         self.initTable()
         self.registerEvent()
         
-        
-        
 ########################################################################
 class AccountMonitor(BasicMonitor):
     """账户监控"""
@@ -639,7 +637,6 @@ class AccountMonitor(BasicMonitor):
         self.initTable()
         self.registerEvent()
 
-
 ########################################################################
 class TradingWidget(QtGui.QFrame):
     """简单交易组件"""
@@ -745,7 +742,6 @@ class TradingWidget(QtGui.QFrame):
         self.comboPriceType.addItems(self.priceTypeList)
         
         self.comboExchange = QtGui.QComboBox()
-
         self.comboExchange.addItems(self.exchangeList)
         
         self.comboCurrency = QtGui.QComboBox()

vn.trader/uiMainWindow.py

@@ -23,8 +23,10 @@ class MainWindow(QtGui.QMainWindow):
         
         self.widgetDict = {}    # 用来保存子窗口的字典
 
+        self.connectGatewayDict = {}
+
         self.initUi()
-        self.loadWindowSettings()
+        #self.loadWindowSettings()
 
         self.connected = False
         self.autoDisConnect = False
@@ -32,11 +34,13 @@ class MainWindow(QtGui.QMainWindow):
         self.orderSaveDate = EMPTY_STRING
         self.barSaveDate = EMPTY_STRING
 
-        self.connectGatewayDict = {}
+
     # ----------------------------------------------------------------------
     def initUi(self):
         """初始化界面"""
-        self.setWindowTitle('VnTrader')
+        path = os.getcwd().rsplit('\\')[-1]
+
+        self.setWindowTitle(path)
         self.initCentral()
         self.initMenu()
         self.initStatusBar()
@@ -196,9 +200,15 @@ class MainWindow(QtGui.QMainWindow):
         self.sbTrigger = 10     # 10秒刷新一次
         self.eventEngine.register(EVENT_TIMER, self.updateStatusBar)
 
+        
     # ----------------------------------------------------------------------
     def updateStatusBar(self, event):
-        """在状态栏更新CPU和内存信息"""
+        """1、在状态栏更新CPU和内存信息"""
+        # 2、定时断开服务器连接
+        # 3、定时重连服务器
+        # 4、定时保存每日的委托单
+        # 5、定时执行策略的保存事件
+
         self.sbCount += 1
 
        # 更新任务栏
@@ -211,68 +221,69 @@ class MainWindow(QtGui.QMainWindow):
 
             self.statusLabel.setText(info)
 
-        if len(self.connectGatewayDict) > 0:
+            if self.connectGatewayDict:
-            s = u''.join(str(e) for e in self.connectGatewayDict.values())
-
-            if not self.connected:
-                s = s + u' [已断开]'
-
-
-            self.setWindowTitle(s)
-
-        # 定时断开
-        if self.connected and self.trade_off() and self.autoDisConnect:
-           self.disconnect()
-           self.mainEngine.writeLog(u'断开连接{0}'.format(self.connectGatewayDict.values()))
-           self.mainEngine.writeLog(u'清空数据引擎')
-           self.mainEngine.clearData()
-           self.mainEngine.writeLog(u'清空委托列表')
-           self.widgetOrderM.clearData()
-           self.mainEngine.writeLog(u'清空交易列表')
-           self.widgetTradeM.clearData()
-
-        # 定时重连
-        if not self.connected \
-                and self.autoDisConnect \
-                and not self.trade_off()\
-                and len(self.connectGatewayDict) > 0:
-
-                self.mainEngine.writeLog(u'清空数据引擎')
-                self.mainEngine.clearData()
-                self.mainEngine.writeLog(u'清空委托列表')
-                self.widgetOrderM.clearData()
-                self.mainEngine.writeLog(u'清空交易列表')
-                self.widgetTradeM.clearData()
                 s = u''.join(str(e) for e in self.connectGatewayDict.values())
-                self.mainEngine.writeLog(u'重新连接{0}'.format(s))
 
-                for key in self.connectGatewayDict.keys():
+                if not self.connected:
-                    self.mainEngine.connect(key)
+                    s = s + u' [已断开]'
 
-                self.connected = True
 
-        # 交易日收盘后保存所有委托记录，
+                self.setWindowTitle(s)
-        dt = datetime.now()
-        today = datetime.now().strftime('%y%m%d')
-        if dt.hour == 15 and dt.minute == 1 and len(self.connectGatewayDict) > 0 and today!=self.orderSaveDate:
-            self.orderSaveDate = today
-            self.mainEngine.writeLog(u'保存所有委托记录')
-            orderfile = os.getcwd() +'/orders/{0}.csv'.format(self.orderSaveDate)
-            if os.path.exists(orderfile):
-                return
-            else:
-                self.widgetOrderM.saveToCsv(path=orderfile)
 
-        # 调用各策略保存数据
+            # 定时断开
-        if ((dt.hour == 15 and dt.minute == 1) or (dt.hour == 2 and dt.minute == 31))  \
+            if self.connected and self.trade_off() and self.autoDisConnect:
-            and len(self.connectGatewayDict) > 0 \
+               self.disconnect()
-            and today != self.barSaveDate:
+               self.mainEngine.writeLog(u'断开连接{0}'.format(self.connectGatewayDict.values()))
-            self.barSaveDate = today
+               self.mainEngine.writeLog(u'清空数据引擎')
-            self.mainEngine.writeLog(u'调用各策略保存数据')
+               self.mainEngine.clearData()
-            self.mainEngine.saveData()
+               self.mainEngine.writeLog(u'清空委托列表')
+               self.widgetOrderM.clearData()
+               self.mainEngine.writeLog(u'清空交易列表')
+               self.widgetTradeM.clearData()
 
-        if not (dt.hour == 15 or dt.hour == 2):
+            # 定时重连
-            self.barSaveDate = EMPTY_STRING
+            if not self.connected \
+                    and self.autoDisConnect \
+                    and not self.trade_off()\
+                    and len(self.connectGatewayDict) > 0:
+
+                    self.mainEngine.writeLog(u'清空数据引擎')
+                    self.mainEngine.clearData()
+                    self.mainEngine.writeLog(u'清空委托列表')
+                    self.widgetOrderM.clearData()
+                    self.mainEngine.writeLog(u'清空交易列表')
+                    self.widgetTradeM.clearData()
+                    s = u''.join(str(e) for e in self.connectGatewayDict.values())
+                    self.mainEngine.writeLog(u'重新连接{0}'.format(s))
+
+                    for key in self.connectGatewayDict.keys():
+                        self.mainEngine.connect(key)
+
+                    self.connected = True
+
+            # 交易日收盘后保存所有委托记录，
+            dt = datetime.now()
+            today = datetime.now().strftime('%y%m%d')
+            if dt.hour == 15 and dt.minute == 1 and len(self.connectGatewayDict) > 0 and today!=self.orderSaveDate:
+                self.orderSaveDate = today
+                self.mainEngine.writeLog(u'保存所有委托记录')
+                orderfile = os.getcwd() +'/orders/{0}.csv'.format(self.orderSaveDate)
+                if os.path.exists(orderfile):
+                    return
+                else:
+                    self.widgetOrderM.saveToCsv(path=orderfile)
+
+            # 调用各策略保存数据
+            if ((dt.hour == 15 and dt.minute == 1) or (dt.hour == 2 and dt.minute == 31))  \
+                and len(self.connectGatewayDict) > 0 \
+                and today != self.barSaveDate \
+                and self.connected:
+                self.barSaveDate = today
+                self.mainEngine.writeLog(u'调用各策略保存数据')
+                self.mainEngine.saveData()
+
+            if not (dt.hour == 15 or dt.hour == 2):
+                self.barSaveDate = EMPTY_STRING
 
     # ----------------------------------------------------------------------
     def getCpuMemory(self):
@@ -491,7 +502,6 @@ class MainWindow(QtGui.QMainWindow):
             pass
 
 
-
     def disconnect(self):
         """"断开底层gateway的连接"""
         self.mainEngine.disconnect()

vn.trader/vtConstant.py

@@ -78,6 +78,7 @@ EXCHANGE_GLOBEX = 'GLOBEX'     # CME电子交易平台
 EXCHANGE_IDEALPRO = 'IDEALPRO' # IB外汇ECN
 
 EXCHANGE_OANDA = 'OANDA'       # OANDA外汇做市商
+EXCHANGE_OKCOIN = 'OKCOIN'     # OKCOIN比特币交易所
 
 # 货币类型
 CURRENCY_USD = 'USD'            # 美元

vn.trader/vtEngine.py

@@ -28,7 +28,7 @@ class MainEngine(object):
         self.eventEngine.start()
         
         # 创建数据引擎
-        self.dataEngine = DataEngine(self.eventEngine)
+        self.dataEngine = DataEngine(self, self.eventEngine)
         
         # MongoDB数据库相关
         self.dbClient = None    # MongoDB客户端对象
@@ -61,7 +61,7 @@ class MainEngine(object):
 
             self.addGateway(CtpGateway, 'CTP_EBF')
             self.gatewayDict['CTP_EBF'].setQryEnabled(True)
-        except Exception, e:
+        except Exception as e:
             print e
 
         """
@@ -125,8 +125,16 @@ class MainEngine(object):
             self.gatewayDict['OANDA'].setQryEnabled(True)
         except Exception, e:
             print e
+
+        try:
+            from okcoinGateway.okcoinGateway import OkcoinGateway
+            self.addGateway(OkcoinGateway, 'OKCOIN')
+            self.gatewayDict['OKCOIN'].setQryEnabled(True)
+        except Exception, e:
+            print e
         """
-    # ----------------------------------------------------------------------
+
+    #----------------------------------------------------------------------
     def addGateway(self, gateway, gatewayName=None):
         """创建接口"""
         self.gatewayDict[gatewayName] = gateway(self.eventEngine, gatewayName)
@@ -208,6 +216,9 @@ class MainEngine(object):
         # 停止事件引擎
         self.eventEngine.stop()      
         
+        # 停止数据记录引擎
+        self.drEngine.stop()
+
         # 保存数据引擎里的合约数据到硬盘
         self.dataEngine.saveContracts()
 
@@ -288,6 +299,7 @@ class MainEngine(object):
     def clearData(self):
         """清空数据引擎的数据"""
         self.dataEngine.clearData()
+        self.ctaEngine.clearData()
 
     def saveData(self):
         self.ctaEngine.saveStrategyData()
@@ -298,8 +310,9 @@ class DataEngine(object):
     contractFileName = 'ContractData.vt'
 
     # ----------------------------------------------------------------------
-    def __init__(self, eventEngine):
+    def __init__(self, mainEngine, eventEngine):
         """Constructor"""
+        self.mainEngine = mainEngine
         self.eventEngine = eventEngine
         
         # 保存合约详细信息的字典
@@ -317,6 +330,9 @@ class DataEngine(object):
         # 注册事件监听
         self.registerEvent()
 
+        # 已订阅合约代码
+        self.subscribedSymbols = set()
+        
     # ----------------------------------------------------------------------
     def updateContract(self, event):
         """更新合约数据"""
@@ -386,10 +402,45 @@ class DataEngine(object):
         """注册事件监听"""
         self.eventEngine.register(EVENT_CONTRACT, self.updateContract)
         self.eventEngine.register(EVENT_ORDER, self.updateOrder)
+        self.eventEngine.register(EVENT_POSITION, self.updatePosition)
         
     def clearData(self):
         """清空数据"""
 
         self.orderDict = {}
         self.workingOrderDict = {}
+        self.subscribedSymbols.clear()
+
+    def updatePosition(self,event):
+        """更新持仓信息"""
+        # 在获取更新持仓信息时，自动订阅这个symbol
+        # 目的：1、
+
+        position = event.dict_['data']
+
+        symbol = position.symbol
+
+        # 已存在，不做更新
+        if symbol in self.subscribedSymbols:
+            return
+
+        self.subscribedSymbols.add(symbol)
+
+        gatewayName = position.gatewayName
+        contract = self.mainEngine.getContract(symbol)
+
+        if not contract:
+            self.mainEngine.writeLog(u'找不到合约{0}信息'.format(symbol))
+            return
+
+        # 订阅合约
+        req = VtSubscribeReq()
+        req.symbol = symbol
+        req.exchange = contract.exchange
+        req.currency = ''
+        req.productClass = ''
+
+        self.mainEngine.subscribe(req, gatewayName)
+
+        self.mainEngine.writeLog(u'自动订阅合约{0}'.format(symbol))