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）
This commit is contained in:
msincenselee
parent
f37440e6bb
commit
c7f6e1e9a5
@ -11,6 +11,8 @@ import os
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import copy
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from collections import OrderedDict
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from datetime import datetime, timedelta
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from Queue import Queue
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from threading import Thread
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from eventEngine import *
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from vtGateway import VtSubscribeReq, VtLogData
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@ -43,6 +45,11 @@ class DrEngine(object):
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# K线对象字典
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self.barDict = {}
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# 负责执行数据库插入的单独线程相关
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self.active = False # 工作状态
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self.queue = Queue() # 队列
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self.thread = Thread(target=self.run) # 线程
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# 载入设置，订阅行情
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self.loadSetting()
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@ -112,6 +119,9 @@ class DrEngine(object):
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for activeSymbol, vtSymbol in d.items():
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self.activeSymbolDict[vtSymbol] = activeSymbol
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# 启动数据插入线程
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self.start()
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# 注册事件监听
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self.registerEvent()
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@ -187,7 +197,29 @@ class DrEngine(object):
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#----------------------------------------------------------------------
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def insertData(self, dbName, collectionName, data):
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"""插入数据到数据库（这里的data可以是CtaTickData或者CtaBarData）"""
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self.mainEngine.dbInsert(dbName, collectionName, data.__dict__)
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self.queue.put((dbName, collectionName, data.__dict__))
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#----------------------------------------------------------------------
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def run(self):
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"""运行插入线程"""
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while self.active:
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try:
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dbName, collectionName, d = self.queue.get(block=True, timeout=1)
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self.mainEngine.dbInsert(dbName, collectionName, d)
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except Empty:
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pass
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#----------------------------------------------------------------------
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def start(self):
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"""启动"""
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self.active = True
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self.thread.start()
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#----------------------------------------------------------------------
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def stop(self):
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"""退出"""
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if self.active:
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self.active = False
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self.thread.join()
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#----------------------------------------------------------------------
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def writeDrLog(self, content):
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@ -19,9 +19,9 @@ EVENT_LOG = 'eLog' # 日志事件，全局通用
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EVENT_TICK = 'eTick.' # TICK行情事件，可后接具体的vtSymbol
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EVENT_TRADE = 'eTrade.' # 成交回报事件
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EVENT_ORDER = 'eOrder.' # 报单回报事件
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EVENT_ERRRTNORDERINSERT = 'eErrRtnOrderInsert' # 报单录入错误回报事件
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EVENT_POSITION = 'ePosition.' # 持仓回报事件
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EVENT_ACCOUNT = 'eAccount.' # 账户回报事件
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EVENT_ACCOUNT_LOSS = 'eAccountLoss' # 账户亏损事件
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EVENT_CONTRACT = 'eContract.' # 合约基础信息回报事件
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EVENT_ERROR = 'eError.' # 错误回报事件
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@ -1,9 +1,10 @@
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{
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"orderFlowClear": 10,
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"percentLimit": 90,
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"percentLimit": 80,
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"workingOrderLimit": 200,
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"tradeLimit": 1000,
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"tradeLimit": 20000,
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"orderSizeLimit": 100,
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"active": true,
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"orderFlowLimit": 1000
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"lossPercentLimit": 11,
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"orderFlowLimit": 20000
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}
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@ -23,9 +23,6 @@ class RmSpinBox(QtGui.QSpinBox):
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self.setValue(value)
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########################################################################
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class RmLine(QtGui.QFrame):
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"""水平分割线"""
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@ -38,8 +35,6 @@ class RmLine(QtGui.QFrame):
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self.setFrameShadow(self.Sunken)
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########################################################################
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class RmEngineManager(QtGui.QWidget):
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"""风控引擎的管理组件"""
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@ -72,6 +67,9 @@ class RmEngineManager(QtGui.QWidget):
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# 最大开仓比例
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self.spinPercentLimit = RmSpinBox(self.rmEngine.percentLimit)
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# 最大净值止损比例,满足后强制止损
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self.spinLossPercentLimit = RmSpinBox(self.rmEngine.lossPercentLimit)
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buttonClearOrderFlowCount = QtGui.QPushButton(u'清空流控计数')
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buttonClearTradeCount = QtGui.QPushButton(u'清空总成交计数')
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buttonSaveSetting = QtGui.QPushButton(u'保存设置')
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@ -98,6 +96,8 @@ class RmEngineManager(QtGui.QWidget):
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grid.addWidget(RmLine(), 10, 0, 1, 2)
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grid.addWidget(Label(u'仓位上限(1~100)'), 11, 0)
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grid.addWidget(self.spinPercentLimit, 11, 1)
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grid.addWidget(Label(u'强制止损比例'), 12, 0)
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grid.addWidget(self.spinLossPercentLimit, 12, 1)
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hbox = QtGui.QHBoxLayout()
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hbox.addWidget(buttonClearOrderFlowCount)
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@ -117,6 +117,7 @@ class RmEngineManager(QtGui.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.spinPercentLimit.valueChanged.connect(self.rmEngine.setAccountPercentLimit)
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self.spinLossPercentLimit.valueChanged.connect(self.rmEngine.setLossPercentLimit)
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self.buttonSwitchEngineStatus.clicked.connect(self.switchEngineSatus)
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buttonClearOrderFlowCount.clicked.connect(self.rmEngine.clearOrderFlowCount)
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@ -610,8 +610,6 @@ class PositionMonitor(BasicMonitor):
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self.initTable()
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self.registerEvent()
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########################################################################
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class AccountMonitor(BasicMonitor):
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"""账户监控"""
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@ -639,7 +637,6 @@ class AccountMonitor(BasicMonitor):
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self.initTable()
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self.registerEvent()
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########################################################################
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class TradingWidget(QtGui.QFrame):
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"""简单交易组件"""
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@ -745,7 +742,6 @@ class TradingWidget(QtGui.QFrame):
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self.comboPriceType.addItems(self.priceTypeList)
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self.comboExchange = QtGui.QComboBox()
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self.comboExchange.addItems(self.exchangeList)
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self.comboCurrency = QtGui.QComboBox()
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@ -23,8 +23,10 @@ class MainWindow(QtGui.QMainWindow):
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self.widgetDict = {} # 用来保存子窗口的字典
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self.connectGatewayDict = {}
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self.initUi()
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self.loadWindowSettings()
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#self.loadWindowSettings()
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self.connected = False
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self.autoDisConnect = False
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@ -32,11 +34,13 @@ class MainWindow(QtGui.QMainWindow):
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self.orderSaveDate = EMPTY_STRING
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self.barSaveDate = EMPTY_STRING
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self.connectGatewayDict = {}
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# ----------------------------------------------------------------------
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def initUi(self):
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"""初始化界面"""
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self.setWindowTitle('VnTrader')
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path = os.getcwd().rsplit('\\')[-1]
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self.setWindowTitle(path)
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self.initCentral()
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self.initMenu()
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self.initStatusBar()
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@ -196,9 +200,15 @@ class MainWindow(QtGui.QMainWindow):
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self.sbTrigger = 10 # 10秒刷新一次
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self.eventEngine.register(EVENT_TIMER, self.updateStatusBar)
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# ----------------------------------------------------------------------
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def updateStatusBar(self, event):
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"""在状态栏更新CPU和内存信息"""
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"""1、在状态栏更新CPU和内存信息"""
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# 2、定时断开服务器连接
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# 3、定时重连服务器
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# 4、定时保存每日的委托单
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# 5、定时执行策略的保存事件
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self.sbCount += 1
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# 更新任务栏
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@ -211,7 +221,7 @@ class MainWindow(QtGui.QMainWindow):
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self.statusLabel.setText(info)
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if len(self.connectGatewayDict) > 0:
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if self.connectGatewayDict:
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s = u''.join(str(e) for e in self.connectGatewayDict.values())
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if not self.connected:
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@ -266,7 +276,8 @@ class MainWindow(QtGui.QMainWindow):
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# 调用各策略保存数据
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if ((dt.hour == 15 and dt.minute == 1) or (dt.hour == 2 and dt.minute == 31)) \
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and len(self.connectGatewayDict) > 0 \
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and today != self.barSaveDate:
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and today != self.barSaveDate \
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and self.connected:
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self.barSaveDate = today
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self.mainEngine.writeLog(u'调用各策略保存数据')
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self.mainEngine.saveData()
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@ -491,7 +502,6 @@ class MainWindow(QtGui.QMainWindow):
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pass
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def disconnect(self):
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""""断开底层gateway的连接"""
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self.mainEngine.disconnect()
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@ -78,6 +78,7 @@ EXCHANGE_GLOBEX = 'GLOBEX' # CME电子交易平台
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EXCHANGE_IDEALPRO = 'IDEALPRO' # IB外汇ECN
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EXCHANGE_OANDA = 'OANDA' # OANDA外汇做市商
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EXCHANGE_OKCOIN = 'OKCOIN' # OKCOIN比特币交易所
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# 货币类型
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CURRENCY_USD = 'USD' # 美元
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@ -28,7 +28,7 @@ class MainEngine(object):
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self.eventEngine.start()
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# 创建数据引擎
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self.dataEngine = DataEngine(self.eventEngine)
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self.dataEngine = DataEngine(self, self.eventEngine)
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# MongoDB数据库相关
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self.dbClient = None # MongoDB客户端对象
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@ -61,7 +61,7 @@ class MainEngine(object):
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self.addGateway(CtpGateway, 'CTP_EBF')
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self.gatewayDict['CTP_EBF'].setQryEnabled(True)
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except Exception, e:
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except Exception as e:
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print e
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"""
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@ -125,7 +125,15 @@ class MainEngine(object):
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self.gatewayDict['OANDA'].setQryEnabled(True)
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except Exception, e:
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print e
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try:
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from okcoinGateway.okcoinGateway import OkcoinGateway
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self.addGateway(OkcoinGateway, 'OKCOIN')
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self.gatewayDict['OKCOIN'].setQryEnabled(True)
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except Exception, e:
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print e
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"""
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#----------------------------------------------------------------------
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def addGateway(self, gateway, gatewayName=None):
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"""创建接口"""
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@ -208,6 +216,9 @@ class MainEngine(object):
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# 停止事件引擎
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self.eventEngine.stop()
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# 停止数据记录引擎
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self.drEngine.stop()
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# 保存数据引擎里的合约数据到硬盘
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self.dataEngine.saveContracts()
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@ -288,6 +299,7 @@ class MainEngine(object):
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def clearData(self):
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"""清空数据引擎的数据"""
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self.dataEngine.clearData()
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self.ctaEngine.clearData()
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def saveData(self):
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self.ctaEngine.saveStrategyData()
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@ -298,8 +310,9 @@ class DataEngine(object):
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contractFileName = 'ContractData.vt'
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# ----------------------------------------------------------------------
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def __init__(self, eventEngine):
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def __init__(self, mainEngine, eventEngine):
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"""Constructor"""
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self.mainEngine = mainEngine
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self.eventEngine = eventEngine
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# 保存合约详细信息的字典
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@ -317,6 +330,9 @@ class DataEngine(object):
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# 注册事件监听
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self.registerEvent()
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# 已订阅合约代码
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self.subscribedSymbols = set()
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# ----------------------------------------------------------------------
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def updateContract(self, event):
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"""更新合约数据"""
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@ -386,10 +402,45 @@ class DataEngine(object):
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"""注册事件监听"""
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self.eventEngine.register(EVENT_CONTRACT, self.updateContract)
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self.eventEngine.register(EVENT_ORDER, self.updateOrder)
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self.eventEngine.register(EVENT_POSITION, self.updatePosition)
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def clearData(self):
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"""清空数据"""
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self.orderDict = {}
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self.workingOrderDict = {}
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self.subscribedSymbols.clear()
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def updatePosition(self,event):
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"""更新持仓信息"""
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# 在获取更新持仓信息时，自动订阅这个symbol
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# 目的：1、
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position = event.dict_['data']
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symbol = position.symbol
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# 已存在，不做更新
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if symbol in self.subscribedSymbols:
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return
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self.subscribedSymbols.add(symbol)
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gatewayName = position.gatewayName
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contract = self.mainEngine.getContract(symbol)
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if not contract:
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self.mainEngine.writeLog(u'找不到合约{0}信息'.format(symbol))
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return
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# 订阅合约
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req = VtSubscribeReq()
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req.symbol = symbol
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req.exchange = contract.exchange
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req.currency = ''
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req.productClass = ''
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self.mainEngine.subscribe(req, gatewayName)
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self.mainEngine.writeLog(u'自动订阅合约{0}'.format(symbol))
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