修改风控模块关于撤单统计部分代码

vn.trader/riskManager/RM_setting.json

@@ -1,9 +1,9 @@
 {
     "orderFlowClear": 1, 
+    "orderCancelLimit": 10, 
     "workingOrderLimit": 20, 
     "tradeLimit": 100, 
     "orderSizeLimit": 10, 
     "active": true, 
-    "orderCountLimit": 400, 
     "orderFlowLimit": 50
 }

vn.trader/riskManager/rmEngine.py

@@ -47,9 +47,9 @@ class RmEngine(object):
         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
 
-        # 单品种报撤
+        # 单品种撤单统计
-        self.orderCountLimit = 450
+        self.orderCancelLimit = EMPTY_INT   # 撤单总次数限制
-        self.orderCount = {}
+        self.orderCancelDict = {}           # 单一合约对应撤单次数的字典
 
         # 活动合约相关
         self.workingOrderLimit = EMPTY_INT  # 活动合约最大限制
@@ -75,7 +75,7 @@ class RmEngine(object):
 
             self.workingOrderLimit = d['workingOrderLimit']
 
-            self.orderCountLimit = d['orderCountLimit']
+            self.orderCancelLimit = d['orderCancelLimit']
 
     #----------------------------------------------------------------------
     def saveSetting(self):
@@ -95,7 +95,7 @@ class RmEngine(object):
 
             d['workingOrderLimit'] = self.workingOrderLimit
 
-            d['orderCountLimit'] = self.orderCountLimit
+            d['orderCancelLimit'] = self.orderCancelLimit
 
             # 写入json
             jsonD = json.dumps(d, indent=4)
@@ -107,16 +107,19 @@ class RmEngine(object):
         self.eventEngine.register(EVENT_TRADE, self.updateTrade)
         self.eventEngine.register(EVENT_TIMER, self.updateTimer)
         self.eventEngine.register(EVENT_ORDER, self.updateOrder)
-
+        
+    #----------------------------------------------------------------------
     def updateOrder(self, event):
         """更新成交数据"""
+        # 只需要统计撤单成功的委托
         order = event.dict_['data']
-        if not self.orderCount.has_key(order.symbol):
+        if order.status != STATUS_CANCELLED:
-            self.orderCount[order.symbol] = 0
+            return
-        if order.status in [STATUS_NOTTRADED, STATUS_PARTTRADED, STATUS_ALLTRADED, STATUS_UNKNOWN]:
+        
-            self.orderCount[order.symbol] += 1
+        if order.symbol not in self.orderCancelDict:
-        elif order.status == STATUS_CANCELLED:
+            self.orderCancelDict[order.symbol] = 1
-            self.orderCount[order.symbol] += 2
+        else:
+            self.orderCancelDict[order.symbol] += 1
 
     #----------------------------------------------------------------------
     def updateTrade(self, event):
@@ -156,42 +159,43 @@ class RmEngine(object):
         """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 RISK_OK
+            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 RISK_ERROR_ORDER_SIZE
+            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 RISK_ERROR_TRADE_COUNT
+            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 RISK_ERROR_ORDER_FLOW_COUNT
+            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 RISK_ERROR_WORKING_ORDER
+            return False
-
-        if self.orderCount.has_key(orderReq.symbol) and self.orderCount[orderReq.symbol] > self.orderCountLimit:
-            self.writeRiskLog(u'%s当日报撤%s，超过限制%s'
-                              % (orderReq.symbol, self.orderCount[orderReq.symbol], self.orderCountLimit))
-            return RISK_ERROR_ORDER_SEND
 
+        # 检查撤单次数
+        if orderReq.symbol in self.orderCancelDict and self.orderCancelDict[orderReq.symbol] >= self.orderCancelLimit:
+            self.writeRiskLog(u'当日%s撤单次数%s，超过限制%s'
+                              %(orderReq.symbol, self.orderCancelDict[orderReq.symbol], self.orderCancelLimit))
+            return False
+        
         # 对于通过风控的委托，增加流控计数
         self.orderFlowCount += 1
 
-        return RISK_OK
+        return True
 
     #----------------------------------------------------------------------
     def clearOrderFlowCount(self):
@@ -230,10 +234,10 @@ class RmEngine(object):
         """设置活动合约限制"""
         self.workingOrderLimit = n
 
-        #----------------------------------------------------------------------
+    #----------------------------------------------------------------------
-    def setOrderCountLimit(self, n):
+    def setOrderCancelLimit(self, n):
-        """设置单品种报撤次数上限"""
+        """设置单合约撤单次数上限"""
-        self.orderCountLimit = n
+        self.orderCancelLimit = n
 
     #----------------------------------------------------------------------
     def switchEngineStatus(self):

vn.trader/riskManager/uiRmWidget.py

@@ -68,7 +68,7 @@ class RmEngineManager(QtGui.QWidget):
         self.spinOrderSizeLimit = RmSpinBox(self.rmEngine.orderSizeLimit)
         self.spinTradeLimit = RmSpinBox(self.rmEngine.tradeLimit)
         self.spinWorkingOrderLimit = RmSpinBox(self.rmEngine.workingOrderLimit)
-        self.spinOrderCountLimit = RmSpinBox(self.rmEngine.orderCountLimit)
+        self.spinOrderCancelLimit = RmSpinBox(self.rmEngine.orderCancelLimit)
         
         buttonClearOrderFlowCount = QtGui.QPushButton(u'清空流控计数')
         buttonClearTradeCount = QtGui.QPushButton(u'清空总成交计数')
@@ -92,8 +92,9 @@ class RmEngineManager(QtGui.QWidget):
         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)
-        grid.addWidget(Label(u'单品种报撤次数上限'), 10, 0)
+        grid.addWidget(RmLine(), 10, 0, 1, 2)
-        grid.addWidget(self.spinOrderCountLimit, 10, 1)
+        grid.addWidget(Label(u'单合约撤单上限'), 11, 0)
+        grid.addWidget(self.spinOrderCancelLimit, 11, 1)
         
         hbox = QtGui.QHBoxLayout()
         hbox.addWidget(buttonClearOrderFlowCount)
@@ -112,7 +113,7 @@ class RmEngineManager(QtGui.QWidget):
         self.spinOrderSizeLimit.valueChanged.connect(self.rmEngine.setOrderSizeLimit)
         self.spinTradeLimit.valueChanged.connect(self.rmEngine.setTradeLimit)
         self.spinWorkingOrderLimit.valueChanged.connect(self.rmEngine.setWorkingOrderLimit)
-        self.spinOrderCountLimit.valueChanged.connect(self.rmEngine.setOrderCountLimit)
+        self.spinOrderCancelLimit.valueChanged.connect(self.rmEngine.setOrderCancelLimit)
 
         self.buttonSwitchEngineStatus.clicked.connect(self.switchEngineSatus)
         buttonClearOrderFlowCount.clicked.connect(self.rmEngine.clearOrderFlowCount)

vn.trader/vtConstant.py

@@ -6,18 +6,6 @@ EMPTY_UNICODE = u''
 EMPTY_INT = 0
 EMPTY_FLOAT = 0.0
 
-# 风控常量
-RISK_OK = 0  # 风控正常
-RISK_ERROR_ORDER_SIZE = 1  # 单笔委托数量超限
-RISK_ERROR_TRADE_COUNT = 2  # 今日总成交合约数量超限
-RISK_ERROR_ORDER_FLOW_COUNT = 3  # 委托流数量超限
-RISK_ERROR_WORKING_ORDER = 4  # 当前活动委托数量超限
-RISK_ERROR_ORDER_SEND = 5  # 当日单品种报撤次数超限
-
-RISK_MESSAGE = {RISK_ERROR_ORDER_SIZE: u'单笔委托数量超限', RISK_ERROR_TRADE_COUNT: u'今日总成交合约数量超限',
-                RISK_ERROR_ORDER_FLOW_COUNT: u'委托流数量超限', RISK_ERROR_WORKING_ORDER: u'当前活动委托数量超限',
-                RISK_ERROR_ORDER_SEND: u'当日单品种报撤次数超限'}
-
 # 方向常量
 DIRECTION_NONE = u'无方向'
 DIRECTION_LONG = u'多'

vn.trader/vtEngine.py

@@ -188,9 +188,8 @@ class MainEngine(object):
     def sendOrder(self, orderReq, gatewayName):
         """对特定接口发单"""
         # 如果风控检查失败则不发单
-        riskResult = self.rmEngine.checkRisk(orderReq)
+        if not self.rmEngine.checkRisk(orderReq):
-        if riskResult != RISK_OK:
+            return ''
-            return riskResult
 
         if gatewayName in self.gatewayDict:
             gateway = self.gatewayDict[gatewayName]

vn.trader/vtGateway.py

@@ -291,8 +291,6 @@ class VtPositionData(VtBaseData):
         self.frozen = EMPTY_INT                 # 冻结数量
         self.price = EMPTY_FLOAT                # 持仓均价
         self.vtPositionName = EMPTY_STRING      # 持仓在vt系统中的唯一代码，通常是vtSymbol.方向
-        
-        # 20151020添加
         self.ydPosition = EMPTY_INT             # 昨持仓