修改风控模块关于撤单统计部分代码
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chenxy123
parent
7f2c47f425
commit
cbcf781d20
@ -1,9 +1,9 @@
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{
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"orderFlowClear": 1,
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"orderCancelLimit": 10,
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"workingOrderLimit": 20,
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"tradeLimit": 100,
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"orderSizeLimit": 10,
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"active": true,
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"orderCountLimit": 400,
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"orderFlowLimit": 50
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}
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@ -47,9 +47,9 @@ class RmEngine(object):
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self.tradeCount = EMPTY_INT # 当日成交合约数量统计
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self.tradeLimit = EMPTY_INT # 当日成交合约数量限制
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# 单品种报撤
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self.orderCountLimit = 450
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self.orderCount = {}
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# 单品种撤单统计
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self.orderCancelLimit = EMPTY_INT # 撤单总次数限制
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self.orderCancelDict = {} # 单一合约对应撤单次数的字典
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# 活动合约相关
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self.workingOrderLimit = EMPTY_INT # 活动合约最大限制
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@ -75,7 +75,7 @@ class RmEngine(object):
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self.workingOrderLimit = d['workingOrderLimit']
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self.orderCountLimit = d['orderCountLimit']
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self.orderCancelLimit = d['orderCancelLimit']
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#----------------------------------------------------------------------
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def saveSetting(self):
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@ -95,7 +95,7 @@ class RmEngine(object):
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d['workingOrderLimit'] = self.workingOrderLimit
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d['orderCountLimit'] = self.orderCountLimit
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d['orderCancelLimit'] = self.orderCancelLimit
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# 写入json
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jsonD = json.dumps(d, indent=4)
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@ -108,15 +108,18 @@ class RmEngine(object):
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self.eventEngine.register(EVENT_TIMER, self.updateTimer)
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self.eventEngine.register(EVENT_ORDER, self.updateOrder)
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#----------------------------------------------------------------------
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def updateOrder(self, event):
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"""更新成交数据"""
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# 只需要统计撤单成功的委托
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order = event.dict_['data']
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if not self.orderCount.has_key(order.symbol):
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self.orderCount[order.symbol] = 0
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if order.status in [STATUS_NOTTRADED, STATUS_PARTTRADED, STATUS_ALLTRADED, STATUS_UNKNOWN]:
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self.orderCount[order.symbol] += 1
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elif order.status == STATUS_CANCELLED:
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self.orderCount[order.symbol] += 2
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if order.status != STATUS_CANCELLED:
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return
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if order.symbol not in self.orderCancelDict:
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self.orderCancelDict[order.symbol] = 1
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else:
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self.orderCancelDict[order.symbol] += 1
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#----------------------------------------------------------------------
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def updateTrade(self, event):
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@ -156,42 +159,43 @@ class RmEngine(object):
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"""检查风险"""
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# 如果没有启动风控检查，则直接返回成功
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if not self.active:
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return RISK_OK
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return True
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# 检查委托数量
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if orderReq.volume > self.orderSizeLimit:
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self.writeRiskLog(u'单笔委托数量%s，超过限制%s'
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%(orderReq.volume, self.orderSizeLimit))
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return RISK_ERROR_ORDER_SIZE
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return False
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# 检查成交合约量
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if self.tradeCount >= self.tradeLimit:
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self.writeRiskLog(u'今日总成交合约数量%s，超过限制%s'
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%(self.tradeCount, self.tradeLimit))
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return RISK_ERROR_TRADE_COUNT
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return False
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# 检查流控
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if self.orderFlowCount >= self.orderFlowLimit:
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self.writeRiskLog(u'委托流数量%s，超过限制每%s秒%s'
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%(self.orderFlowCount, self.orderFlowClear, self.orderFlowLimit))
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return RISK_ERROR_ORDER_FLOW_COUNT
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return False
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# 检查总活动合约
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workingOrderCount = len(self.mainEngine.getAllWorkingOrders())
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if workingOrderCount >= self.workingOrderLimit:
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self.writeRiskLog(u'当前活动委托数量%s，超过限制%s'
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%(workingOrderCount, self.workingOrderLimit))
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return RISK_ERROR_WORKING_ORDER
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return False
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if self.orderCount.has_key(orderReq.symbol) and self.orderCount[orderReq.symbol] > self.orderCountLimit:
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self.writeRiskLog(u'%s当日报撤%s，超过限制%s'
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% (orderReq.symbol, self.orderCount[orderReq.symbol], self.orderCountLimit))
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return RISK_ERROR_ORDER_SEND
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# 检查撤单次数
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if orderReq.symbol in self.orderCancelDict and self.orderCancelDict[orderReq.symbol] >= self.orderCancelLimit:
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self.writeRiskLog(u'当日%s撤单次数%s，超过限制%s'
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%(orderReq.symbol, self.orderCancelDict[orderReq.symbol], self.orderCancelLimit))
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return False
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# 对于通过风控的委托，增加流控计数
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self.orderFlowCount += 1
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return RISK_OK
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return True
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#----------------------------------------------------------------------
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def clearOrderFlowCount(self):
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@ -231,9 +235,9 @@ class RmEngine(object):
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self.workingOrderLimit = n
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#----------------------------------------------------------------------
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def setOrderCountLimit(self, n):
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"""设置单品种报撤次数上限"""
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self.orderCountLimit = n
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def setOrderCancelLimit(self, n):
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"""设置单合约撤单次数上限"""
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self.orderCancelLimit = n
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#----------------------------------------------------------------------
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def switchEngineStatus(self):
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@ -68,7 +68,7 @@ class RmEngineManager(QtGui.QWidget):
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self.spinOrderSizeLimit = RmSpinBox(self.rmEngine.orderSizeLimit)
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self.spinTradeLimit = RmSpinBox(self.rmEngine.tradeLimit)
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self.spinWorkingOrderLimit = RmSpinBox(self.rmEngine.workingOrderLimit)
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self.spinOrderCountLimit = RmSpinBox(self.rmEngine.orderCountLimit)
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self.spinOrderCancelLimit = RmSpinBox(self.rmEngine.orderCancelLimit)
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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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@ -92,8 +92,9 @@ class RmEngineManager(QtGui.QWidget):
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grid.addWidget(RmLine(), 8, 0, 1, 2)
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grid.addWidget(Label(u'活动订单上限'), 9, 0)
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grid.addWidget(self.spinWorkingOrderLimit, 9, 1)
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grid.addWidget(Label(u'单品种报撤次数上限'), 10, 0)
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grid.addWidget(self.spinOrderCountLimit, 10, 1)
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grid.addWidget(RmLine(), 10, 0, 1, 2)
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grid.addWidget(Label(u'单合约撤单上限'), 11, 0)
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grid.addWidget(self.spinOrderCancelLimit, 11, 1)
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hbox = QtGui.QHBoxLayout()
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hbox.addWidget(buttonClearOrderFlowCount)
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@ -112,7 +113,7 @@ class RmEngineManager(QtGui.QWidget):
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self.spinOrderSizeLimit.valueChanged.connect(self.rmEngine.setOrderSizeLimit)
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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.spinOrderCountLimit.valueChanged.connect(self.rmEngine.setOrderCountLimit)
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self.spinOrderCancelLimit.valueChanged.connect(self.rmEngine.setOrderCancelLimit)
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self.buttonSwitchEngineStatus.clicked.connect(self.switchEngineSatus)
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buttonClearOrderFlowCount.clicked.connect(self.rmEngine.clearOrderFlowCount)
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@ -6,18 +6,6 @@ EMPTY_UNICODE = u''
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EMPTY_INT = 0
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EMPTY_FLOAT = 0.0
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# 风控常量
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RISK_OK = 0 # 风控正常
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RISK_ERROR_ORDER_SIZE = 1 # 单笔委托数量超限
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RISK_ERROR_TRADE_COUNT = 2 # 今日总成交合约数量超限
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RISK_ERROR_ORDER_FLOW_COUNT = 3 # 委托流数量超限
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RISK_ERROR_WORKING_ORDER = 4 # 当前活动委托数量超限
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RISK_ERROR_ORDER_SEND = 5 # 当日单品种报撤次数超限
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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',
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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',
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RISK_ERROR_ORDER_SEND: u'当日单品种报撤次数超限'}
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# 方向常量
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DIRECTION_NONE = u'无方向'
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DIRECTION_LONG = u'多'
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@ -188,9 +188,8 @@ class MainEngine(object):
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def sendOrder(self, orderReq, gatewayName):
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"""对特定接口发单"""
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# 如果风控检查失败则不发单
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riskResult = self.rmEngine.checkRisk(orderReq)
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if riskResult != RISK_OK:
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return riskResult
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if not self.rmEngine.checkRisk(orderReq):
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return ''
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if gatewayName in self.gatewayDict:
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gateway = self.gatewayDict[gatewayName]
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@ -291,8 +291,6 @@ class VtPositionData(VtBaseData):
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self.frozen = EMPTY_INT # 冻结数量
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self.price = EMPTY_FLOAT # 持仓均价
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self.vtPositionName = EMPTY_STRING # 持仓在vt系统中的唯一代码，通常是vtSymbol.方向
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# 20151020添加
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self.ydPosition = EMPTY_INT # 昨持仓
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