修改风控模块,增加持仓比例控制。如超过90%就不开仓
修改gateway,与dev同步,修复持仓问题。
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@ -789,6 +789,7 @@ class CtpTdApi(TdApi):
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self.gateway.onContract(contract)
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if last:
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#print self.symbolSizeDict
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'交易合约信息获取完成'
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@ -965,6 +966,7 @@ class CtpTdApi(TdApi):
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order.totalVolume = data['VolumeTotalOriginal']
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order.tradedVolume = data['VolumeTraded']
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order.orderTime = data['InsertTime']
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order.updateTime = data['UpdateTime']
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order.cancelTime = data['CancelTime']
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order.frontID = data['FrontID']
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order.sessionID = data['SessionID']
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@ -1405,7 +1407,7 @@ class PositionBuffer(object):
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self.pos.position = data['Position']
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self.pos.ydPosition = 0
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if data['Position']:
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if data['Position'] != 0 and size!=0:
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self.pos.price = data['PositionCost'] / (data['Position'] * size)
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else:
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self.pos.price = 0
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@ -190,7 +190,7 @@ class RmEngine(object):
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%(workingOrderCount, self.workingOrderLimit))
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return False
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self.writeRiskLog(u'DEBUG:Offset:{0},percent:{1},Limit:{2}'.format(orderReq.offset, self.percent, self.percentLimit))
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#self.writeRiskLog(u'DEBUG:Offset:{0},percent:{1},Limit:{2}'.format(orderReq.offset, self.percent, self.percentLimit))
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# 检查仓位 add by Incense 20160728
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if orderReq.offset == OFFSET_OPEN:
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@ -522,6 +522,7 @@ class OrderMonitor(BasicMonitor):
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d['orderTime'] = {'chinese':u'委托时间', 'cellType':BasicCell}
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d['totalVolume'] = {'chinese':u'委托数量', 'cellType':BasicCell}
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d['tradedVolume'] = {'chinese':u'成交数量', 'cellType':BasicCell}
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#d['updateTime'] = {'chinese':u'更新时间', 'cellType':BasicCell}
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d['cancelTime'] = {'chinese':u'撤销时间', 'cellType':BasicCell}
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d['frontID'] = {'chinese':u'前置编号', 'cellType':BasicCell}
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d['sessionID'] = {'chinese':u'会话编号', 'cellType':BasicCell}
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@ -276,6 +276,7 @@ class VtOrderData(VtBaseData):
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self.status = EMPTY_UNICODE # 报单状态
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self.orderTime = EMPTY_STRING # 发单时间
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self.updateTime = EMPTY_STRING # 最后更新时间
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self.cancelTime = EMPTY_STRING # 撤单时间
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# CTP/LTS相关
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