# encoding: UTF-8 ''' 本文件中实现了风控引擎，用于提供一系列常用的风控功能： 1. 委托流控（单位时间内最大允许发出的委托数量） 2. 总成交限制（每日总成交数量限制） 3. 单笔委托的委托数量控制 4. 总仓位控制 todo：本风控模块仅支持一个gateway的连接。如果超过多个gateway的连接，仓位模块就会无效啦。 ''' import json import os import platform from datetime import datetime from trader.eventEngine import * from trader.vtConstant import * from trader.vtGateway import VtLogData ######################################################################## class RmEngine(object): """风控引擎""" settingFileName = 'RM_setting.json' path = os.path.abspath(os.path.dirname(__file__)) settingFileName = os.path.join(path, settingFileName) name = u'风控模块' #---------------------------------------------------------------------- def __init__(self, mainEngine, eventEngine): """Constructor""" self.mainEngine = mainEngine self.eventEngine = eventEngine # 是否启动风控 self.active = False # 流控相关 self.orderFlowCount = EMPTY_INT # 单位时间内委托计数 self.orderFlowLimit = EMPTY_INT # 委托限制 self.orderFlowClear = EMPTY_INT # 计数清空时间（秒） self.orderFlowTimer = EMPTY_INT # 计数清空时间计时 # 总仓位相关(0~100+) self.percentLimit = 99 # 仓位比例限制 self.percent = EMPTY_FLOAT # 当前持仓比例 self.preBalance = EMPTY_FLOAT # 昨结 self.balance = EMPTY_FLOAT # 当前账号权益 self.avaliable = EMPTY_FLOAT # 当前仓位可用资金 # 强制止损相关 self.lossLimit = 100000 # 净值亏损线 self.lastEventTime = None # 上一次发出净值止损的时间 # 单笔委托相关 self.orderSizeLimit = EMPTY_INT # 单笔委托最大限制 # 成交统计相关 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 # 活动合约相关 self.workingOrderLimit = EMPTY_INT # 活动合约最大限制 self.loadSetting() self.registerEvent() #---------------------------------------------------------------------- def loadSetting(self): """读取配置""" with open(self.settingFileName) as f: d = json.load(f) # 设置风控参数 self.active = d['active'] self.orderFlowLimit = d['orderFlowLimit'] self.orderFlowClear = d['orderFlowClear'] self.orderSizeLimit = d['orderSizeLimit'] self.tradeLimit = d['tradeLimit'] self.workingOrderLimit = d['workingOrderLimit'] try: if d['percentLimit']>0 and d['percentLimit']<100: self.percentLimit = d['percentLimit'] except KeyError: self.percentLimit = 99 try: if d['lossLimit'] > 0: self.lossLimit = d['lossLimit'] except KeyError: self.lossLimit = 10 # ---------------------------------------------------------------------- def saveSetting(self): """保存风控参数""" with open(self.settingFileName, 'w') as f: # 保存风控参数 d = {} d['active'] = self.active d['orderFlowLimit'] = self.orderFlowLimit d['orderFlowClear'] = self.orderFlowClear d['orderSizeLimit'] = self.orderSizeLimit d['tradeLimit'] = self.tradeLimit d['workingOrderLimit'] = self.workingOrderLimit d['percentLimit'] = self.percentLimit d['lossLimit'] = self.lossLimit # 写入json jsonD = json.dumps(d, indent=4) f.write(jsonD) # ---------------------------------------------------------------------- def registerEvent(self): """注册事件监听""" self.eventEngine.register(EVENT_TRADE, self.updateTrade) self.eventEngine.register(EVENT_TIMER, self.updateTimer) self.eventEngine.register(EVENT_ACCOUNT, self.updateAccount) # ---------------------------------------------------------------------- def updateTrade(self, event): """更新成交数据""" trade = event.dict_['data'] self.tradeCount += trade.volume # ---------------------------------------------------------------------- def updateTimer(self, event): """更新定时器""" self.orderFlowTimer += 1 # 如果计时超过了流控清空的时间间隔，则执行清空 if self.orderFlowTimer >= self.orderFlowClear: self.orderFlowCount = 0 self.orderFlowTimer = 0 # ---------------------------------------------------------------------- def updateAccount(self,event): """更新账号资金 add by Incense （仅支持一个连接哦。多连接就不做了） """ account = event.dict_['data'] self.balance = account.balance self.available = account.available self.preBalance = account.preBalance if self.balance == EMPTY_FLOAT: self.percent = EMPTY_FLOAT else: self.percent = round((self.balance - self.available)*100/self.balance,2) if self.preBalance ==EMPTY_FLOAT: return # 判断亏损 if self.lossLimit > 0 : # 当前资金 低于 止损线，存在持仓 if self.balance < self.lossLimit and self.balance != self.available: # 第一次发出 if self.lastEventTime is None: self.writeRiskLog(u'净值低于止损线，强制止损') self.mainEngine.writeLog(u'净值低于止损线，强制止损') self.lastEventTime = datetime.now() event = Event(type_=EVENT_ACCOUNT_LOSS) event.dict_['data'] = self.balance self.eventEngine.put(event) # 判断是否超时 else: if (datetime.now() - self.lastEventTime).seconds > 10: self.writeRiskLog(u'净值低于止损线，，超时10秒未生效，强制止损') self.writeRiskLog(u'净值低于止损线，，超时10秒未生效，强制止损') self.lastEventTime = datetime.now() event = Event(type_=EVENT_ACCOUNT_LOSS) event.dict_['data'] = self.balance self.eventEngine.put(event) def getAccountInfo(self): """获取当前账号的权益、可用资金、当前仓位比例, 投资仓位比例上限 仅支持1个账号哦。 """ return self.balance, self.available, self.percent, self.percentLimit # ---------------------------------------------------------------------- def writeRiskLog(self, content): """快速发出日志事件""" # 发出报警提示音 if platform.uname() == 'Windows': import winsound winsound.PlaySound("SystemHand", winsound.SND_ASYNC) # 发出日志事件 log = VtLogData() log.logContent = content log.gatewayName = self.name event = Event(type_=EVENT_LOG) event.dict_['data'] = log self.eventEngine.put(event) # ---------------------------------------------------------------------- def checkRisk(self, orderReq): """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 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 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 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 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 False # self.writeRiskLog(u'DEBUG:Offset:{0},percent:{1},Limit:{2}'.format(orderReq.offset, self.percent, self.percentLimit)) # 检查仓位 add by Incense 20160728 if orderReq.offset == OFFSET_OPEN: if self.percent > self.percentLimit: self.writeRiskLog(u'当前仓位:{0},超过限制:{1}，不允许开仓'.format(self.percent, self.percentLimit)) return False # 对于通过风控的委托，增加流控计数 self.orderFlowCount += 1 return True # ---------------------------------------------------------------------- def clearOrderFlowCount(self): """清空流控计数""" self.orderFlowCount = 0 self.writeRiskLog(u'清空流控计数') # ---------------------------------------------------------------------- def clearTradeCount(self): """清空成交数量计数""" self.tradeCount = 0 self.writeRiskLog(u'清空总成交计数') # ---------------------------------------------------------------------- def setOrderFlowLimit(self, n): """设置流控限制""" self.orderFlowLimit = n # ---------------------------------------------------------------------- def setOrderFlowClear(self, n): """设置流控清空时间""" self.orderFlowClear = n # ---------------------------------------------------------------------- def setOrderSizeLimit(self, n): """设置委托最大限制""" self.orderSizeLimit = n # ---------------------------------------------------------------------- def setTradeLimit(self, n): """设置成交限制""" self.tradeLimit = n # ---------------------------------------------------------------------- def setWorkingOrderLimit(self, n): """设置活动合约限制""" self.workingOrderLimit = n # ---------------------------------------------------------------------- def setAccountPercentLimit(self,n): """设置最大开仓比例""" self.percentLimit = n # ---------------------------------------------------------------------- def setLossLimit(self, n): """设置最大止损比例""" self.lossLimit = n # ---------------------------------------------------------------------- def switchEngineStatus(self): """开关风控引擎""" self.active = not self.active if self.active: self.writeRiskLog(u'风险管理功能启动') else: self.writeRiskLog(u'风险管理功能停止')