# 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 ''' import json import os import platform from eventEngine import * from vtConstant import * from 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 # 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 # 单品种报撤 self.orderCountLimit = 450 self.orderCount = {} # 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'] self.orderCountLimit = d['orderCountLimit'] #---------------------------------------------------------------------- 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['orderCountLimit'] = self.orderCountLimit # 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_ORDER, self.updateOrder) def updateOrder(self, event): """更新成交数据""" order = event.dict_['data'] if not self.orderCount.has_key(order.symbol): self.orderCount[order.symbol] = 0 if order.status in [STATUS_NOTTRADED, STATUS_PARTTRADED, STATUS_ALLTRADED, STATUS_UNKNOWN]: self.orderCount[order.symbol] += 1 elif order.status == STATUS_CANCELLED: self.orderCount[order.symbol] += 2 #---------------------------------------------------------------------- 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 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 RISK_OK # 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 # 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 # 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 # 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 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 # 对于通过风控的委托，增加流控计数 self.orderFlowCount += 1 return RISK_OK #---------------------------------------------------------------------- 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 setOrderCountLimit(self, n): """设置单品种报撤次数上限""" self.orderCountLimit = 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')