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