247 lines
8.6 KiB
Python
247 lines
8.6 KiB
Python
# 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')
|