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risk_manager.py 1.41 KB
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shinny-pack 提交于 2022-01-27 11:06 +08:00 . Update Version 3.2.2
#!usr/bin/env python3
# -*- coding:utf-8 -*-
__author__ = 'mayanqiong'
from tqsdk.datetime import _get_trading_day_from_timestamp, _get_trading_day_end_time
from tqsdk.datetime_state import TqDatetimeState
from tqsdk.exceptions import TqRiskRuleError
class TqRiskManager(list):
def __init__(self):
self._datetime_state = TqDatetimeState()
self._trading_day_end = 0
super(TqRiskManager, self).__init__()
def _on_recv_data(self, diffs):
for d in diffs:
self._datetime_state.update_state(d)
current = self._datetime_state.get_current_dt()
if current > self._trading_day_end:
# 切换交易日
self._trading_day_end = _get_trading_day_end_time(_get_trading_day_from_timestamp(current))
[r._on_settle() for r in self]
def append(self, rule):
if rule not in self:
super(TqRiskManager, self).append(rule)
def remove(self, rule):
if rule in self:
super(TqRiskManager, self).remove(rule)
def _could_insert_order(self, pack):
# 是否可以下单
for r in self:
is_valid, err_msg = r._could_insert_order(pack)
if not is_valid:
raise TqRiskRuleError(err_msg)
return True
def _on_insert_order(self, pack):
# 需要更新风控对象内部统计值
for r in self:
r._on_insert_order(pack)
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