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@@ -1,3 +1,4 @@
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+use std::cmp::max;
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use std::collections::{BTreeMap, HashMap};
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use std::io::Error;
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use std::str::FromStr;
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@@ -11,7 +12,7 @@ use tokio::sync::mpsc::{channel, Receiver, Sender};
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use tokio::sync::Mutex;
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use tokio::task::JoinHandle;
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use tokio::time::sleep;
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-use tracing::{error, info};
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+use tracing::{error, info, warn};
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use exchanges::binance_swap_ws::{BinanceSubscribeType, BinanceSwapWs, BinanceWsType};
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use exchanges::gate_swap_rest::GateSwapRest;
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use exchanges::gate_swap_ws::{GateSubscribeType, GateSwapWs, GateWsType};
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@@ -797,6 +798,169 @@ impl Quant {
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}
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}
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+ pub fn check_risk(&mut self) {
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+ // 参数检查的风控
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+ if self.strategy.start_cash == Decimal::ZERO {
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+ warn!("请检查交易账户余额");
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+ warn!(?_self.strategy.start_cash);
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+ return;
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+ }
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+
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+ if self.strategy.mp == Decimal::ZERO {
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+ warn!("请检查最新价格");
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+ warn!(?_self.strategy.mp);
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+ return;
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+ }
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+
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+ // 不是现货执行的回撤风控1
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+ if !self.exchange.contains("spot") {
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+ let draw_back = Decimal::ONE - self.strategy.equity / self.strategy.max_equity;
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+
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+ if draw_back > self.stop_loss {
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+ let exit_msg = format!("{} 总资金吊灯回撤 {}。当前净值：{}, 最高净值{}，触发止损，准备停机。",
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+ self.params.account_name, draw_back, self.strategy.equity, self.strategy.max_equity);
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+ warn!(exit_msg);
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+ self.exit_msg = exit_msg;
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+ // TODO quant.stop()不存在
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+ // _self.stop();
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+ }
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+ }
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+ // 回撤风控2
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+ let draw_back = self.local_profit / self.strategy.start_equity;
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+ if draw_back < -self.stop_loss {
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+ let exit_msg = format!("{} 交易亏损，触发止损，准备停机。", self.params.account_name);
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+ warn!(exit_msg);
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+ self.exit_msg = exit_msg;
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+ // TODO quant.stop()不存在
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+ // _self.stop()
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+ }
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+ // 报单延迟风控，平均延迟允许上限5000ms
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+ // TODO quant.platform_rest.avg_delay不存在
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+ // if _self.platform_rest.avg_delay > 5000 {
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+ // let exit_msg = format!("{} 延迟爆表 触发风控 准备停机。", _self.params.account_name);
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+ // warn!(exit_msg);
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+ // _self.exit_msg = exit_msg;
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+ // // TODO quant.stop()不存在
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+ // // _self.stop()
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+ // }
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+
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+ // 仓位异常风控，只在合约模式下执行
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+ if !self.exchange.contains("spot") {
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+ let long_diff = (self.local_position.long_pos - self.local_position_by_orders.long_pos).abs();
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+ let short_diff = (self.local_position.short_pos - self.local_position_by_orders.short_pos).abs();
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+ let diff_pos = max(long_diff, short_diff);
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+ let diff_pos_value = diff_pos * self.strategy.mp;
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+ if diff_pos_value > self.strategy._min_amount_value {
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+ warn!("{}发现仓位异常", _self.params.account_name);
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+ warn!(?_self.local_position_by_orders, ?_self.local_position);
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+ self.position_check_series.push(1);
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+ } else {
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+ self.position_check_series.push(0);
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+ }
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+
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+ // _self.position_check_series长度限制
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+ if self.position_check_series.len() > 30 {
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+ self.position_check_series.remove(0);
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+ }
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+
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+ // 连续不符合判定
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+ if self.position_check_series.iter().sum::<i8>() >= 30 {
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+ let exit_msg = format!("{} 合约连续检查本地仓位和推算仓位不符合，退出。", self.params.account_name);
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+ warn!(exit_msg);
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+ self.exit_msg = exit_msg;
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+ // TODO quant.stop()不存在
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+ // _self.stop()
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+ }
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+ }
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+
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+ // 下单异常风控
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+ if self.strategy.total_amount == Decimal::ZERO {
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+ let exit_msg = format!("{} 开仓量为0，退出。", self.params.account_name);
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+ warn!(exit_msg);
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+ self.exit_msg = exit_msg;
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+ // TODO quant.stop()不存在
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+ // _self.stop()
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+ }
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+
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+ // 行情更新异常风控
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+ let mut exchange_names = self.ref_name.clone();
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+ exchange_names.push(self.trade_name.clone());
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+ for exchange_name in exchange_names {
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+ let now_time_millis = Utc::now().timestamp_millis();
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+ let last_update_millis = self.market_update_time.get(&exchange_name).unwrap();
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+ let delay = now_time_millis - last_update_millis;
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+ let limit = global::public_params::MARKET_DELAY_LIMIT;
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+
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+ if delay > limit {
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+ let exit_msg = format!("{} ticker_name:{}, delay:{}ms，行情更新延迟过高，退出。",
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+ self.params.account_name, exchange_name, delay);
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+ warn!(?now_time_millis, ?last_update_millis, ?limit);
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+ warn!(exit_msg);
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+ self.exit_msg = exit_msg;
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+ // TODO quant.stop()不存在
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+ // _self.stop()
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+ }
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+ }
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+
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+ // 订单异常风控
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+ for (client_id, order) in self.local_orders {
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+ // 订单长时间停留 怀疑漏单 但未必一定漏 5min
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+ if Utc::now().timestamp_millis() - order.local_time > 5 * 60 * 1000 {
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+ let exit_msg = format!("{}订单停留过长，怀疑异常，退出，cid:{}。", self.params.account_name, client_id);
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+ warn!(exit_msg);
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+ self.exit_msg = exit_msg;
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+ // TODO quant.stop()不存在
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+ // _self.stop()
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+ }
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+ }
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+
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+ // 持仓均价异常风控
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+ if self.strategy.long_pos_bias != Decimal::ZERO {
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+ if self.strategy.long_hold_value > Decimal::TWO * self.strategy._min_amount_value {
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+ if self.strategy.long_pos_bias > dec!(4) || self.strategy.long_pos_bias < -Decimal::TWO {
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+ let exit_msg = format!("{} long_pos_bias: {}，持仓均价异常，退出。", self.params.account_name, self.strategy.long_pos_bias);
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+ warn!(exit_msg);
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+ self.exit_msg = exit_msg;
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+ // TODO quant.stop()不存在
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+ // _self.stop()
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+ }
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+ }
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+ }
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+ if self.strategy.short_pos_bias != Decimal::ZERO {
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+ if self.strategy.short_hold_value > Decimal::TWO * self.strategy._min_amount_value {
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+ if self.strategy.short_pos_bias > dec!(4) || self.strategy.short_pos_bias < -Decimal::TWO {
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+ let exit_msg = format!("{} short_pos_bias: {}，持仓均价异常，退出。", self.params.account_name, self.strategy.long_pos_bias);
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+ warn!(exit_msg);
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+ self.exit_msg = exit_msg;
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+ // TODO quant.stop()不存在
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+ // _self.stop()
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+ }
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+ }
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+ }
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+
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+ // 订单撤单异常风控
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+ for (client_id, cancel_delay) in self.local_cancel_log {
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+ if cancel_delay > 300 {
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+ let exit_msg = format!("{} 长时间无法撤销，client_id: {}，退出。", self.params.account_name, client_id);
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+ warn!(exit_msg);
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+ warn!(?_self.strategy.ref_price, ?_self.strategy.mp);
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+ self.exit_msg = exit_msg;
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+ // TODO quant.stop()不存在
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+ // _self.stop()
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+ }
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+ }
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+
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+ // 定价异常风控
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+ if (self.strategy.ref_price - self.strategy.mp).abs() / self.strategy.mp > dec!(0.03) {
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+ let exit_msg = format!("{} 定价偏离过大，怀疑定价异常，退出。", self.params.account_name);
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+ warn!(exit_msg);
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+ warn!(?_self.strategy.ref_price, ?_self.strategy.mp);
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+ self.exit_msg = exit_msg;
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+ // TODO quant.stop()不存在
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+ // _self.stop()
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+ }
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+ }
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+
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pub async fn before_trade(&mut self) -> bool {
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sleep(Duration::from_secs(1)).await;
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JiahengHe