fix40::RiskManager Class Reference

风险控制模块 More...

#include <risk_manager.hpp>

Collaboration diagram for fix40::RiskManager:

Public Member Functions
	RiskManager ()=default
	默认构造函数
CheckResult	checkOrder (const Order &order, const Account &account, const Position &position, const Instrument &instrument, const MarketDataSnapshot &snapshot, OffsetFlag offsetFlag) const
	订单风控检查
CheckResult	checkMargin (const Order &order, const Account &account, const Instrument &instrument) const
	检查可用资金是否足够
CheckResult	checkPrice (const Order &order, const Instrument &instrument) const
	检查价格是否在涨跌停范围内
CheckResult	checkPosition (const Order &order, const Position &position) const
	检查平仓数量是否超过持仓
CheckResult	checkCounterParty (const Order &order, const MarketDataSnapshot &snapshot) const
	检查市价单是否有对手盘
double	calculateRequiredMargin (const Order &order, const Instrument &instrument) const
	计算订单所需保证金

Detailed Description

风险控制模块

负责订单提交前的风险检查，包括：

• 资金检查：验证可用资金是否足够支付保证金
• 价格检查：验证限价单价格是否在涨跌停范围内
• 持仓检查：验证平仓数量是否超过持仓

使用示例

RiskManager riskMgr;
 
Order order;
order.symbol = "IF2601";
order.side = OrderSide::BUY;
order.ordType = OrderType::LIMIT;
order.price = 4000.0;
order.orderQty = 2;
 
Account account("user001", 1000000.0);
Position position("user001", "IF2601");
Instrument instrument("IF2601", "CFFEX", "IF", 0.2, 300, 0.12);
instrument.updateLimitPrices(4200.0, 3800.0);
MarketDataSnapshot snapshot("IF2601");
snapshot.askPrice1 = 4000.2;
 
CheckResult result = riskMgr.checkOrder(order, account, position, instrument, snapshot, OffsetFlag::OPEN);
if (result.passed) {
    // 提交到撮合引擎
} else {
    // 拒绝订单，返回 result.rejectText
}

线程安全

所有公共方法都是线程安全的（无状态类）。

Constructor & Destructor Documentation

RiskManager()

fix40::RiskManager::RiskManager ( )

default

默认构造函数

Member Function Documentation

calculateRequiredMargin()

double fix40::RiskManager::calculateRequiredMargin	(	const Order &	order,
		const Instrument &	instrument
	)		const

计算订单所需保证金

Parameters

order	订单信息
instrument	合约信息

Returns

所需保证金金额

Note

市价单使用涨停价（买单）或跌停价（卖单）计算

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checkCounterParty()

CheckResult fix40::RiskManager::checkCounterParty	(	const Order &	order,
		const MarketDataSnapshot &	snapshot
	)		const

检查市价单是否有对手盘

验证市价单是否有可成交的对手盘。

Parameters

order	订单信息
snapshot	行情快照

Returns

检查结果

Note

买单需要有卖盘，卖单需要有买盘

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checkMargin()

CheckResult fix40::RiskManager::checkMargin	(	const Order &	order,
		const Account &	account,
		const Instrument &	instrument
	)		const

检查可用资金是否足够

验证账户可用资金是否足够支付开仓所需的保证金。

Parameters

order	订单信息
account	账户信息
instrument	合约信息

Returns

检查结果

计算公式

所需保证金 = 价格 × 数量 × 合约乘数 × 保证金率

Note

市价单使用涨停价（买单）或跌停价（卖单）计算保证金

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checkOrder()

CheckResult fix40::RiskManager::checkOrder	(	const Order &	order,
		const Account &	account,
		const Position &	position,
		const Instrument &	instrument,
		const MarketDataSnapshot &	snapshot,
		OffsetFlag	offsetFlag
	)		const

订单风控检查

对订单进行完整的风控检查，包括资金、价格、持仓等。

Parameters

order	待检查的订单
account	账户信息
position	持仓信息
instrument	合约信息
snapshot	行情快照
offsetFlag	开平标志

Returns

检查结果

检查顺序

1. 价格检查（限价单）
2. 资金检查（开仓）
3. 持仓检查（平仓）
4. 对手盘检查（市价单）

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checkPosition()

CheckResult fix40::RiskManager::checkPosition	(	const Order &	order,
		const Position &	position
	)		const

检查平仓数量是否超过持仓

验证平仓订单的数量是否超过当前持仓数量。

Parameters

order	订单信息
position	持仓信息

Returns

检查结果

Note

买单平空头持仓，卖单平多头持仓

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checkPrice()

CheckResult fix40::RiskManager::checkPrice	(	const Order &	order,
		const Instrument &	instrument
	)		const

检查价格是否在涨跌停范围内

验证限价单的价格是否在当日涨跌停价格范围内。

Parameters

order	订单信息
instrument	合约信息

Returns

检查结果

Note

市价单不进行价格检查

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The documentation for this class was generated from the following files:

• include/app/manager/risk_manager.hpp
• src/app/manager/risk_manager.cpp