量化交易之One Piece篇 - 交易所风控配置文件内容

{
    "td_yd_pos_exchange": ["SHFE", "INE"],
    "CFFEX_setting": {
        "stock_index_futures": ["IC", "IF", "IH", "IM"],
        "treasury_futures": ["TS", "TF", "T"]
    }, 
    "cancel_order_times_upper_limit": {
        "stock_index_futures": 400,
        "commodity_futures": 500,
        "treasury_futures": 500
    },
    "open_lots_upper_limit": {
        "stock_index_futures": 500,
        "commodity_futures": {
            "p": 10000,
            "pg": 10000,
            "i2307": 1000,
            "i2308": 1000,
            "i2309": 1000,
            "i": 2000,
            "lh": 500,
            "jm": 1000,
            "j": 50,
            "SI": 3000,
            "ZC": 20
        }
    }
}

真实使用的情况, 需要留有一定的缓冲空间, 所以将配置中的最大撤单量减50;

{
    "td_yd_pos_exchange": ["SHFE", "INE"],
    "CFFEX_setting": {
        "stock_index_futures": ["IC", "IF", "IH", "IM"],
        "treasury_futures": ["TS", "TF", "T"]
    }, 
    "cancel_order_times_upper_limit": {
        "stock_index_futures": 350,
        "commodity_futures": 450,
        "treasury_futures": 450
    },
    "open_lots_upper_limit": {
        "stock_index_futures": 500,
        "commodity_futures": {
            "p": 10000,
            "pg": 10000,
            "i2307": 1000,
            "i2308": 1000,
            "i2309": 1000,
            "i": 2000,
            "lh": 500,
            "jm": 1000,
            "j": 50,
            "SI": 3000,
            "ZC": 20
        }
    }
}