New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

撤单检查限制有bug（TraderAdapter::checkCancelLimits()） #157

Open

yutaoli opened this issue Mar 31, 2023 · 2 comments

yutaoli commented Mar 31, 2023

如：配置了100s内最多只能20个撤单，实际运行时1秒一个撤单，可以撤30个单；

yutaoli changed the title ~~撤单检查限制有bug（checkCancelLimits）~~ 撤单检查限制有bug（WtSimpRiskMon.cpp的checkCancelLimits）

yutaoli changed the title ~~撤单检查限制有bug（WtSimpRiskMon.cpp的checkCancelLimits）~~ 撤单检查限制有bug（TraderAdapter::checkCancelLimits()）

Owner

wondertrader commented Apr 7, 2023

把你撤单限制的配置贴一下吧

Author

yutaoli commented Apr 7, 2023

我没有跑起来试过具体的撤单，当时是读代码发现的；
下面配置我运行起来过，但没有实际撤过单。
tdtraders.yaml
traders:

active: true
id: simnow # id
module: TraderCTP # 模块文件名，win下会自动转成xxx.dll，linux会自动转成libxxx.so
savedata: true # 是否保存数据，如果为true，会将接口拉取到的成交、订单、资金和持仓都写到本地文件中
riskmon: # 通道风控配置
active: true # 是否开启
policy: # 风控策略
default: # 默认策略，也可以针对不同的品种进行风控，格式如CFFEX.IF
cancel_stat_timespan: 100 # 撤单流控统计时间窗口，单位s
cancel_times_boundary: 20 # 时间窗口内最大撤单次数，如果超过该次数，撤单指令不会再发送
cancel_total_limits: 470 # 单日最大撤单笔数（只统计普通撤单，FAK和FOK会忽略掉）
order_stat_timespan: 10 # 下单流控统计时间窗口，单位s
order_times_boundary: 20 # 时间窗口内最大下单次数，如果超过该次数，下单指令不会发送

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment