Development of trading system (III) - risk control system

One 、 Introduction to risk control system

1、 Introduction to risk control

For procedural transaction users , Whether in the securities or futures markets , Every trading order needs to be fully business checked , Only after passing can they enter the order queue of the exchange for matching transactions .

In procedural trading , In addition to capital verification 、 Risk control inspection of positions and other foundations , Comply with the regulatory standards stipulated in the measures for the administration of abnormal transactions of the exchange , Eliminating and preventing abnormal trading behavior is also the top priority of procedural trading risk control , For example, whether there is self transaction 、 Intraday over trading 、 Frequent declaration and cancellation 、 Cancellation of large amount report 、 Flow rate control of declaration, etc .

If the trading order is not subject to strict business inspection, it will be sent to the exchange , May cause serious trading accidents , For example, Everbright Securities' Oolong index event .

The buying and selling prices and quantities of programmed trading orders in each exchange 、 Number of entrustments 、 There are clear management measures for transactions such as cancellation times , And will regularly publicize the investigation and treatment . If you break the rules , Will receive warnings and penalties from the exchange . If the abnormal transaction order can be found and intercepted by the risk control system before the transaction is executed , It can greatly reduce the violation rate of trading behavior .

2、 Risk control type

Risk control types are generally divided into beforehand 、 In the matter 、 After the event, there are three .

Ex ante risk control means that before the trading order is sent to the exchange , Risk detection of trading instructions , The detected transaction instructions are submitted to the transaction module for declaration , Trading orders that fail to pass the test will be rejected directly . For the trading strategy of pursuing low delay , Prior risk control needs to be completed in a very short time .

Event control mainly refers to the transaction process , The trading team generates signals about the strategy 、 The implementation status is monitored and the risk degree of the strategy is monitored in real time .

Afterwards risk control is to analyze the transaction data after hours , For example, whether there are errors in the policy algorithm 、 Whether the retreat of strategy is controllable 、 Whether there are unplanned positions, etc , So as to formulate more rigorous business risk control plans and optimize the performance of code algorithm adjustment strategies .

Two 、 Risk control in advance

1、 Procedural transaction risk control

For the trading team , The best risk control effect is to nip in the bud . therefore , Procedural trading is more about risk control in advance , In case of program error 、 Before operational errors occur, they will be strangled in the cradle , Ensure that the trading strategy meets the business risk control requirements and the compliance requirements of the exchange .

2、 Features of prior risk control

（1） Highly coupled with the trading system

trading system （ Order execution system 、 Order management system ） All trading instructions will be screened , Only the transaction instructions that pass the risk control check can trigger the transaction execution function to make an entry , If the risk control inspection fails, the order will be rejected .

（2） Low delay 、 high reliability

Ex ante risk control is to filter all trading orders , Therefore, there are strict requirements for reliability , If a judgment error occurs , It is likely to lead to trading accidents .

While ensuring the accuracy of risk control , Also consider the processing time , To avoid having an impact on the transaction , Missed trading opportunities .

3、 Ex ante risk control indicators

Generally, the risk control module of the quantitative trading system needs two types of risk control checks ：

（1） Hard indicators of the exchange , Avoid violating the regulatory requirements of the exchange . Indicators such as ： Self closing risk control 、 Cancellation risk control 、 The maximum number of hands for a single consignment 、 Maximum cancellation times for each product 、

The maximum number of entries per second, etc .

（2） Ensure that the operation of the strategy meets the expected risk control indicators , Avoid huge losses due to procedural errors . Indicators such as ： Maximum available funds 、 Maximum position 、 The maximum number of statements 、 Maximum declaration frequency 、 Maximum loss capital 、 Unilateral maximum position 、 Unilateral maximum exposure, etc .

4、 Prior risk control is realized

Prior risk control can be realized by setting parameters in the customer's trading strategy program , It can also be realized through the risk control module of the trading counter .

Different trading desks , The processing time of risk control is different . For the trading strategy of pursuing low delay and high frequency , Whether it's receiving quotes 、 Risk control judgment 、 Send order 、 Or receiving the transaction return can be summed up as a signal . The value of signals decreases with the passage of time , Therefore, the signal must be processed as soon as possible . The rapid recognition and processing of signals will affect the transaction rate of strategies 、 Yield will have a great impact .

If you choose to implement risk control inspection through high-performance high-speed trading counters , Ex ante risk control does not significantly increase transaction delay , That is, the transaction speed can be guaranteed , You can also get all-round risk control protection , And for a single policy 、 Differentiated risk control settings for a single contract , Help customers understand each strategy 、 More precise risk control for each contract .

For the risk control indicators provided by the counter , If not required , You can also choose to close at the counter . If you need to modify the risk control parameters in the disk , In real time .

5、 Prior risk control process

After the counter receives the consignment order , Risk control will calculate and judge according to the preset risk control indicators , Only orders that comply with the risk control rules will enter the transaction module , If it does not meet the requirements, the order will be rejected , And the log system will leave a trace of all risk controls 、 entrust 、 Transaction information , Facilitate post event risk control analysis .

 

3、 ... and 、 Through regulation

2018 year 9 month 7 Japan , China Securities Regulatory Commission issued 《 Announcement on Further Strengthening the information collection of customer trading terminals of futures operating institutions 》.

2019 year 11 month 20 Japan , The Shanghai Futures Exchange issued the notice on implementing the relevant requirements of penetrating supervision , All futures companies are required to strictly implement relevant requirements , And according to the 《 Technical specification for information collection and access authentication of customer trading terminals of futures companies 》 Relevant regulations , Do a good job of relay agent software management and certification , For the relay agent software that meets the regulatory requirements , Open access permission .

Penetrating supervision means that the regulatory authorities can see through the securities accounts of investors , Have a clear understanding of each account . Penetrating regulation has little impact on the normal trading of most investors , For procedural 、 High frequency trading has a great impact , See through key supervision is frequently reported for withdrawal 、 Multiple accounts and cross checking violate trading rules , Trading behavior that disturbs the market .

Penetrating supervision requires futures companies to authenticate and manage the trading terminal software used by investors , Make sure the software is authentic 、 accuracy 、 The function of completely collecting and submitting investors' trading terminal information . The transaction counter can encrypt and collect terminal information , It shall be submitted to the futures market monitoring center through encrypted channels , The monitoring center is based on the collected big data information , Establish information analysis and transaction behavior analysis system .