CTA Engine Risk Configuration

Code WonderTrader

Summary

This configuration example sets up a CTA environment for a trading engine, including references to commodity, contract, holiday, session, fee, filter, execution, parser, and trader configuration files. It selects a trading session template and configures data storage and message publication. The example is useful as an overview of the components needed to assemble a futures trading environment.

It also enables a simple portfolio risk monitor with a base capital setting, periodic calculations, an intraday trailing drawdown threshold, and a risk scale that reduces the target position passed to execution. Multi-day trailing risk is disabled in this example. These are illustrative settings rather than recommended defaults: the document provides no explanation of calibration, testing, asset coverage, or observed results, and the risk behavior depends on the associated platform modules and referenced files.

Key ideas

The configuration connects market reference files, storage, fees, filters, execution, and trading channels.
The environment is set to run a CTA engine using a broad trading-session template.
The enabled risk monitor uses intraday trailing drawdown controls and scales target positions.
Multi-day trailing risk is disabled in the sample, and no evidence supports the example settings as general recommendations.

Tags

Futures Risk management Position sizing

Full text

# config.yaml


```yaml
#基础配置文件
basefiles:
    commodity: ../common/commodities.json   #品种列表
    contract: ../common/contracts.json      #合约列表
    holiday: ../common/holidays.json        #节假日列表
    hot: ../common/hots.json                #主力合约映射表
    session: ../common/sessions.json        #交易时间模板
    uft-8: true                             #基础文件是否是UFT8编码，这个一定要和文件编码统一！！！
#数据存储
data:
    store:
        module: WtDataStorage   #模块名
        path: ../storage/      #数据存储根目录
        #his_path: ''           #历史数据存储目录，如果历史数据存储目录是单独的，则可以通过该配置项进行设置
#环境配置
env:
    name: cta               #引擎名称：cta/hft/sel
    fees: ../common/fees.json   #佣金配置文件
    filters: filters.yaml       #过滤器配置文件，这个主要是用于盘中不停机干预的
    product:
        session: TRADING    #驱动交易时间模板，TRADING是一个覆盖国内全部交易品种的最大的交易时间模板，从夜盘21点到凌晨1点，再到第二天15:15，详见sessions.json
    riskmon:                #组合风控设置
        active: true            #是否开启
        module: WtRiskMonFact   #风控模块名，会根据平台自动补齐模块前缀和后缀
        name: SimpleRiskMon     #风控策略名，会自动创建对应的风控策略
        #以下为风控指标参数，该风控策略的主要逻辑就是日内和多日的跟踪止损风控，如果回撤超过阈值，则降低仓位
        base_amount: 5000000    #组合基础资金，WonderTrader只记录资金的增量，基础资金是用来模拟组合的基本资金用的，和增量相加得到动态权益
        basic_ratio: 101        #日内高点百分比，即当日最高动态权益是上一次的101%才会触发跟踪侄止损
        calc_span: 5            #计算时间间隔，单位s
        inner_day_active: true  #日内跟踪止损是否启用
        inner_day_fd: 20.0      #日内跟踪止损阈值，即如果收益率从高点回撤20%，则触发风控
        multi_day_active: false #多日跟踪止损是否启用
        multi_day_fd: 60.0      #多日跟踪止损阈值
        risk_scale: 0.3         #风控系数，即组合给执行器的目标仓位，是组合理论仓位的0.3倍，即真实仓位是三成仓
        risk_span: 30           #风控触发时间间隔，单位s。因为风控计算很频繁，如果已经触发风控，不需要每次重算都输出风控日志，加一个时间间隔，友好一些
    
executers: executers.yaml   #执行器配置文件
parsers: tdparsers.yaml     #行情通达配置文件
traders: tdtraders.yaml     #交易通道配置文件
bspolicy: actpolicy.yaml    #开平策略配置文件

notifier:
    active: true                    #是否向外发布消息
    url: ipc:///wtpy/wt_cat_fut.ipc #MQ发布地址，可以根据需要改成自己的地址

```

Shown in full with attribution under the source's licence. Licence: MIT

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.

Configuring a CTA Trading Engine and Portfolio Risk Monitor

Summary

Key ideas

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