In quantitative trading, risk control is the top priority for ensuring capital safety. QuantMesh has built a comprehensive risk control mechanism that protects your capital from multiple dimensions. This article details QuantMesh's risk control system, including real-time monitoring, automatic circuit breakers, balance checks, and more.
The Importance of Risk Control
Why Do We Need Risk Control?
In automated trading systems, risks are everywhere:
- Market Risk: Extreme price volatility can cause huge losses
- Technical Risk: System failures, network interruptions, API anomalies
- Operational Risk: Parameter configuration errors, improper capital allocation
- Liquidity Risk: Insufficient market depth, unable to execute in time
Without a comprehensive risk control system, a small error or anomaly can lead to total capital loss.
QuantMesh Risk Control System Architecture
QuantMesh's risk control system adopts a multi-layer protection design:
Pre-flight Checks → Runtime Monitoring → Auto Protection → Reconciliation
1. Pre-flight Checks
Before QuantMesh starts, the system performs a series of checks:
Balance Check:
- Verify account total balance is sufficient
- Check available trading balance meets strategy requirements
- Ensure sufficient balances for each currency
Configuration Validation:
- Price range: upper limit must be greater than lower limit
- Grid number: must be greater than 0 and reasonable
- Investment amount: cannot exceed available balance
- Exchange configuration: API key format is correct
- Trading pair: exists on exchange and is tradable
Exchange Connection Test:
- WebSocket connection test
- REST API connection test
- API permission verification
- Order query function test
2. Runtime Monitoring
During system operation, QuantMesh continuously monitors various indicators:
Price Monitoring:
- Price change magnitude: If single change exceeds threshold (e.g., 5%), trigger alert
- Price volatility: Monitor short-term volatility, pause trading when abnormal
- Price trend: Detect abnormal price trends, prevent continuous trading in wrong direction
Volume Anomaly Detection:
- Calculate average volume during normal trading hours
- If current volume suddenly increases 3-5x, mark as anomaly
- Automatically pause trading, wait for market stability
Order Status Tracking:
- Monitor pending orders, auto-cancel if timeout
- Track partially filled orders
- Record filled orders for reconciliation
- Log canceled orders with reasons
Balance Monitoring:
- Compare real-time balance with expected balance
- Verify balance changes match trading logic
- Detect unauthorized fund movements
3. Automatic Circuit Breaker
When the system detects anomalies, it automatically triggers circuit breaker:
Trigger Conditions:
- Price anomaly: Single price change exceeds 10%
- Volume anomaly: Volume suddenly increases 5x
- Continuous losses: Losses exceed threshold in short time
- API anomaly: Exchange API returns errors
- Network anomaly: Connection interrupted for over 30 seconds
Circuit Breaker Process:
Anomaly Detection → Trigger Breaker → Cancel All Orders → Pause Trading → Send Alert → Wait for Recovery
4. Reconciliation
System periodically reconciles local state with exchange:
- Compare local orders with exchange orders
- Clean up expired orders
- Check data consistency
- Sync balance and positions
Best Practices
-
Set Reasonable Parameters
- Minimum balance: Set appropriate minimum balance requirement
- Circuit breaker threshold: Adjust based on market volatility
- Monitoring frequency: Balance frequency and system performance
-
Regular Log Review
- Check system logs daily
- Pay attention to alerts
- Detect and handle anomalies timely
-
Diversify Investment
- Don't invest too much in a single coin
- Use multiple exchanges to diversify risk
- Set maximum position limit per coin
-
Keep System Updated
- Update QuantMesh versions timely
- Pay attention to security patches
- Test new versions before deployment
Common Questions
Q: How to recover after circuit breaker?
A: System will automatically attempt recovery after 5 minutes. You can also check logs and manually recover after confirming everything is normal.
Q: How to set circuit breaker threshold?
A: Set risk_control.circuit_breaker_threshold in config file, recommended to adjust based on historical volatility.
Q: Will balance checks affect performance?
A: No. Balance checks are performed asynchronously and won't affect trading execution speed.
Summary
QuantMesh's risk control system protects your capital from multiple dimensions:
- ✅ Pre-flight Checks - Ensure correct configuration and sufficient balance
- ✅ Real-time Monitoring - Continuously monitor price, volume, order status
- ✅ Automatic Circuit Breaker - Immediately stop trading when anomalies occur
- ✅ Balance Management - Multiple balance checks to ensure fund safety
- ✅ State Synchronization - Periodic reconciliation to ensure data consistency
Through comprehensive risk control mechanisms, QuantMesh allows you to trade automatically with confidence, without worrying about system risks.
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