feat: 关羽完成实时风险监控系统原型开发 - 16分钟冲刺完成

2026-03-21 18:00:46 +08:00
parent 992f8bd30c
commit e43c7a5214
7 changed files with 1475 additions and 0 deletions
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+"""
+实时风险阈值监控系统
+============
+
+实时监控风险指标，触发阈值自动预警：
+- 单日回撤预警
+- 累计回撤预警
+- 高仓位预警
+- 集中度预警
+- VaR超限预警
+"""
+from typing import Dict, List, Optional, Callable
+from datetime import datetime
+from dataclasses import dataclass
+from enum import Enum
+from risk_calculator import RiskMetrics, RealTimeRiskCalculator
+
+
+class AlertLevel(Enum):
+    """预警级别"""
+    INFO = "信息"
+    WARNING = "警告"
+    CRITICAL = "严重"
+    EMERGENCY = "紧急"
+
+
+@dataclass
+class RiskAlert:
+    """风险预警"""
+    alert_id: str
+    alert_type: str
+    level: AlertLevel
+    metric_name: str
+    current_value: float
+    threshold: float
+    timestamp: datetime
+    message: str
+    handled: bool = False
+    
+    def to_dict(self) -> Dict:
+        return {
+            'alert_id': self.alert_id,
+            'alert_type': self.alert_type,
+            'level': self.level.value,
+            'metric_name': self.metric_name,
+            'current_value': self.current_value,
+            'threshold': self.threshold,
+            'timestamp': self.timestamp.isoformat(),
+            'message': self.message,
+            'handled': self.handled
+        }
+
+
+class ThresholdConfig:
+    """阈值配置"""
+    
+    def __init__(self,
+               daily_drawdown_warning: float = 0.03,
+               daily_drawdown_critical: float = 0.05,
+               total_drawdown_warning: float = 0.10,
+               total_drawdown_critical: float = 0.15,
+               max_drawdown_critical: float = 0.20,
+               position_pct_warning: float = 0.80,
+               position_pct_critical: float = 0.95,
+               concentration_warning: float = 0.30,
+               concentration_critical: float = 0.50,
+               var_95_warning: float = 0.03,
+               var_95_critical: float = 0.05,
+               volatility_warning: float = 0.30,
+               volatility_critical: float = 0.50):
+        """初始化阈值配置"""
+        self.daily_drawdown_warning = daily_drawdown_warning
+        self.daily_drawdown_critical = daily_drawdown_critical
+        self.total_drawdown_warning = total_drawdown_warning
+        self.total_drawdown_critical = total_drawdown_critical
+        self.max_drawdown_critical = max_drawdown_critical
+        self.position_pct_warning = position_pct_warning
+        self.position_pct_critical = position_pct_critical
+        self.concentration_warning = concentration_warning
+        self.concentration_critical = concentration_critical
+        self.var_95_warning = var_95_warning
+        self.var_95_critical = var_95_critical
+        self.volatility_warning = volatility_warning
+        self.volatility_critical = volatility_critical
+    
+    @classmethod
+    def conservative(cls) -> 'ThresholdConfig':
+        """保守配置（严格控制）"""
+        return cls(
+            daily_drawdown_warning=0.02,
+            daily_drawdown_critical=0.03,
+            total_drawdown_warning=0.08,
+            total_drawdown_critical=0.12,
+            max_drawdown_critical=0.15,
+            position_pct_warning=0.70,
+            position_pct_critical=0.85,
+            concentration_warning=0.25,
+            concentration_critical=0.40,
+            var_95_warning=0.02,
+            var_95_critical=0.03,
+            volatility_warning=0.25,
+            volatility_critical=0.40
+        )
+    
+    @classmethod
+    def aggressive(cls) -> 'ThresholdConfig':
+        """进取配置（风险承受较高）"""
+        return cls(
+            daily_drawdown_warning=0.05,
+            daily_drawdown_critical=0.08,
+            total_drawdown_warning=0.15,
+            total_drawdown_critical=0.20,
+            max_drawdown_critical=0.25,
+            position_pct_warning=0.85,
+            position_pct_critical=0.95,
+            concentration_warning=0.40,
+            concentration_critical=0.60,
+            var_95_warning=0.04,
+            var_95_critical=0.06,
+            volatility_warning=0.40,
+            volatility_critical=0.60
+        )
+
+
+class RealTimeRiskMonitor:
+    """实时风险监控器"""
+    
+    def __init__(self, 
+                 config: Optional[ThresholdConfig] = None,
+                 risk_calculator: Optional[RealTimeRiskCalculator] = None):
+        """初始化"""
+        self.config = config or ThresholdConfig()
+        self.risk_calculator = risk_calculator or RealTimeRiskCalculator()
+        
+        # 预警列表
+        self.alerts: List[RiskAlert] = []
+        # 未处理预警
+        self.unhandled_alerts: List[RiskAlert] = []
+        # 预警回调
+        self.on_alert_callback: Optional[Callable[[RiskAlert], None]] = None
+        
+        # 告警计数
+        self._alert_counter = 0
+    
+    def _generate_alert_id(self) -> str:
+        """生成预警ID"""
+        self._alert_counter += 1
+        ts = datetime.now().strftime("%Y%m%d%H%M%S")
+        return f"ALERT-{ts}-{self._alert_counter:04d}"
+    
+    def check_daily_drawdown(self, metrics: RiskMetrics) -> Optional[RiskAlert]:
+        """检查单日回撤"""
+        dd = metrics.daily_drawdown
+        
+        if dd >= self.config.daily_drawdown_critical:
+            return RiskAlert(
+                alert_id=self._generate_alert_id(),
+                alert_type="DAILY_DRAWDOWN",
+                level=AlertLevel.CRITICAL,
+                metric_name="单日回撤",
+                current_value=dd,
+                threshold=self.config.daily_drawdown_critical,
+                timestamp=datetime.now(),
+                message=f"单日回撤 {dd:.2%} 超过临界阈值 {self.config.daily_drawdown_critical:.2%}"
+            )
+        elif dd >= self.config.daily_drawdown_warning:
+            return RiskAlert(
+                alert_id=self._generate_alert_id(),
+                alert_type="DAILY_DRAWDOWN",
+                level=AlertLevel.WARNING,
+                metric_name="单日回撤",
+                current_value=dd,
+                threshold=self.config.daily_drawdown_warning,
+                timestamp=datetime.now(),
+                message=f"单日回撤 {dd:.2%} 超过警告阈值 {self.config.daily_drawdown_warning:.2%}"
+            )
+        return None
+    
+    def check_total_drawdown(self, metrics: RiskMetrics) -> Optional[RiskAlert]:
+        """检查累计回撤"""
+        dd = metrics.total_drawdown
+        
+        if dd >= self.config.total_drawdown_critical:
+            return RiskAlert(
+                alert_id=self._generate_alert_id(),
+                alert_type="TOTAL_DRAWDOWN",
+                level=AlertLevel.CRITICAL,
+                metric_name="累计回撤",
+                current_value=dd,
+                threshold=self.config.total_drawdown_critical,
+                timestamp=datetime.now(),
+                message=f"累计回撤 {dd:.2%} 超过临界阈值 {self.config.total_drawdown_critical:.2%}"
+            )
+        elif dd >= self.config.total_drawdown_warning:
+            return RiskAlert(
+                alert_id=self._generate_alert_id(),
+                alert_type="TOTAL_DRAWDOWN",
+                level=AlertLevel.WARNING,
+                metric_name="累计回撤",
+                current_value=dd,
+                threshold=self.config.total_drawdown_warning,
+                timestamp=datetime.now(),
+                message=f"累计回撤 {dd:.2%} 超过警告阈值 {self.config.total_drawdown_warning:.2%}"
+            )
+        return None
+    
+    def check_max_drawdown(self, metrics: RiskMetrics) -> Optional[RiskAlert]:
+        """检查最大回撤"""
+        dd = metrics.max_drawdown
+        
+        if dd >= self.config.max_drawdown_critical:
+            return RiskAlert(
+                alert_id=self._generate_alert_id(),
+                alert_type="MAX_DRAWDOWN",
+                level=AlertLevel.CRITICAL,
+                metric_name="最大回撤",
+                current_value=dd,
+                threshold=self.config.max_drawdown_critical,
+                timestamp=datetime.now(),
+                message=f"最大回撤 {dd:.2%} 超过临界阈值 {self.config.max_drawdown_critical:.2%}，建议紧急止损"
+            )
+        return None
+    
+    def check_position_pct(self, metrics: RiskMetrics) -> Optional[RiskAlert]:
+        """检查仓位比例"""
+        pct = metrics.position_pct
+        
+        if pct >= self.config.position_pct_critical:
+            return RiskAlert(
+                alert_id=self._generate_alert_id(),
+                alert_type="HIGH_POSITION",
+                level=AlertLevel.CRITICAL,
+                metric_name="仓位比例",
+                current_value=pct,
+                threshold=self.config.position_pct_critical,
+                timestamp=datetime.now(),
+                message=f"仓位比例 {pct:.2%} 超过临界阈值 {self.config.position_pct_critical:.2%}"
+            )
+        elif pct >= self.config.position_pct_warning:
+            return RiskAlert(
+                alert_id=self._generate_alert_id(),
+                alert_type="HIGH_POSITION",
+                level=AlertLevel.WARNING,
+                metric_name="仓位比例",
+                current_value=pct,
+                threshold=self.config.position_pct_warning,
+                timestamp=datetime.now(),
+                message=f"仓位比例 {pct:.2%} 超过警告阈值 {self.config.position_pct_warning:.2%}"
+            )
+        return None
+    
+    def check_concentration(self, metrics: RiskMetrics) -> Optional[RiskAlert]:
+        """检查集中度"""
+        pct = metrics.concentration_pct
+        
+        if pct >= self.config.concentration_critical:
+            return RiskAlert(
+                alert_id=self._generate_alert_id(),
+                alert_type="CONCENTRATION",
+                level=AlertLevel.CRITICAL,
+                metric_name="持仓集中度",
+                current_value=pct,
+                threshold=self.config.concentration_critical,
+                timestamp=datetime.now(),
+                message=f"最大持仓集中度 {pct:.2%} 超过临界阈值 {self.config.concentration_critical:.2%}"
+            )
+        elif pct >= self.config.concentration_warning:
+            return RiskAlert(
+                alert_id=self._generate_alert_id(),
+                alert_type="CONCENTRATION",
+                level=AlertLevel.WARNING,
+                metric_name="持仓集中度",
+                current_value=pct,
+                threshold=self.config.concentration_warning,
+                timestamp=datetime.now(),
+                message=f"最大持仓集中度 {pct:.2%} 超过警告阈值 {self.config.concentration_warning:.2%}"
+            )
+        return None
+    
+    def check_var(self, metrics: RiskMetrics) -> Optional[RiskAlert]:
+        """检查VaR"""
+        var = metrics.var_95
+        
+        if var >= self.config.var_95_critical:
+            return RiskAlert(
+                alert_id=self._generate_alert_id(),
+                alert_type="VAR_OVERFLOW",
+                level=AlertLevel.CRITICAL,
+                metric_name="VaR(95%)",
+                current_value=var,
+                threshold=self.config.var_95_critical,
+                timestamp=datetime.now(),
+                message=f"95%置信度VaR {var:.2%} 超过临界阈值 {self.config.var_95_critical:.2%}"
+            )
+        elif var >= self.config.var_95_warning:
+            return RiskAlert(
+                alert_id=self._generate_alert_id(),
+                alert_type="VAR_OVERFLOW",
+                level=AlertLevel.WARNING,
+                metric_name="VaR(95%)",
+                current_value=var,
+                threshold=self.config.var_95_warning,
+                timestamp=datetime.now(),
+                message=f"95%置信度VaR {var:.2%} 超过警告阈值 {self.config.var_95_warning:.2%}"
+            )
+        return None
+    
+    def check_volatility(self, metrics: RiskMetrics) -> Optional[RiskAlert]:
+        """检查波动率"""
+        vol = metrics.volatility
+        
+        if vol >= self.config.volatility_critical:
+            return RiskAlert(
+                alert_id=self._generate_alert_id(),
+                alert_type="HIGH_VOLATILITY",
+                level=AlertLevel.CRITICAL,
+                metric_name="年化波动率",
+                current_value=vol,
+                threshold=self.config.volatility_critical,
+                timestamp=datetime.now(),
+                message=f"年化波动率 {vol:.2%} 超过临界阈值 {self.config.volatility_critical:.2%}"
+            )
+        elif vol >= self.config.volatility_warning:
+            return RiskAlert(
+                alert_id=self._generate_alert_id(),
+                alert_type="HIGH_VOLATILITY",
+                level=AlertLevel.WARNING,
+                metric_name="年化波动率",
+                current_value=vol,
+                threshold=self.config.volatility_warning,
+                timestamp=datetime.now(),
+                message=f"年化波动率 {vol:.2%} 超过警告阈值 {self.config.volatility_warning:.2%}"
+            )
+        return None
+    
+    def check_all(self, metrics: RiskMetrics) -> List[RiskAlert]:
+        """检查所有阈值"""
+        new_alerts = []
+        
+        checks = [
+            self.check_daily_drawdown,
+            self.check_total_drawdown,
+            self.check_max_drawdown,
+            self.check_position_pct,
+            self.check_concentration,
+            self.check_var,
+            self.check_volatility
+        ]
+        
+        for check_func in checks:
+            alert = check_func(metrics)
+            if alert:
+                new_alerts.append(alert)
+        
+        # 添加到列表
+        for alert in new_alerts:
+            self.alerts.append(alert)
+            self.unhandled_alerts.append(alert)
+            if self.on_alert_callback:
+                self.on_alert_callback(alert)
+        
+        return new_alerts
+    
+    def update_and_check(self, timestamp: datetime, 
+                       total_capital: float, cash: float) -> RiskMetrics:
+        """更新并检查所有风险指标"""
+        metrics = self.risk_calculator.calculate_all_metrics(
+            timestamp, total_capital, cash
+        )
+        new_alerts = self.check_all(metrics)
+        
+        if new_alerts:
+            print(f"⚠️  产生 {len(new_alerts)} 个新风险预警")
+            for alert in new_alerts:
+                print(f"  [{alert.level.value}] {alert.message}")
+        
+        return metrics
+    
+    def mark_handled(self, alert_id: str) -> bool:
+        """标记预警已处理"""
+        for alert in self.unhandled_alerts:
+            if alert.alert_id == alert_id:
+                alert.handled = True
+                self.unhandled_alerts.remove(alert)
+                return True
+        return False
+    
+    def get_unhandled_alerts(self) -> List[RiskAlert]:
+        """获取未处理预警"""
+        return self.unhandled_alerts
+    
+    def get_all_alerts(self) -> List[RiskAlert]:
+        """获取所有预警"""
+        return self.alerts
+    
+    def get_alerts_by_level(self, level: AlertLevel) -> List[RiskAlert]:
+        """按级别获取预警"""
+        return [a for a in self.alerts if a.level == level]
+    
+    def has_critical_alerts(self) -> bool:
+        """是否有严重级别的未处理预警"""
+        return any(a.level == AlertLevel.CRITICAL for a in self.unhandled_alerts)
+    
+    def has_emergency_alerts(self) -> bool:
+        """是否有紧急级别的未处理预警"""
+        return any(a.level == AlertLevel.EMERGENCY for a in self.unhandled_alerts)