风控参数
| 参数 | 数值 |
|---|---|
| IMRFQFactor | 115% |
| IMQuoteFactor | 115% |
| IMTradeFactor | 105% |
| MinIM | 0 |
| MaxIndexDiscrepancy | 1% |
| LongFutureShock | 5% |
| ShortFutureShock | 5% |
| LongIVShock | 0% |
| ShortIVShock | 0% |
| ADLLongFutureShock | 5% |
| ADLShortFutureShock | 5% |
| ADLLongIVShock | 2% |
| ADLShortIVShock | 2% |
| FutureContingencyFactor | 0.6% |
| OptionContingencyFactor | 1% |
| InitialMarginFactor | 130% |
| UpFactor | 45% |
| DownFactor | 30% |
| LongTermVPower | 13% |
| ShortTermVPower | 30% |
| ATMRange | 10% |
| PriceShockRange | [-15%,-12%, ..., 15%] |
| ShareRate | 100% |
| MaxAaveRate | 41% |
注： 以上参数以 Dederi 官网公布的最新数值为准。