Risk ¶

The risk subpackage groups all risk specific components and tooling.

Included is a PositionSizer component which can be used by trading strategies to help with risk management through position sizing.

class RiskEngine ( PortfolioFacade portfolio , MessageBus msgbus , Cache cache , Clock clock , Logger logger , config: Optional[RiskEngineConfig] = None ) ¶

Bases: Component

Provides a high-performance risk engine.

The RiskEngine is responsible for global strategy and portfolio risk within the platform. This includes both pre-trade risk checks and post-trade risk monitoring.

Possible trading states:

ACTIVE (trading is enabled).
REDUCING (only new orders or updates which reduce an open position are allowed).
HALTED (all trading commands except cancels are denied).

Parameters :

portfolio ( PortfolioFacade ) – The portfolio for the engine.
msgbus ( MessageBus ) – The message bus for the engine.
cache ( Cache ) – The cache for the engine.
clock ( Clock ) – The clock for the engine.
logger ( Logger ) – The logger for the engine.
config ( RiskEngineConfig , optional ) – The configuration for the instance.

Raises :

TypeError – If config is not of type RiskEngineConfig .

command_count ¶

The total count of commands received by the engine.

Returns :: int

debug ¶

If debug mode is active (will provide extra debug logging).

Returns :: bool

degrade ( self ) → void ¶

Degrade the component.

While executing on_degrade() , any exception will be logged and reraised. The component will remain in a DEGRADING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

dispose ( self ) → void ¶

Dispose of the component.

While executing on_dispose() , any exception will be logged and reraised. The component will remain in a DISPOSING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

event_count ¶

The total count of events received by the engine.

Returns :: int

execute ( self , Command command ) → void ¶

Execute the given command.

Parameters :: command ( Command ) – The command to execute.

fault ( self ) → void ¶

Fault the component.

This method is idempotent and irreversible. No other methods should be called after faulting.

While executing on_fault() , any exception will be logged and reraised. The component will remain in a FAULTING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

classmethod fully_qualified_name ( type cls ) → str ¶

Return the fully qualified name for the components class.

Returns :: str

References

https://www.python.org/dev/peps/pep-3155/

id ¶

The components ID.

Returns :: ComponentId

is_bypassed ¶

If the risk engine is completely bypassed.

Returns :: bool

is_degraded ¶

Return whether the current component state is DEGRADED .

Returns :: bool

is_disposed ¶

Return whether the current component state is DISPOSED .

Returns :: bool

is_faulted ¶

Return whether the current component state is FAULTED .

Returns :: bool

is_initialized ¶

Return whether the component has been initialized (component.state >= INITIALIZED ).

Returns :: bool

is_running ¶

Return whether the current component state is RUNNING .

Returns :: bool

is_stopped ¶

Return whether the current component state is STOPPED .

Returns :: bool

max_notional_per_order ( self , InstrumentId instrument_id ) ¶

Return the current maximum notional per order for the given instrument ID.

Returns :: Decimal or None

max_notionals_per_order ( self ) → dict ¶

Return the current maximum notionals per order settings.

Returns :: dict[InstrumentId, Decimal]

max_order_modify_rate ( self ) → tuple ¶

Return the current maximum order modify rate limit setting.

Returns :: (int, timedelta) – The limit per timedelta interval.

max_order_submit_rate ( self ) → tuple ¶

Return the current maximum order submit rate limit setting.

Returns :: (int, timedelta) – The limit per timedelta interval.

process ( self , Event event ) → void ¶

Process the given event.

Parameters :: event ( Event ) – The event to process.

reset ( self ) → void ¶

Reset the component.

All stateful fields are reset to their initial value.

While executing on_reset() , any exception will be logged and reraised. The component will remain in a RESETTING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

resume ( self ) → void ¶

Resume the component.

While executing on_resume() , any exception will be logged and reraised. The component will remain in a RESUMING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

set_max_notional_per_order ( self , InstrumentId instrument_id , new_value ) → void ¶

Set the maximum notional value per order for the given instrument ID.

Passing a new_value of None will disable the pre-trade risk max notional check.

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the max notional.
new_value ( integer , float , string or Decimal ) – The max notional value to set.

Raises :

decimal.InvalidOperation – If new_value not a valid input for decimal.Decimal .
ValueError – If new_value is not None and not positive.

set_trading_state ( self , TradingState state ) → void ¶

Set the trading state for the engine.

Parameters :: state ( TradingState ) – The state to set.

start ( self ) → void ¶

Start the component.

While executing on_start() , any exception will be logged and reraised. The component will remain in a STARTING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

state ¶

Return the components current state.

Returns :: ComponentState

stop ( self ) → void ¶

Stop the component.

While executing on_stop() , any exception will be logged and reraised. The component will remain in a STOPPING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

trader_id ¶

The trader ID associated with the component.

Returns :: TraderId

trading_state ¶

The current trading state for the engine.

Returns :: TradingState

type ¶

The components type.

Returns :: type

class FixedRiskSizer ( Instrument instrument ) ¶

Bases: PositionSizer

Provides position sizing calculations based on a given risk.

Parameters :: instrument ( Instrument ) – The instrument for position sizing.

calculate ( self , Price entry , Price stop_loss , Money equity , risk: Decimal , commission_rate: Decimal = Decimal(0) , exchange_rate: Decimal = Decimal(1) , hard_limit: Optional[Decimal] = None , unit_batch_size: Decimal = Decimal(1) , int units=1 ) → Quantity ¶

Calculate the position size quantity.

Parameters :

entry ( Price ) – The entry price.
stop_loss ( Price ) – The stop loss price.
equity ( Money ) – The account equity.
risk ( Decimal ) – The risk percentage.
exchange_rate ( Decimal ) – The exchange rate for the instrument quote currency vs account currency.
commission_rate ( Decimal ) – The commission rate (>= 0).
hard_limit ( Decimal , optional ) – The hard limit for the total quantity (>= 0).
unit_batch_size ( Decimal ) – The unit batch size (> 0).
units ( int ) – The number of units to batch the position into (> 0).

Raises :

ValueError – If risk_bp is not positive (> 0).
ValueError – If xrate is not positive (> 0).
ValueError – If commission_rate is negative (< 0).
ValueError – If hard_limit is not None and is not positive (> 0).
ValueError – If unit_batch_size is not positive (> 0).
ValueError – If units is not positive (> 0).

Returns :

Quantity

instrument ¶

The instrument for position sizing.

Returns :: Instrument

update_instrument ( self , Instrument instrument ) → void ¶

Update the internal instrument with the given instrument.

Parameters :: instrument ( Instrument ) – The instrument for the update.
Raises :: ValueError – If instrument does not equal the currently held instrument.

class PositionSizer ( Instrument instrument ) ¶

Bases: object

The base class for all position sizers.

Parameters :: instrument ( Instrument ) – The instrument for position sizing.

Warning

This class should not be used directly, but through a concrete subclass.

calculate ( self , Price entry , Price stop_loss , Money equity , risk: Decimal , commission_rate: Decimal = Decimal(0) , exchange_rate: Decimal = Decimal(1) , hard_limit: Optional[Decimal] = None , unit_batch_size: Decimal = Decimal(1) , int units=1 ) → Quantity ¶: Abstract method (implement in subclass).

instrument ¶

The instrument for position sizing.

Returns :: Instrument

update_instrument ( self , Instrument instrument ) → void ¶

Update the internal instrument with the given instrument.

Parameters :: instrument ( Instrument ) – The instrument for the update.
Raises :: ValueError – If instrument does not equal the currently held instrument.