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.

Engine

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

Bases: nautilus_trader.common.component.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
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_rate ( self ) tuple

Return the current maximum order 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

Sizing

class FixedRiskSizer ( Instrument instrument )

Bases: nautilus_trader.risk.sizing.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: 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 abstract 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: 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.