rustrade-risk

Generic risk primitives for the rustrade trading bot framework. Nothing strategy- or exchange-specific lives here; if a piece of logic needs to special-case a particular brain or exchange, it belongs in the brain implementation, not in this crate.

What's inside

Usage

use rustrade_risk::{
    CircuitBreaker, CircuitBreakerConfig,
    PositionSizer,  SizingConfig,
    SessionPnl,     SessionPnlConfig,
};

let mut breaker = CircuitBreaker::new(CircuitBreakerConfig::default());
let     sizer   = PositionSizer::new(SizingConfig::default());
let mut pnl     = SessionPnl::new("BTCUSDT", SessionPnlConfig::default());

// Pre-trade gates (this order matters — see the workspace TODO.md):
if pnl.is_session_halted() || breaker.is_tripped() {
    return; // skip this entry
}

let contracts = sizer.contracts(price, contract_value);
// ... place order ...

// Post-close:
pnl.record_close(gross_pnl, fee);
if net < 0.0 { breaker.record_loss(); } else { breaker.record_win(); }

Design notes

• CircuitBreaker uses a rolling window rather than consecutive losses, because losses spaced hours apart would reset a consecutive counter before ever tripping it. A single win does not clear the tripped state — only elapsed cooldown does.
• SessionPnl classifies trades as W/L/B on net (after fees) PnL so that fee-flipped trades (small gross win, large fee = real loss) are counted correctly.
• PositionSizer returns 0 on any degenerate input rather than panicking; callers must treat 0 as "skip this trade, too small."

Status

Complete. 13 unit tests + 2 doc tests pass on the workspace's pinned toolchain. See TODO.md for the small polish items (proptest coverage, injectable clock for time-dependent tests).

Licence

MIT.