hyperliquid_backtest::risk_manager

Struct RiskManager

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pub struct RiskManager { /* private fields */ }
Expand description

Risk manager for trading strategies

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impl RiskManager

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pub fn new(config: RiskConfig, initial_portfolio_value: f64) -> Self

Create a new risk manager with the specified configuration

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pub fn default(initial_portfolio_value: f64) -> Self

Create a new risk manager with default configuration

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pub fn config(&self) -> &RiskConfig

Get the current risk configuration

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pub fn update_config(&mut self, config: RiskConfig)

Update the risk configuration

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pub fn update_portfolio_value( &mut self, new_value: f64, realized_pnl_delta: f64, ) -> Result<()>

Update portfolio value and check daily risk limits

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pub fn validate_order( &self, order: &OrderRequest, current_positions: &HashMap<String, Position>, ) -> Result<()>

Validate an order against risk limits

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pub fn generate_stop_loss( &self, position: &Position, parent_order_id: &str, ) -> Option<RiskOrder>

Generate stop-loss order for a position

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pub fn generate_take_profit( &self, position: &Position, parent_order_id: &str, ) -> Option<RiskOrder>

Generate take-profit order for a position

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pub fn register_stop_loss(&mut self, order: RiskOrder)

Register a stop-loss order

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pub fn register_take_profit(&mut self, order: RiskOrder)

Register a take-profit order

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pub fn check_risk_orders( &mut self, current_prices: &HashMap<String, f64>, ) -> Vec<RiskOrder>

Check if any stop-loss or take-profit orders should be triggered

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pub fn should_stop_trading(&self) -> bool

Check if trading should be stopped due to risk limits

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pub fn activate_emergency_stop(&mut self)

Activate emergency stop

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pub fn deactivate_emergency_stop(&mut self)

Deactivate emergency stop

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pub fn daily_risk_metrics(&self) -> (f64, f64, f64)

Get current daily risk metrics

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pub fn calculate_required_margin(&self, position_value: f64) -> f64

Calculate required margin for a position

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pub fn available_margin(&self) -> f64

Get available margin

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pub fn update_available_margin(&mut self, margin: f64)

Update available margin

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pub fn calculate_volatility_adjusted_position_size( &self, symbol: &str, base_max_size: f64, ) -> f64

Calculate volatility-adjusted position size

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pub fn get_asset_class(&self, symbol: &str) -> Option<&AssetClass>

Get asset class for a symbol

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pub fn calculate_concentration_after_order( &self, current_positions: &HashMap<String, Position>, order: &OrderRequest, asset_class: &AssetClass, ) -> f64

Calculate concentration after order

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pub fn validate_correlation_limits( &self, current_positions: &HashMap<String, Position>, order: &OrderRequest, ) -> Result<()>

Validate correlation limits

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pub fn validate_portfolio_volatility( &self, current_positions: &HashMap<String, Position>, order: &OrderRequest, ) -> Result<()>

Validate portfolio volatility

Trait Implementations§

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impl Debug for RiskManager

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more

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