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Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
2026-03-01 22:47:39 +01:00

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risk

Enterprise risk management for HFT.

Key Types

  • RiskEngine — central risk evaluation and enforcement
  • AtomicKillSwitch — atomic trading halt with Redis coordination
  • KellySizer — Kelly criterion position sizing
  • StressTester — extreme market scenario simulation
  • ComplianceValidator — SOX, MiFID II regulatory checks
  • DrawdownMonitor — peak-to-trough equity tracking
  • CircuitBreaker — threshold-based trading pauses
  • CorrelationMonitor — cross-asset correlation tracking

Value at Risk

Four VaR methods plus Expected Shortfall (CVaR): historical simulation, Monte Carlo, parametric (variance-covariance).

Config Presets

  • development_config() — relaxed limits for local testing
  • production_config() — 5ms safety check timeout, strict position limits