risk
Enterprise risk management for HFT.
Key Types
RiskEngine— central risk evaluation and enforcementAtomicKillSwitch— atomic trading halt with Redis coordinationKellySizer— Kelly criterion position sizingStressTester— extreme market scenario simulationComplianceValidator— SOX, MiFID II regulatory checksDrawdownMonitor— peak-to-trough equity trackingCircuitBreaker— threshold-based trading pausesCorrelationMonitor— 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 testingproduction_config()— 5ms safety check timeout, strict position limits