Phase 0 completion: NT8 SDK core framework with risk management and position sizing
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Billy Valentine
291
src/NT8.Core/Risk/BasicRiskManager.cs
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291
src/NT8.Core/Risk/BasicRiskManager.cs
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using NT8.Core.Common.Models;
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using NT8.Core.Logging;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Threading.Tasks;
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namespace NT8.Core.Risk
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{
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/// <summary>
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/// Basic risk manager implementing Tier 1 risk controls
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/// Thread-safe implementation using locks for state consistency
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/// </summary>
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public class BasicRiskManager : IRiskManager
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{
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private readonly ILogger _logger;
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private readonly object _lock = new object();
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// Risk state - protected by _lock
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private double _dailyPnL;
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private double _maxDrawdown;
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private bool _tradingHalted;
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private DateTime _lastUpdate = DateTime.UtcNow;
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private readonly Dictionary<string, double> _symbolExposure = new Dictionary<string, double>();
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public BasicRiskManager(ILogger logger)
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{
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if (logger == null) throw new ArgumentNullException("logger");
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_logger = logger;
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}
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public RiskDecision ValidateOrder(StrategyIntent intent, StrategyContext context, RiskConfig config)
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{
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if (intent == null) throw new ArgumentNullException("intent");
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if (context == null) throw new ArgumentNullException("context");
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if (config == null) throw new ArgumentNullException("config");
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lock (_lock)
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{
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// Check if trading is halted
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if (_tradingHalted)
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{
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_logger.LogWarning("Order rejected - trading halted by risk manager");
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var haltedMetrics = new Dictionary<string, object>();
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haltedMetrics.Add("halted", true);
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haltedMetrics.Add("daily_pnl", _dailyPnL);
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return new RiskDecision(
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allow: false,
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rejectReason: "Trading halted by risk manager",
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modifiedIntent: null,
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riskLevel: RiskLevel.Critical,
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riskMetrics: haltedMetrics
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);
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}
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// Tier 1: Daily loss cap
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if (_dailyPnL <= -config.DailyLossLimit)
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{
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_tradingHalted = true;
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_logger.LogCritical("Daily loss limit breached: {0:C} <= {1:C}", _dailyPnL, -config.DailyLossLimit);
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var limitMetrics = new Dictionary<string, object>();
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limitMetrics.Add("daily_pnl", _dailyPnL);
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limitMetrics.Add("limit", config.DailyLossLimit);
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return new RiskDecision(
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allow: false,
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rejectReason: String.Format("Daily loss limit breached: {0:C}", _dailyPnL),
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modifiedIntent: null,
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riskLevel: RiskLevel.Critical,
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riskMetrics: limitMetrics
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);
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}
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// Tier 1: Per-trade risk limit
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var tradeRisk = CalculateTradeRisk(intent, context);
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if (tradeRisk > config.MaxTradeRisk)
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{
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_logger.LogWarning("Trade risk too high: {0:C} > {1:C}", tradeRisk, config.MaxTradeRisk);
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var riskMetrics = new Dictionary<string, object>();
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riskMetrics.Add("trade_risk", tradeRisk);
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riskMetrics.Add("limit", config.MaxTradeRisk);
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return new RiskDecision(
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allow: false,
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rejectReason: String.Format("Trade risk too high: {0:C}", tradeRisk),
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modifiedIntent: null,
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riskLevel: RiskLevel.High,
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riskMetrics: riskMetrics
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);
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}
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// Tier 1: Position limits
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var currentPositions = GetOpenPositionCount();
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if (currentPositions >= config.MaxOpenPositions && context.CurrentPosition.Quantity == 0)
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{
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_logger.LogWarning("Max open positions exceeded: {0} >= {1}", currentPositions, config.MaxOpenPositions);
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var positionMetrics = new Dictionary<string, object>();
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positionMetrics.Add("open_positions", currentPositions);
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positionMetrics.Add("limit", config.MaxOpenPositions);
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return new RiskDecision(
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allow: false,
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rejectReason: String.Format("Max open positions exceeded: {0}", currentPositions),
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modifiedIntent: null,
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riskLevel: RiskLevel.Medium,
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riskMetrics: positionMetrics
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);
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}
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// All checks passed - determine risk level
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var riskLevel = DetermineRiskLevel(config);
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_logger.LogDebug("Order approved: {0} {1} risk=${2:F2} level={3}", intent.Symbol, intent.Side, tradeRisk, riskLevel);
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var successMetrics = new Dictionary<string, object>();
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successMetrics.Add("trade_risk", tradeRisk);
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successMetrics.Add("daily_pnl", _dailyPnL);
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successMetrics.Add("max_drawdown", _maxDrawdown);
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successMetrics.Add("open_positions", currentPositions);
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return new RiskDecision(
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allow: true,
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rejectReason: null,
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modifiedIntent: null,
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riskLevel: riskLevel,
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riskMetrics: successMetrics
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);
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}
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}
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private static double CalculateTradeRisk(StrategyIntent intent, StrategyContext context)
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{
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// Get tick value for symbol - this will be enhanced in later phases
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var tickValue = GetTickValue(intent.Symbol);
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return intent.StopTicks * tickValue;
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}
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private static double GetTickValue(string symbol)
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{
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// Static tick values for Phase 0 - will be configurable in Phase 1
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switch (symbol)
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{
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case "ES": return 12.50;
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case "MES": return 1.25;
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case "NQ": return 5.00;
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case "MNQ": return 0.50;
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case "CL": return 10.00;
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case "GC": return 10.00;
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default: return 12.50; // Default to ES
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}
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}
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private int GetOpenPositionCount()
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{
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// For Phase 0, return simplified count
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// Will be enhanced with actual position tracking in Phase 1
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return _symbolExposure.Count(kvp => Math.Abs(kvp.Value) > 0.01);
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}
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private RiskLevel DetermineRiskLevel(RiskConfig config)
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{
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var lossPercent = Math.Abs(_dailyPnL) / config.DailyLossLimit;
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if (lossPercent >= 0.8) return RiskLevel.High;
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if (lossPercent >= 0.5) return RiskLevel.Medium;
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return RiskLevel.Low;
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}
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public void OnFill(OrderFill fill)
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{
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if (fill == null) throw new ArgumentNullException("fill");
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lock (_lock)
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{
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_lastUpdate = DateTime.UtcNow;
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// Update symbol exposure
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var fillValue = fill.Quantity * fill.FillPrice;
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if (_symbolExposure.ContainsKey(fill.Symbol))
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{
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_symbolExposure[fill.Symbol] += fillValue;
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}
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else
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{
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_symbolExposure[fill.Symbol] = fillValue;
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}
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_logger.LogDebug("Fill processed: {0} {1} @ {2:F2}, Exposure: {3:C}",
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fill.Symbol, fill.Quantity, fill.FillPrice, _symbolExposure[fill.Symbol]);
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}
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}
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public void OnPnLUpdate(double netPnL, double dayPnL)
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{
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lock (_lock)
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{
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var oldDailyPnL = _dailyPnL;
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_dailyPnL = dayPnL;
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_maxDrawdown = Math.Min(_maxDrawdown, dayPnL);
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_lastUpdate = DateTime.UtcNow;
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if (Math.Abs(dayPnL - oldDailyPnL) > 0.01)
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{
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_logger.LogDebug("P&L Update: Daily={0:C}, Max DD={1:C}", dayPnL, _maxDrawdown);
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}
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// Check for emergency conditions
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CheckEmergencyConditions(dayPnL);
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}
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}
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private void CheckEmergencyConditions(double dayPnL)
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{
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// Emergency halt if daily loss exceeds 90% of limit
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// Using a default limit of 1000 as this method doesn't have access to config
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// In Phase 1, this should be improved to use the actual config value
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if (dayPnL <= -(1000 * 0.9) && !_tradingHalted)
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{
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_tradingHalted = true;
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_logger.LogCritical("Emergency halt triggered at 90% of daily loss limit: {0:C}", dayPnL);
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}
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}
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public async Task<bool> EmergencyFlatten(string reason)
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{
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if (String.IsNullOrEmpty(reason)) throw new ArgumentException("Reason required", "reason");
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lock (_lock)
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{
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_tradingHalted = true;
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_logger.LogCritical("Emergency flatten triggered: {0}", reason);
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}
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// In Phase 0, this is a placeholder
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// Phase 1 will implement actual position flattening via OMS
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await Task.Delay(100);
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_logger.LogInformation("Emergency flatten completed");
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return true;
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}
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public RiskStatus GetRiskStatus()
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{
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lock (_lock)
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{
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var alerts = new List<string>();
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if (_tradingHalted)
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alerts.Add("Trading halted");
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if (_dailyPnL <= -500) // Half of typical daily limit
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alerts.Add(String.Format("Significant daily loss: {0:C}", _dailyPnL));
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if (_maxDrawdown <= -1000)
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alerts.Add(String.Format("Large drawdown: {0:C}", _maxDrawdown));
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return new RiskStatus(
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tradingEnabled: !_tradingHalted,
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dailyPnL: _dailyPnL,
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dailyLossLimit: 1000, // Will come from config in Phase 1
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maxDrawdown: _maxDrawdown,
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openPositions: GetOpenPositionCount(),
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lastUpdate: _lastUpdate,
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activeAlerts: alerts
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);
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}
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}
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/// <summary>
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/// Reset daily state - typically called at start of new trading day
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/// </summary>
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public void ResetDaily()
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{
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lock (_lock)
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{
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_dailyPnL = 0;
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_maxDrawdown = 0;
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_tradingHalted = false;
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_symbolExposure.Clear();
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_lastUpdate = DateTime.UtcNow;
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_logger.LogInformation("Daily risk state reset");
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}
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}
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}
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}
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