Checks planned orders against RiskLimits, holds trading stopped, and counts orders sent. More...

#include <algotradelib/src/strategy/risk.hpp>

Public Member Functions
	RiskGuard (RiskLimits limits={})
	Constructs a guard.
const RiskLimits &	limits () const noexcept
	Returns the limits.
bool	permits_phase (MarketPhase phase) const noexcept
	Tests whether a phase permits opening or increasing a position.
void	halt () noexcept
	Takes the operator's hold (HaltReason::OPERATOR): no order or cancellation is sent until resume().
void	halt (HaltReason reason, std::string detail)
	Takes a hold, with a description.
void	halt (HaltReason reason)
	Takes a hold, with no description.
void	resume () noexcept
	Releases the operator's hold; other holds, if any, still stop trading.
void	resume (HaltReason reason) noexcept
	Releases a hold; releasing one that is not held does nothing.
bool	halted () const noexcept
	Tests whether any hold is in force.
bool	halted (HaltReason reason) const noexcept
	Tests whether one hold is in force.
std::optional< HaltReason >	blocking_reason () const noexcept
	Returns the hold that stops placements, the most fundamental first.
std::optional< HaltReason >	blocking_reason_for (InstructionClass klass) const noexcept
	Returns the hold that stops an instruction class, the most fundamental first.
std::vector< HaltReason >	holds () const
	Returns every hold in force.
void	note_sent (std::chrono::system_clock::time_point when)
	Records that a request was sent, for the rate limit.
std::size_t	total_sent () const noexcept
	Returns how many orders have been recorded with note_sent over the guard's life.
std::size_t	recent_orders (std::chrono::system_clock::time_point now) const
	Returns how many orders were sent within RiskLimits::rate_window_ before an instant.
void	forget_before (std::chrono::system_clock::time_point cutoff)
	Forgets sends recorded before an instant, to bound memory.
template<typename Broker>
std::optional< GuardRejection >	check (const PlannedOrder &order, const Portfolio< Broker > &portfolio, const GuardInputs &inputs) const
	Checks one planned order against the limits and holds.
template<typename Broker>
GuardDecision	evaluate (const PlannedOrder &order, const Portfolio< Broker > &portfolio, const GuardInputs &inputs) const
	Checks one planned order, and reports whether only the closing exception admitted it.

Detailed Description

Checks planned orders against RiskLimits, holds trading stopped, and counts orders sent.

The rate limit counts what was recorded with note_sent. The runner records every placement or cancellation that was sent or may have been sent: accepted, rejected by the broker, or of unknown outcome. A request refused before sending (by this guard, the binding or the adapter) is not recorded, so it uses no budget.

Note: Not thread-safe; one guard belongs to one runner.

Definition at line 706 of file risk.hpp.

Constructor & Destructor Documentation

◆ RiskGuard()

algotradelib::strategy::RiskGuard::RiskGuard ( RiskLimits limits = {} )

inlineexplicit

Constructs a guard.

Parameters

limits The limits to enforce.

Definition at line 712 of file risk.hpp.

Member Function Documentation

◆ blocking_reason()

std::optional< HaltReason > algotradelib::strategy::RiskGuard::blocking_reason ( ) const

inlinenoexcept

Returns the hold that stops placements, the most fundamental first.

Returns: The first held reason in HaltReason order, or std::nullopt if none.

Definition at line 804 of file risk.hpp.

Referenced by evaluate().

◆ blocking_reason_for()

std::optional< HaltReason > algotradelib::strategy::RiskGuard::blocking_reason_for ( InstructionClass klass ) const

inlinenoexcept

Returns the hold that stops an instruction class, the most fundamental first.

Parameters

klass The instruction class; see halt_blocks.

Returns: The first held reason that stops klass, or std::nullopt if none.

Definition at line 813 of file risk.hpp.

Referenced by blocking_reason().

◆ check()

template<typename Broker>

std::optional< GuardRejection > algotradelib::strategy::RiskGuard::check	(	const PlannedOrder &	order,
		const Portfolio< Broker > &	portfolio,
		const GuardInputs &	inputs ) const

inline

Checks one planned order against the limits and holds.

Template Parameters

Broker The portfolio's broker tag.

Parameters

order	The order to check.
portfolio	The current positions and working orders.
inputs	The instant, phase, prices and currencies the checks need.

Returns: Why the order is refused, or std::nullopt if it is permitted.

See also: evaluate, which also reports whether the order was admitted by the closing exception.

Definition at line 905 of file risk.hpp.

◆ evaluate()

template<typename Broker>

GuardDecision algotradelib::strategy::RiskGuard::evaluate	(	const PlannedOrder &	order,
		const Portfolio< Broker > &	portfolio,
		const GuardInputs &	inputs ) const

inline

Checks one planned order, and reports whether only the closing exception admitted it.

Checks run in this order and the first failure is reported: holds, permitted universe, permitted phases (with the closing-toward-flat exception), order rate, order notional, sellable quantity, buying power, position ceiling, gross exposure ceiling.

Template Parameters

Broker The portfolio's broker tag.

Parameters

order	The order to check.
portfolio	The current positions and working orders.
inputs	The instant, phase, prices and currencies the checks need.

Returns: The decision.

Definition at line 927 of file risk.hpp.

Referenced by check().

◆ forget_before()

void algotradelib::strategy::RiskGuard::forget_before ( std::chrono::system_clock::time_point cutoff )

inline

Forgets sends recorded before an instant, to bound memory.

Parameters

cutoff Sends earlier than this are dropped; pass a time at least rate_window_ ago.

Definition at line 888 of file risk.hpp.

◆ halt() [1/3]

void algotradelib::strategy::RiskGuard::halt ( )

inlinenoexcept

Takes the operator's hold (HaltReason::OPERATOR): no order or cancellation is sent until resume().

This only stops sending ("quiesce"): working orders and positions are left as they are. To also cancel working orders or close positions, use runner::StopIntent with runner::PollingLoop, or a strategy such as vanilla::TimedLiquidation. The hold is in memory; runner::FileStopChannel and runner::SignalStop stop a running process from outside.

Definition at line 746 of file risk.hpp.

◆ halt() [2/3]

void algotradelib::strategy::RiskGuard::halt ( HaltReason reason )

inline

Takes a hold, with no description.

Parameters

reason The hold.

Definition at line 766 of file risk.hpp.

Referenced by halt().

◆ halt() [3/3]

void algotradelib::strategy::RiskGuard::halt	(	HaltReason	reason,
		std::string	detail )

inline

Takes a hold, with a description.

Taking a hold that is already held replaces its detail; one resume(reason) releases it however many times it was taken.

Parameters

reason	The hold.
detail	A description for the operator, returned by hold_detail.

Definition at line 757 of file risk.hpp.

◆ halted() [1/2]

bool algotradelib::strategy::RiskGuard::halted ( ) const

inlinenoexcept

Tests whether any hold is in force.

Returns: true if at least one hold is held.

Definition at line 784 of file risk.hpp.

◆ halted() [2/2]

bool algotradelib::strategy::RiskGuard::halted ( HaltReason reason ) const

inlinenoexcept

Tests whether one hold is in force.

Parameters

reason The hold.

Returns: true if it is held.

Definition at line 798 of file risk.hpp.

◆ holds()

std::vector< HaltReason > algotradelib::strategy::RiskGuard::holds ( ) const

inline

Returns every hold in force.

Returns: The held reasons, most fundamental first.

Definition at line 836 of file risk.hpp.

◆ limits()

const RiskLimits & algotradelib::strategy::RiskGuard::limits ( ) const

inlinenoexcept

Returns the limits.

Returns: The limits in force.

Definition at line 718 of file risk.hpp.

Referenced by RiskGuard().

◆ note_sent()

void algotradelib::strategy::RiskGuard::note_sent ( std::chrono::system_clock::time_point when )

inline

Records that a request was sent, for the rate limit.

The runner calls it for each placement or cancellation the broker accepted, rejected, or may have received (unknown outcome).

Parameters

when	When the order was sent.

Definition at line 854 of file risk.hpp.

◆ permits_phase()

bool algotradelib::strategy::RiskGuard::permits_phase ( MarketPhase phase ) const

inlinenoexcept

Tests whether a phase permits opening or increasing a position.

Parameters

phase The market phase.

Returns: true if RiskLimits::permitted_phases_ is absent or contains phase.

Definition at line 725 of file risk.hpp.

◆ recent_orders()

std::size_t algotradelib::strategy::RiskGuard::recent_orders ( std::chrono::system_clock::time_point now ) const

inline

Returns how many orders were sent within RiskLimits::rate_window_ before an instant.

Parameters

now	The instant to count back from.

Returns: The count.

Definition at line 874 of file risk.hpp.

Referenced by evaluate().

◆ resume() [1/2]

void algotradelib::strategy::RiskGuard::resume ( )

inlinenoexcept

Releases the operator's hold; other holds, if any, still stop trading.

Definition at line 769 of file risk.hpp.

Referenced by resume().

◆ resume() [2/2]

void algotradelib::strategy::RiskGuard::resume ( HaltReason reason )

inlinenoexcept

Releases a hold; releasing one that is not held does nothing.

Parameters

reason The hold.

Definition at line 775 of file risk.hpp.

◆ total_sent()

std::size_t algotradelib::strategy::RiskGuard::total_sent ( ) const

inlinenoexcept

Returns how many orders have been recorded with note_sent over the guard's life.

Unlike recent_orders, it never decreases, so a caller can difference it across a call to learn whether anything was sent in between.

Returns: The total count.

Definition at line 867 of file risk.hpp.

The documentation for this class was generated from the following file:

algotradelib/src/strategy/risk.hpp

Public Member Functions

Detailed Description

Constructor & Destructor Documentation

◆ RiskGuard()

Member Function Documentation

◆ blocking_reason()

◆ blocking_reason_for()

◆ check()

◆ evaluate()

◆ forget_before()

◆ halt() [1/3]

◆ halt() [2/3]

◆ halt() [3/3]

◆ halted() [1/2]

◆ halted() [2/2]

◆ holds()

◆ limits()

◆ note_sent()

◆ permits_phase()

◆ recent_orders()

◆ resume() [1/2]

◆ resume() [2/2]

◆ total_sent()