Rewrite trader service for V4 P0
This commit is contained in:
Codex
@@ -1,163 +1,61 @@
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package com.quantai.trader.risk;
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import com.quantai.trader.config.TraderProperties;
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import com.quantai.trader.domain.ExecutionDecision;
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import com.quantai.trader.domain.ManagementDecision;
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import com.quantai.trader.domain.RiskDecision;
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import com.quantai.trader.domain.TraderAction;
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import com.quantai.trader.domain.TraderDecisionCycle;
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import com.quantai.trader.domain.TraderEntryPlan;
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import com.quantai.trader.domain.TraderPositionPath;
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import com.quantai.trader.domain.TraderRiskDecision;
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import com.quantai.trader.enums.TraderErrorCode;
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import com.quantai.trader.persistence.TraderRiskDecisionRepository;
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import com.quantai.trader.enums.TraderActionType;
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import org.slf4j.Logger;
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import org.slf4j.LoggerFactory;
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import org.springframework.stereotype.Component;
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import org.springframework.stereotype.Service;
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import java.math.BigDecimal;
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import java.math.MathContext;
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import java.math.RoundingMode;
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import java.time.Instant;
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import java.util.Map;
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@Component
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@Service
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public class TraderRiskGate {
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private static final Logger log = LoggerFactory.getLogger(TraderRiskGate.class);
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private static final MathContext MC = new MathContext(10, RoundingMode.HALF_UP);
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private final TraderProperties properties;
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private final TraderRiskDecisionRepository repository;
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public TraderRiskGate(TraderProperties properties, TraderRiskDecisionRepository repository) {
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this.properties = properties;
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this.repository = repository;
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public TraderRiskDecision evaluate(RiskGateInput input) {
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TraderRiskDecision decision;
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if (input.riskLimits().killSwitchActive() && input.pmDecision().candidateAction().increasesExposure()) {
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decision = block(input, "KILL_SWITCH_ACTIVE");
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} else if (input.riskLimits().executionBlocked()) {
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decision = block(input, "EXECUTION_BLOCKED");
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} else if (input.accountState().dailyDrawdownBps().compareTo(input.riskLimits().maxDailyLossBps()) >= 0) {
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decision = block(input, "MAX_DAILY_LOSS");
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} else if (input.accountState().portfolioExposureRatio().compareTo(input.riskLimits().maxTotalExposureRatio()) >= 0
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&& input.pmDecision().candidateAction().increasesExposure()) {
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decision = block(input, "MAX_TOTAL_EXPOSURE");
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} else if (input.positionState().liquidationBufferBps().compareTo(input.riskLimits().minLiquidationBufferBps()) < 0) {
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decision = forceClose(input, "LIQUIDATION_BUFFER_LOW");
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} else if (!input.snapshot().dataReady()) {
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decision = block(input, "DATA_NOT_READY");
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} else if (input.executionState().apiErrorCount() >= input.riskLimits().maxApiErrorCount()) {
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decision = block(input, "EXCHANGE_UNSTABLE");
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} else if (input.executionState().exchangeLatencyMs() > input.riskLimits().maxExchangeLatencyMs()) {
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decision = block(input, "EXCHANGE_LATENCY_HIGH");
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} else {
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decision = allow(input);
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}
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log.info("event=trader.risk.decided runId={} cycleId={} originalAction={} finalAction={} allow={} blocker={}",
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decision.runId(), decision.cycleId(), decision.originalAction(), decision.finalAction(), decision.allowAction(), decision.blocker());
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return decision;
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}
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public RiskDecision evaluate(TraderDecisionCycle cycle, TraderEntryPlan entryPlan, ExecutionDecision execution) {
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RiskDecision result = decide(entryPlan, execution);
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TraderRiskDecision persisted = new TraderRiskDecision(
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cycle.runId(),
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cycle.cycleId(),
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entryPlan.actionId(),
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null,
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entryPlan.entryAction(),
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properties.getRisk().getLeverageScreen(),
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entryPlan.plannedLegRatio(),
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maxLossBps(entryPlan),
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null,
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null,
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null,
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null,
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null,
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result.allowAction(),
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result.blocker(),
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result.details(),
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Instant.now()
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);
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repository.insert(persisted);
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log.info(
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"event=trader.risk.decision runId={} cycleId={} symbol={} playbookId={} playbookVersion={} state={} actionId={} actionType={} allowAction={} blocker={}",
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cycle.runId(),
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cycle.cycleId(),
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cycle.symbol(),
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cycle.playbookId(),
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cycle.playbookVersion(),
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cycle.state(),
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entryPlan.actionId(),
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entryPlan.entryAction(),
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result.allowAction(),
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result.blocker()
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);
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return result;
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private TraderRiskDecision allow(RiskGateInput input) {
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return new TraderRiskDecision("risk_" + input.pmDecision().cycleId(), input.pmDecision().runId(), input.pmDecision().cycleId(),
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input.pmDecision().pmDecisionId(), true, input.pmDecision().candidateAction(), input.pmDecision().candidateAction(), null,
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Map.of("risk", "pass"));
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}
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public RiskDecision evaluateManagement(
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TraderDecisionCycle cycle,
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TraderAction action,
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TraderPositionPath path,
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ManagementDecision management
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) {
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if (path == null || path.totalPositionRatio() == null) {
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throw new IllegalArgumentException("management risk evaluation requires an opened position path");
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}
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BigDecimal ratio = path.totalPositionRatio();
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RiskDecision result = new RiskDecision(true, null, BigDecimal.ONE, Map.of(
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"positionId", path.positionId(),
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"managementReason", management.reason(),
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"plannedTotalPositionRatio", ratio
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));
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TraderRiskDecision persisted = new TraderRiskDecision(
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cycle.runId(),
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cycle.cycleId(),
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action.actionId(),
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null,
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action.actionType(),
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properties.getRisk().getLeverageScreen(),
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ratio,
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BigDecimal.ZERO,
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null,
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null,
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null,
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null,
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null,
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true,
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null,
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result.details(),
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Instant.now()
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);
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repository.insert(persisted);
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log.info(
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"event=trader.risk.decision runId={} cycleId={} symbol={} playbookId={} playbookVersion={} state={} actionId={} actionType={} allowAction={} blocker={}",
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cycle.runId(),
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cycle.cycleId(),
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cycle.symbol(),
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cycle.playbookId(),
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cycle.playbookVersion(),
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cycle.state(),
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action.actionId(),
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action.actionType(),
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true,
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null
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);
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return result;
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private TraderRiskDecision block(RiskGateInput input, String blocker) {
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TraderActionType finalAction = input.pmDecision().candidateAction().increasesExposure() ? TraderActionType.WAIT : input.pmDecision().candidateAction();
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return new TraderRiskDecision("risk_" + input.pmDecision().cycleId(), input.pmDecision().runId(), input.pmDecision().cycleId(),
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input.pmDecision().pmDecisionId(), false, input.pmDecision().candidateAction(), finalAction, blocker,
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Map.of("blocker", blocker));
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}
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private RiskDecision decide(TraderEntryPlan entryPlan, ExecutionDecision execution) {
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if (!entryPlan.completeForEntry()) {
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return block(TraderErrorCode.TRADER_ENTRY_PLAN_INCOMPLETE.name(), Map.of("reason", "entry plan incomplete"));
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}
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if (execution.blocked()) {
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return block(execution.blocker(), Map.of("reason", execution.reason()));
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}
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if (entryPlan.plannedLegRatio().compareTo(BigDecimal.ZERO) <= 0
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|| entryPlan.plannedLegRatio().compareTo(properties.getSizing().getMaxSingleLegRatio()) > 0
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|| entryPlan.plannedLegRatio().compareTo(properties.getSizing().getMaxTotalPositionRatio()) > 0) {
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return block(TraderErrorCode.TRADER_RISK_BLOCKED.name(), Map.of(
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"reason", "planned position ratio exceeds P0 risk constraints",
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"plannedLegRatio", entryPlan.plannedLegRatio()
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));
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}
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return new RiskDecision(true, null, entryPlan.riskGateScore(), Map.of(
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"plannedLegRatio", entryPlan.plannedLegRatio(),
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"leverageScreen", properties.getRisk().getLeverageScreen(),
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"requireOneXNotNegative", properties.getRisk().isRequireOneXNotNegative()
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));
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}
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private RiskDecision block(String blocker, Map<String, Object> details) {
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return new RiskDecision(false, blocker, BigDecimal.ZERO, details);
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}
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private BigDecimal maxLossBps(TraderEntryPlan entryPlan) {
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if (entryPlan.entryPrice() == null || entryPlan.stopPrice() == null || entryPlan.entryPrice().compareTo(BigDecimal.ZERO) <= 0) {
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return BigDecimal.ZERO;
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}
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return entryPlan.entryPrice()
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.subtract(entryPlan.stopPrice(), MC)
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.abs()
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.divide(entryPlan.entryPrice(), MC)
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.multiply(BigDecimal.valueOf(10_000), MC)
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.setScale(8, RoundingMode.HALF_UP);
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private TraderRiskDecision forceClose(RiskGateInput input, String blocker) {
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TraderActionType finalAction = input.positionState().side().isShort() ? TraderActionType.CLOSE_SHORT : TraderActionType.CLOSE_LONG;
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return new TraderRiskDecision("risk_" + input.pmDecision().cycleId(), input.pmDecision().runId(), input.pmDecision().cycleId(),
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input.pmDecision().pmDecisionId(), true, input.pmDecision().candidateAction(), finalAction, blocker,
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Map.of("blocker", blocker, "forced", true));
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}
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}
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