Codex
65 lines
3.7 KiB
Java
65 lines
3.7 KiB
Java
package com.quantai.trader.risk;
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import com.quantai.trader.domain.TraderRiskDecision;
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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.Service;
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import java.util.Map;
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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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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, input.riskLimits().executionBlocker());
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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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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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private TraderRiskDecision block(RiskGateInput input, String blocker) {
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if (blocker == null || blocker.isBlank()) {
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blocker = "EXECUTION_BLOCKED";
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}
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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 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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