modular_trader.framework.risk_management

Submodules

• modular_trader.framework.risk_management.base
• modular_trader.framework.risk_management.fixed
• modular_trader.framework.risk_management.null

Classes

BaseRiskManagement	Base class for risk management.
FixedStopLossRiskManagement	Fixed stop loss.
NullRiskManagement	No-op risk management strategy.

Package Contents

class modular_trader.framework.risk_management.BaseRiskManagement

Bases: abc.ABC

Base class for risk management.

This class defines the interface for all risk management strategies.

The __call__ method is called by the framework to apply the risk management strategy to the given allocations.

The run method is called by __call__ and should be implemented by subclasses to perform the actual risk management logic.

__call__(context: modular_trader.context.Context, allocations: modular_trader.allocation.AllocationCollection)

Parameters:

• context (modular_trader.context.Context)

• allocations (modular_trader.allocation.AllocationCollection)

abstract run(context: modular_trader.context.Context, allocations: modular_trader.allocation.AllocationCollection) → modular_trader.allocation.AllocationCollection

Parameters:

• context (modular_trader.context.Context)

• allocations (modular_trader.allocation.AllocationCollection)

Return type:

modular_trader.allocation.AllocationCollection

class modular_trader.framework.risk_management.FixedStopLossRiskManagement

Bases: modular_trader.framework.risk_management.base.BaseRiskManagement

Fixed stop loss.

Liquidate positions if unrealized loss percent >= percent_loss.

run(context: modular_trader.context.Context, allocations: modular_trader.allocation.AllocationCollection) → modular_trader.allocation.AllocationCollection

Liquidate positions if unrealized loss percent >= percent_loss.

Args:

context: The context to get the current positions from. allocations: The allocations to modify.

Returns:

The modified allocations.

Parameters:

• context (modular_trader.context.Context)

• allocations (modular_trader.allocation.AllocationCollection)

Return type:

modular_trader.allocation.AllocationCollection

percent_loss: float = None

class modular_trader.framework.risk_management.NullRiskManagement

Bases: modular_trader.framework.risk_management.base.BaseRiskManagement

No-op risk management strategy.

Leaves allocations unchanged.

run(context: modular_trader.context.Context, allocations: modular_trader.allocation.AllocationCollection) → modular_trader.allocation.AllocationCollection

Parameters:

• context (modular_trader.context.Context)

• allocations (modular_trader.allocation.AllocationCollection)

Return type:

modular_trader.allocation.AllocationCollection