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Risk Manager Module
Circuit breaker and position sizing logic.
"""
import logging
from datetime import datetime, date
from typing import Optional, Dict, Any, Callable
from enum import Enum
from dataclasses import dataclass, field
logger = logging.getLogger(__name__)
class TradingMode(Enum):
"""Trading mode states."""
ACTIVE = "active" # Normal trading
PAUSED = "paused" # Manually paused
CIRCUIT_BREAKER = "circuit_breaker" # Stopped due to losses
RETRAINING = "retraining" # In retraining mode
@dataclass
class DailyMetrics:
"""Daily trading metrics."""
date: date
start_balance: float
current_balance: float
high_balance: float
low_balance: float
trade_count: int = 0
winning_trades: int = 0
losing_trades: int = 0
total_pnl: float = 0.0
@property
def daily_return(self) -> float:
return (self.current_balance - self.start_balance) / self.start_balance
@property
def daily_drawdown(self) -> float:
return (self.high_balance - self.current_balance) / self.high_balance
@property
def win_rate(self) -> float:
if self.trade_count == 0:
return 0.0
return self.winning_trades / self.trade_count
class CircuitBreaker:
"""
Circuit breaker that stops trading when losses exceed threshold.
If the agent loses more than max_daily_loss_pct of the balance
in a single day, trading stops and retraining mode is triggered.
"""
def __init__(
self,
max_daily_loss_pct: float = 0.05,
max_drawdown_pct: float = 0.20,
cooldown_hours: float = 24.0,
on_trip: Optional[Callable[[Dict], None]] = None,
):
"""
Initialize the circuit breaker.
Args:
max_daily_loss_pct: Maximum daily loss as fraction (0.05 = 5%)
max_drawdown_pct: Maximum drawdown as fraction (0.20 = 20%)
cooldown_hours: Hours to wait after circuit breaker triggers
on_trip: Callback when circuit breaker trips
"""
self.max_daily_loss_pct = max_daily_loss_pct
self.max_drawdown_pct = max_drawdown_pct
self.cooldown_hours = cooldown_hours
self.on_trip = on_trip
# State
self.is_tripped = False
self.trip_time: Optional[datetime] = None
self.trip_reason: Optional[str] = None
# Daily tracking
self.daily_metrics: Optional[DailyMetrics] = None
# Overall tracking
self.initial_balance: Optional[float] = None
self.peak_balance: float = 0.0
def initialize(self, balance: float):
"""Initialize with starting balance."""
self.initial_balance = balance
self.peak_balance = balance
self._reset_daily_metrics(balance)
def _reset_daily_metrics(self, balance: float):
"""Reset daily metrics for a new day."""
self.daily_metrics = DailyMetrics(
date=date.today(),
start_balance=balance,
current_balance=balance,
high_balance=balance,
low_balance=balance,
)
def check(self, current_balance: float) -> bool:
"""
Check if trading should continue.
Args:
current_balance: Current portfolio value
Returns:
True if safe to trade, False if circuit breaker tripped
"""
if self.is_tripped:
# Check if cooldown has passed
if self._cooldown_expired():
self._reset_after_cooldown(current_balance)
return True
return False
# Check for new day
if self.daily_metrics is None or self.daily_metrics.date != date.today():
self._reset_daily_metrics(current_balance)
# Update metrics
self.daily_metrics.current_balance = current_balance
self.daily_metrics.high_balance = max(
self.daily_metrics.high_balance, current_balance
)
self.daily_metrics.low_balance = min(
self.daily_metrics.low_balance, current_balance
)
# Update peak balance
self.peak_balance = max(self.peak_balance, current_balance)
# Check daily loss
daily_loss = -self.daily_metrics.daily_return
if daily_loss >= self.max_daily_loss_pct:
self._trip(
reason=f"Daily loss exceeded {self.max_daily_loss_pct:.1%}: {daily_loss:.2%}",
balance=current_balance,
)
return False
# Check overall drawdown
drawdown = (self.peak_balance - current_balance) / self.peak_balance
if drawdown >= self.max_drawdown_pct:
self._trip(
reason=f"Drawdown exceeded {self.max_drawdown_pct:.1%}: {drawdown:.2%}",
balance=current_balance,
)
return False
return True
def _trip(self, reason: str, balance: float):
"""Trip the circuit breaker."""
self.is_tripped = True
self.trip_time = datetime.now()
self.trip_reason = reason
logger.warning(f"⚠️ CIRCUIT BREAKER TRIPPED: {reason}")
trip_info = {
'time': self.trip_time.isoformat(),
'reason': reason,
'balance': balance,
'initial_balance': self.initial_balance,
'daily_metrics': {
'start_balance': self.daily_metrics.start_balance,
'current_balance': self.daily_metrics.current_balance,
'daily_return': self.daily_metrics.daily_return,
'trade_count': self.daily_metrics.trade_count,
},
}
if self.on_trip:
self.on_trip(trip_info)
def _cooldown_expired(self) -> bool:
"""Check if cooldown period has passed."""
if self.trip_time is None:
return True
elapsed = (datetime.now() - self.trip_time).total_seconds() / 3600
return elapsed >= self.cooldown_hours
def _reset_after_cooldown(self, balance: float):
"""Reset circuit breaker after cooldown."""
logger.info("Circuit breaker cooldown expired, resuming trading")
self.is_tripped = False
self.trip_time = None
self.trip_reason = None
self._reset_daily_metrics(balance)
def record_trade(self, pnl: float):
"""Record a completed trade."""
if self.daily_metrics:
self.daily_metrics.trade_count += 1
self.daily_metrics.total_pnl += pnl
if pnl > 0:
self.daily_metrics.winning_trades += 1
else:
self.daily_metrics.losing_trades += 1
def force_reset(self, balance: float):
"""Force reset the circuit breaker."""
self.is_tripped = False
self.trip_time = None
self.trip_reason = None
self.peak_balance = balance
self._reset_daily_metrics(balance)
logger.info("Circuit breaker force reset")
def get_status(self) -> Dict[str, Any]:
"""Get circuit breaker status."""
return {
'is_tripped': self.is_tripped,
'trip_time': self.trip_time.isoformat() if self.trip_time else None,
'trip_reason': self.trip_reason,
'cooldown_remaining': self._get_cooldown_remaining(),
'daily_metrics': {
'date': str(self.daily_metrics.date) if self.daily_metrics else None,
'daily_return': self.daily_metrics.daily_return if self.daily_metrics else 0,
'daily_drawdown': self.daily_metrics.daily_drawdown if self.daily_metrics else 0,
'trade_count': self.daily_metrics.trade_count if self.daily_metrics else 0,
'win_rate': self.daily_metrics.win_rate if self.daily_metrics else 0,
},
'peak_balance': self.peak_balance,
'thresholds': {
'max_daily_loss': self.max_daily_loss_pct,
'max_drawdown': self.max_drawdown_pct,
},
}
def _get_cooldown_remaining(self) -> Optional[str]:
"""Get remaining cooldown time."""
if not self.is_tripped or self.trip_time is None:
return None
elapsed = (datetime.now() - self.trip_time).total_seconds() / 3600
remaining = max(0, self.cooldown_hours - elapsed)
if remaining <= 0:
return "Ready to resume"
hours = int(remaining)
minutes = int((remaining - hours) * 60)
return f"{hours}h {minutes}m"
class RiskManager:
"""
Comprehensive risk management for the trading system.
Handles:
- Position sizing
- Stop loss / take profit
- Circuit breaker coordination
"""
def __init__(
self,
initial_balance: float,
max_position_size: float = 0.1,
stop_loss_pct: float = 0.02,
take_profit_pct: float = 0.04,
max_daily_loss_pct: float = 0.05,
max_drawdown_pct: float = 0.20,
):
"""
Initialize the risk manager.
Args:
initial_balance: Starting balance
max_position_size: Max position as fraction of balance
stop_loss_pct: Stop loss percentage
take_profit_pct: Take profit percentage
max_daily_loss_pct: Max daily loss for circuit breaker
max_drawdown_pct: Max drawdown for circuit breaker
"""
self.initial_balance = initial_balance
self.max_position_size = max_position_size
self.stop_loss_pct = stop_loss_pct
self.take_profit_pct = take_profit_pct
# Circuit breaker
self.circuit_breaker = CircuitBreaker(
max_daily_loss_pct=max_daily_loss_pct,
max_drawdown_pct=max_drawdown_pct,
on_trip=self._on_circuit_breaker_trip,
)
self.circuit_breaker.initialize(initial_balance)
# Mode
self.mode = TradingMode.ACTIVE
# Position tracking
self.current_position: Optional[Dict] = None
def _on_circuit_breaker_trip(self, trip_info: Dict):
"""Handle circuit breaker trip."""
self.mode = TradingMode.CIRCUIT_BREAKER
logger.warning(f"Entering circuit breaker mode: {trip_info['reason']}")
def calculate_position_size(
self,
balance: float,
price: float,
volatility: Optional[float] = None,
) -> float:
"""
Calculate position size based on risk parameters.
Args:
balance: Current balance
price: Current price
volatility: Optional volatility for adaptive sizing
Returns:
Position size in base currency units
"""
# Base position size
position_value = balance * self.max_position_size
# Adjust for volatility if provided
if volatility is not None and volatility > 0:
# Reduce position size in high volatility
volatility_factor = min(1.0, 0.02 / volatility)
position_value *= volatility_factor
# Convert to units
position_units = position_value / price
return position_units
def calculate_stop_loss(self, entry_price: float, is_long: bool) -> float:
"""Calculate stop loss price."""
if is_long:
return entry_price * (1 - self.stop_loss_pct)
else:
return entry_price * (1 + self.stop_loss_pct)
def calculate_take_profit(self, entry_price: float, is_long: bool) -> float:
"""Calculate take profit price."""
if is_long:
return entry_price * (1 + self.take_profit_pct)
else:
return entry_price * (1 - self.take_profit_pct)
def can_trade(self, current_balance: float) -> bool:
"""Check if trading is allowed."""
if self.mode != TradingMode.ACTIVE:
return False
return self.circuit_breaker.check(current_balance)
def enter_position(
self,
side: str,
price: float,
amount: float,
) -> Dict[str, Any]:
"""
Record entering a position.
Returns position info with stop loss and take profit levels.
"""
is_long = side == 'buy'
self.current_position = {
'side': side,
'entry_price': price,
'amount': amount,
'entry_time': datetime.now(),
'stop_loss': self.calculate_stop_loss(price, is_long),
'take_profit': self.calculate_take_profit(price, is_long),
}
return self.current_position
def exit_position(self, exit_price: float) -> float:
"""
Record exiting a position.
Returns P&L.
"""
if self.current_position is None:
return 0.0
entry = self.current_position['entry_price']
amount = self.current_position['amount']
is_long = self.current_position['side'] == 'buy'
if is_long:
pnl = (exit_price - entry) * amount
else:
pnl = (entry - exit_price) * amount
self.circuit_breaker.record_trade(pnl)
self.current_position = None
return pnl
def check_stop_loss_take_profit(self, current_price: float) -> Optional[str]:
"""
Check if stop loss or take profit should trigger.
Returns 'stop_loss', 'take_profit', or None.
"""
if self.current_position is None:
return None
is_long = self.current_position['side'] == 'buy'
sl = self.current_position['stop_loss']
tp = self.current_position['take_profit']
if is_long:
if current_price <= sl:
return 'stop_loss'
if current_price >= tp:
return 'take_profit'
else:
if current_price >= sl:
return 'stop_loss'
if current_price <= tp:
return 'take_profit'
return None
def set_mode(self, mode: TradingMode):
"""Set trading mode."""
self.mode = mode
logger.info(f"Trading mode set to: {mode.value}")
def get_status(self) -> Dict[str, Any]:
"""Get full risk manager status."""
return {
'mode': self.mode.value,
'circuit_breaker': self.circuit_breaker.get_status(),
'current_position': self.current_position,
'thresholds': {
'max_position_size': self.max_position_size,
'stop_loss_pct': self.stop_loss_pct,
'take_profit_pct': self.take_profit_pct,
},
}
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