feat(risk): add drawdown-based position reduction and consecutive loss pause

1 files changed, 51 insertions, 0 deletions

diff --git a/services/order-executor/tests/test_risk_manager.py b/services/order-executor/tests/test_risk_manager.py
index 4bd5761..a8fe37f 100644
--- a/services/order-executor/tests/test_risk_manager.py
+++ b/services/order-executor/tests/test_risk_manager.py
@@ -235,3 +235,54 @@ def test_var_calculation():
     positions = {"BTCUSDT": Position(symbol="BTCUSDT", quantity=Decimal("1"), avg_entry_price=Decimal("100"), current_price=Decimal("100"))}
     var = rm.calculate_portfolio_var(positions, Decimal("10000"))
     assert var >= 0  # Non-negative
+
+
+# --- Drawdown position scaling tests ---
+
+
+def test_drawdown_position_scale_full():
+    rm = RiskManager(max_position_size=Decimal("0.5"), stop_loss_pct=Decimal("5"), daily_loss_limit_pct=Decimal("10"), drawdown_reduction_threshold=0.1, drawdown_halt_threshold=0.2)
+    rm.update_balance(Decimal("10000"))
+    scale = rm.get_position_scale(Decimal("10000"))
+    assert scale == 1.0  # No drawdown
+
+
+def test_drawdown_position_scale_reduced():
+    rm = RiskManager(max_position_size=Decimal("0.5"), stop_loss_pct=Decimal("5"), daily_loss_limit_pct=Decimal("10"), drawdown_reduction_threshold=0.1, drawdown_halt_threshold=0.2)
+    rm.update_balance(Decimal("10000"))
+    scale = rm.get_position_scale(Decimal("8500"))  # 15% drawdown (between 10% and 20%)
+    assert 0.25 < scale < 1.0
+
+
+def test_drawdown_halt():
+    rm = RiskManager(max_position_size=Decimal("0.5"), stop_loss_pct=Decimal("5"), daily_loss_limit_pct=Decimal("10"), drawdown_reduction_threshold=0.1, drawdown_halt_threshold=0.2)
+    rm.update_balance(Decimal("10000"))
+    scale = rm.get_position_scale(Decimal("7500"))  # 25% drawdown
+    assert scale == 0.0
+
+
+def test_consecutive_losses_pause():
+    rm = RiskManager(max_position_size=Decimal("0.5"), stop_loss_pct=Decimal("5"), daily_loss_limit_pct=Decimal("10"), max_consecutive_losses=3, loss_pause_minutes=60)
+    rm.record_trade_result(False)
+    rm.record_trade_result(False)
+    assert not rm.is_paused()
+    rm.record_trade_result(False)  # 3rd loss
+    assert rm.is_paused()
+
+
+def test_consecutive_losses_reset_on_win():
+    rm = RiskManager(max_position_size=Decimal("0.5"), stop_loss_pct=Decimal("5"), daily_loss_limit_pct=Decimal("10"), max_consecutive_losses=3)
+    rm.record_trade_result(False)
+    rm.record_trade_result(False)
+    rm.record_trade_result(True)  # Win resets counter
+    rm.record_trade_result(False)
+    assert not rm.is_paused()  # Only 1 consecutive loss
+
+
+def test_drawdown_check_rejects_in_check():
+    rm = RiskManager(max_position_size=Decimal("0.5"), stop_loss_pct=Decimal("5"), daily_loss_limit_pct=Decimal("10"), drawdown_halt_threshold=0.15)
+    rm.update_balance(Decimal("10000"))
+    signal = Signal(strategy="test", symbol="BTC/USDT", side=OrderSide.BUY, price=Decimal("50000"), quantity=Decimal("0.01"), reason="test")
+    result = rm.check(signal, Decimal("8000"), {}, Decimal("0"))  # 20% dd > 15%
+    assert not result.allowed
+    assert "halted" in result.reason.lower()