feat(risk): add portfolio exposure, correlation risk, and VaR checks

1 files changed, 37 insertions, 0 deletions

diff --git a/services/order-executor/tests/test_risk_manager.py b/services/order-executor/tests/test_risk_manager.py
index efabe73..4bd5761 100644
--- a/services/order-executor/tests/test_risk_manager.py
+++ b/services/order-executor/tests/test_risk_manager.py
@@ -198,3 +198,40 @@ def test_position_size_without_scaling():
     base = Decimal("10000") * Decimal("0.1")
 
     assert size == base
+
+
+# --- Portfolio exposure tests ---
+
+
+def test_portfolio_exposure_check_passes():
+    rm = RiskManager(max_position_size=Decimal("0.5"), stop_loss_pct=Decimal("5"), daily_loss_limit_pct=Decimal("10"), max_portfolio_exposure=0.8)
+    positions = {"BTCUSDT": Position(symbol="BTCUSDT", quantity=Decimal("0.01"), avg_entry_price=Decimal("50000"), current_price=Decimal("50000"))}
+    result = rm.check_portfolio_exposure(positions, Decimal("10000"))
+    assert result.allowed  # 500/10000 = 5% < 80%
+
+
+def test_portfolio_exposure_check_rejects():
+    rm = RiskManager(max_position_size=Decimal("0.5"), stop_loss_pct=Decimal("5"), daily_loss_limit_pct=Decimal("10"), max_portfolio_exposure=0.3)
+    positions = {"BTCUSDT": Position(symbol="BTCUSDT", quantity=Decimal("1"), avg_entry_price=Decimal("50000"), current_price=Decimal("50000"))}
+    result = rm.check_portfolio_exposure(positions, Decimal("10000"))
+    assert not result.allowed  # 50000/10000 = 500% > 30%
+
+
+def test_correlation_calculation():
+    rm = RiskManager(max_position_size=Decimal("0.5"), stop_loss_pct=Decimal("5"), daily_loss_limit_pct=Decimal("10"))
+    # Feed identical price histories — correlation should be ~1.0
+    for i in range(20):
+        rm.update_price("A", Decimal(str(100 + i)))
+        rm.update_price("B", Decimal(str(100 + i)))
+    corr = rm.calculate_correlation("A", "B")
+    assert corr is not None
+    assert corr > 0.9
+
+
+def test_var_calculation():
+    rm = RiskManager(max_position_size=Decimal("0.5"), stop_loss_pct=Decimal("5"), daily_loss_limit_pct=Decimal("10"))
+    for i in range(30):
+        rm.update_price("BTCUSDT", Decimal(str(100 + (i % 5) - 2)))
+    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