From 9efb0e50d5e2d7025bbe83aaff039ba93beff520 Mon Sep 17 00:00:00 2001 From: TheSiahxyz <164138827+TheSiahxyz@users.noreply.github.com> Date: Thu, 2 Apr 2026 09:06:30 +0900 Subject: feat(risk): add portfolio exposure, correlation risk, and VaR checks --- services/order-executor/src/order_executor/main.py | 9 +++++++++ 1 file changed, 9 insertions(+) (limited to 'services/order-executor/src/order_executor/main.py') diff --git a/services/order-executor/src/order_executor/main.py b/services/order-executor/src/order_executor/main.py index 3fe4c12..68e14aa 100644 --- a/services/order-executor/src/order_executor/main.py +++ b/services/order-executor/src/order_executor/main.py @@ -51,6 +51,15 @@ async def run() -> None: max_open_positions=config.risk_max_open_positions, volatility_lookback=config.risk_volatility_lookback, volatility_scale=config.risk_volatility_scale, + max_portfolio_exposure=config.risk_max_portfolio_exposure, + max_correlated_exposure=config.risk_max_correlated_exposure, + correlation_threshold=config.risk_correlation_threshold, + var_confidence=config.risk_var_confidence, + var_limit_pct=config.risk_var_limit_pct, + drawdown_reduction_threshold=config.risk_drawdown_reduction_threshold, + drawdown_halt_threshold=config.risk_drawdown_halt_threshold, + max_consecutive_losses=config.risk_max_consecutive_losses, + loss_pause_minutes=config.risk_loss_pause_minutes, ) executor = OrderExecutor( -- cgit v1.2.3