36 lines
1.0 KiB
Python
36 lines
1.0 KiB
Python
from __future__ import annotations
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import datetime as dt
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class RiskManager:
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def __init__(self, daily_loss_limit: float, max_consecutive_losses: int):
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self.daily_loss_limit = float(daily_loss_limit)
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self.max_consecutive_losses = int(max_consecutive_losses)
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self._day = dt.date.today()
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self._daily_pnl = 0.0
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self._consec_losses = 0
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def _roll_day(self) -> None:
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today = dt.date.today()
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if today != self._day:
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self._day = today
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self._daily_pnl = 0.0
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self._consec_losses = 0
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def trading_halted(self) -> bool:
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self._roll_day()
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if self._daily_pnl <= -self.daily_loss_limit:
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return True
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if self._consec_losses >= self.max_consecutive_losses:
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return True
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return False
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def record_trade_result(self, pnl: float) -> None:
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self._roll_day()
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self._daily_pnl += float(pnl)
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if pnl < 0:
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self._consec_losses += 1
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else:
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self._consec_losses = 0
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