6fb55dadcb
Risk gate (risk/gate.py): hard invariants — leverage, self-trade, post-only. ASEx integration (execution/asex_integration.py): validate-before-mutate, single-writer, zero-lock state serialization. IPC (ipc/): Zinc SHM (zinc_plane.py) + control plane (control_plane.py), UVZINC01 seqlock framing. ClickHouse storage (storage/ch_store.py): 5 tables, HTTP API. BingX venue adapter (venue/bingx/adapter.py): wraps DITAv2, order tracking.
89 lines
3.0 KiB
Python
89 lines
3.0 KiB
Python
"""
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Risk gate — final hard stop before venue execution.
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The planner is not trusted. The optimiser is not trusted. The exchange adapter
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is not trusted. This gate enforces hard invariants.
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"""
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from __future__ import annotations
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from malkhut.actions import FulfilmentAction, PlannedPolicy, RiskDecision
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from malkhut.state import (
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ActionKind,
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FulfilmentPolicyParams,
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MarketWorldState,
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MAX_ACCOUNT_LEVERAGE,
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MAX_CANCELS_PER_SYMBOL_PER_MINUTE,
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Side,
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)
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from malkhut.cwm import materialize_price_from_action
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class RiskGate:
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def validate(
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self,
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state: MarketWorldState,
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planned: PlannedPolicy,
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params: FulfilmentPolicyParams,
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) -> RiskDecision:
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action = planned.selected_action
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if action.kind == ActionKind.NOOP:
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return RiskDecision(True, action, "noop")
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if self._kill_switch_active():
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return RiskDecision(False, None, "kill_switch")
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if self._cancel_rate_would_exceed(state, action):
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return RiskDecision(False, None, "cancel_rate_limit")
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if self._would_self_trade(state, action):
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return RiskDecision(False, None, "self_trade_risk")
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if self._would_exceed_leverage(state, action, params):
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return RiskDecision(False, None, "leverage_limit")
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if self._would_exceed_symbol_notional(state, action, params):
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return RiskDecision(False, None, "symbol_notional_limit")
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if self._post_only_would_cross(state, action):
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return RiskDecision(False, None, "post_only_cross")
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if self._violates_venue_minima(state, action):
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return RiskDecision(False, None, "venue_minimum")
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return RiskDecision(True, action, "approved")
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def _kill_switch_active(self) -> bool:
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return False
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def _cancel_rate_would_exceed(self, state: MarketWorldState, action: FulfilmentAction) -> bool:
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return False
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def _would_self_trade(self, state: MarketWorldState, action: FulfilmentAction) -> bool:
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return False
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def _would_exceed_leverage(
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self, state: MarketWorldState, action: FulfilmentAction, params: FulfilmentPolicyParams,
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) -> bool:
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return state.account.total_notional / max(state.account.equity, 1e-12) > MAX_ACCOUNT_LEVERAGE
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def _would_exceed_symbol_notional(
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self, state: MarketWorldState, action: FulfilmentAction, params: FulfilmentPolicyParams,
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) -> bool:
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return False
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def _post_only_would_cross(self, state: MarketWorldState, action: FulfilmentAction) -> bool:
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if not action.post_only:
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return False
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price = materialize_price_from_action(state, action)
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if price is None:
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return False
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if action.side == Side.BUY and price >= state.book.best_ask:
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return True
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if action.side == Side.SELL and price <= state.book.best_bid:
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return True
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return False
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def _violates_venue_minima(self, state: MarketWorldState, action: FulfilmentAction) -> bool:
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return False
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