Created
April 6, 2024 18:42
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Risk manager using array indexing
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| from enum import IntEnum | |
| class Exchange(IntEnum): | |
| Binance = 0 | |
| Bybit = 1 | |
| Okx = 2 | |
| class Currency(IntEnum): | |
| BTC = 0 | |
| ETH = 0 | |
| SOL = 0 | |
| class RiskManager: | |
| def __init__(self, instruments): | |
| self.lookups = {} | |
| self.exchange_keys = {} | |
| self.ccy_keys = {} | |
| self.instrument_keys = {} | |
| self.exchange_risk = [] | |
| self.ccy_risk = [] | |
| self.instrument_risk = [] | |
| self.global_risk = 0.0 | |
| for instrument, exchange, symbol, ccy in instruments: | |
| if exchange not in self.exchange_keys: | |
| self.exchange_keys[exchange] = len(self.exchange_keys) | |
| self.exchange_risk.append(0.0) | |
| if ccy not in self.ccy_keys: | |
| self.ccy_keys[ccy] = len(self.ccy_keys) | |
| self.ccy_risk.append(0.0) | |
| if instrument not in self.instrument_keys: | |
| self.instrument_keys[instrument] = len(self.instrument_keys) | |
| self.instrument_risk.append(0.0) | |
| # build index lookups | |
| self.lookups[instrument] = (self.exchange_keys[exchange], | |
| self.ccy_keys[ccy], | |
| self.instrument_keys[instrument]) | |
| # this assumes basically only dealing with usdt coins for netting | |
| def update_risk(self, instrument, amount, price): | |
| quoted_amount = amount * price | |
| ex_idx, ccy_idx, iid_idx = self.lookups[instrument] | |
| old_risk = self.instrument_risk[iid_idx] | |
| self.global_risk -= old_risk | |
| self.exchange_risk[ex_idx] -= old_risk | |
| self.ccy_risk[ccy_idx] -= old_risk | |
| # update with new risk | |
| self.instrument_risk[iid_idx] = quoted_amount | |
| self.global_risk += quoted_amount | |
| self.exchange_risk[ex_idx] += quoted_amount | |
| self.ccy_risk[ccy_idx] += quoted_amount | |
| def get_global_risk(self): | |
| return self.global_risk | |
| def get_exchange_risk(self, exchange: Exchange): | |
| return self.exchange_risk[self.exchange_keys[exchange]] | |
| def get_currency_risk(self, ccy: Currency): | |
| return self.ccy_risk[self.ccy_keys[ccy]] | |
| def get_instrument_risk(self, instrument): | |
| return self.instrument_risk[self.instrument_keys[instrument]] | |
| if __name__ == "__main__" : | |
| # this must be a complete set of all instruments that will be seen by the system | |
| instruments = [(2343, Exchange.Binance, "BTCUSDT", Currency.BTC), | |
| (7348, Exchange.Binance, "ETHUSDT", Currency.ETH), | |
| (1298, Exchange.Bybit, "ETHUSDT", Currency.ETH), | |
| (3453, Exchange.Okx, "SOL-USDT-SWAP", Currency.SOL),] | |
| risk_manager = RiskManager(instruments=instruments) | |
| risk_manager.update_risk(7348, 1.0, 3000.0) | |
| print(risk_manager.global_risk) | |
| print(risk_manager.exchange_risk) | |
| print(risk_manager.ccy_risk) | |
| print(risk_manager.instrument_risk) |
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