Add position-sizing / risk-guard module#6
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Implements the Vecna Trading Risk-Management Policy and Fractional-Kelly Position Sizing rules in backend/app/services/risk_guard.py: - Per-trade risk cap: equity × risk_pct (default 1 %; max 3 %) - Portfolio-heat limit: total open risk ≤ 6 % of equity - Drawdown circuit-breaker: halve at −15 %, flatten+halt at −25 % - Fractional-Kelly sizing: quarter-Kelly default, half-Kelly hard cap - Single-name concentration cap: 20 % of equity per instrument - Correlation cap: at most 2 positions with ρ > 0.7 simultaneously 32 unit tests in backend/tests/test_risk_guard.py cover every guard, edge cases, and the binding-rule selection logic (kelly vs risk_cap vs heat_limit vs concentration). Co-Authored-By: Vecna <noreply@vecna.ai>
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What
Adds
backend/app/services/risk_guard.py— a pure-Python, stateless module implementing the Vecna Trading Risk-Management Policy and Fractional-Kelly Position Sizing rules. No changes to existing files.Guards implemented:
Final size = min(kelly_derived, risk-policy cap), further trimmed by heat / concentration guards.
Why
Encoding risk rules as executable, tested code makes them machine-enforceable and auditable instead of living only in policy documents. Every pre-trade check runs in microseconds with no I/O.
How to verify
32 tests cover: Kelly formula correctness, fractional-Kelly capping, each guard in isolation (NORMAL / HALVED / HALTED circuit-breaker, heat trim, heat hard block, concentration trim/block, correlation block), binding-rule selection, and risk_pct clamping.
Rollback
New file only — no existing code modified. Rollback =
git revertor delete the file; zero impact on running application.Out of scope
This module is stateless and has no persistence or API endpoint. Wiring it into the operation runner or exposing a
/api/risk-checkendpoint is a follow-on PR.Diff size note
849 lines total: 350 lines implementation + 499 lines tests. Implementation alone is under the 400-line guideline; separating tests from implementation would harm reviewability. Tests carry minimal review burden — please focus review time on
risk_guard.py.🤖 Generated with Vecna
Co-Authored-By: Vecna noreply@vecna.ai