nautilus_risk/engine/
config.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16//! Provides a configuration for `RiskEngine` instances.
17
18use ahash::AHashMap;
19use nautilus_common::{
20    config::{ConfigError, ConfigErrorCollector, ConfigResult},
21    throttler::RateLimit,
22};
23use nautilus_core::datetime::NANOSECONDS_IN_SECOND;
24use nautilus_model::identifiers::InstrumentId;
25use rust_decimal::Decimal;
26use serde::{Deserialize, Serialize};
27
28/// Configuration for `RiskEngineConfig` instances.
29#[cfg_attr(
30    feature = "python",
31    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.risk", from_py_object)
32)]
33#[cfg_attr(
34    feature = "python",
35    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.risk")
36)]
37#[cfg_attr(
38    feature = "python",
39    expect(
40        clippy::unsafe_derive_deserialize,
41        reason = "config deserializes plain fields; unsafe methods come from generated PyO3 integration"
42    )
43)]
44#[derive(Debug, Clone, Deserialize, Serialize, bon::Builder)]
45#[builder(finish_fn(name = build_inner, vis = ""))]
46#[serde(default, deny_unknown_fields)]
47pub struct RiskEngineConfig {
48    #[builder(default)]
49    pub bypass: bool,
50    #[builder(default = RateLimit::new(100, NANOSECONDS_IN_SECOND))]
51    pub max_order_submit: RateLimit,
52    #[builder(default = RateLimit::new(100, NANOSECONDS_IN_SECOND))]
53    pub max_order_modify: RateLimit,
54    #[builder(default)]
55    pub max_notional_per_order: AHashMap<InstrumentId, Decimal>,
56    #[builder(default)]
57    pub debug: bool,
58}
59
60impl<S: risk_engine_config_builder::IsComplete> RiskEngineConfigBuilder<S> {
61    /// Validates and builds the [`RiskEngineConfig`].
62    ///
63    /// # Errors
64    ///
65    /// Returns a [`ConfigError`] if any field fails validation
66    /// (see [`RiskEngineConfig::validate`]).
67    pub fn build(self) -> ConfigResult<RiskEngineConfig> {
68        let config = self.build_inner();
69        config.validate()?;
70        Ok(config)
71    }
72}
73
74impl RiskEngineConfig {
75    /// Validates the risk engine configuration, collecting every field violation.
76    ///
77    /// # Errors
78    ///
79    /// Returns a [`ConfigError`] (a [`ConfigError::Multiple`] when more than one field is
80    /// invalid) if any field fails validation.
81    pub fn validate(&self) -> ConfigResult<()> {
82        let mut errors = ConfigErrorCollector::new();
83
84        for (instrument_id, notional) in &self.max_notional_per_order {
85            errors.check(
86                *notional > Decimal::ZERO,
87                ConfigError::range(
88                    "max_notional_per_order",
89                    format!("notional for {instrument_id} must be positive, was {notional}"),
90                ),
91            );
92        }
93
94        errors.into_result()
95    }
96}
97
98impl Default for RiskEngineConfig {
99    fn default() -> Self {
100        Self::builder()
101            .build()
102            .expect("default `RiskEngineConfig` should be valid")
103    }
104}
105
106#[cfg(test)]
107mod tests {
108    use rstest::rstest;
109
110    use super::*;
111
112    #[rstest]
113    fn test_default_config_is_valid() {
114        assert!(RiskEngineConfig::builder().build().is_ok());
115    }
116
117    #[rstest]
118    #[case(Decimal::ZERO)]
119    #[case(Decimal::from(-1))]
120    fn test_non_positive_notional_rejected(#[case] notional: Decimal) {
121        let mut notionals = AHashMap::new();
122        notionals.insert(InstrumentId::from("ESZ21.GLBX"), notional);
123        let result = RiskEngineConfig::builder()
124            .max_notional_per_order(notionals)
125            .build();
126        assert!(
127            matches!(result, Err(ConfigError::Range { field, .. }) if field == "max_notional_per_order")
128        );
129    }
130
131    #[rstest]
132    fn test_positive_notional_accepted() {
133        let mut notionals = AHashMap::new();
134        notionals.insert(InstrumentId::from("ESZ21.GLBX"), Decimal::from(1_000_000));
135        let result = RiskEngineConfig::builder()
136            .max_notional_per_order(notionals)
137            .build();
138        assert!(result.is_ok());
139    }
140
141    #[rstest]
142    fn test_multiple_violations_collected() {
143        let mut notionals = AHashMap::new();
144        notionals.insert(InstrumentId::from("ESZ21.GLBX"), Decimal::ZERO);
145        notionals.insert(InstrumentId::from("CLZ21.NYMEX"), Decimal::from(-1));
146        let result = RiskEngineConfig::builder()
147            .max_notional_per_order(notionals)
148            .build();
149        let ConfigError::Multiple { errors } = result.unwrap_err() else {
150            panic!("expected ConfigError::Multiple");
151        };
152        assert_eq!(errors.len(), 2);
153        assert!(errors.iter().all(
154            |e| matches!(e, ConfigError::Range { field, .. } if field == "max_notional_per_order")
155        ));
156    }
157}
nautilus_risk/engine/config.rs

nautilus_risk/engine/
config.rs
