Called once for each instrument which has an existing position after the Initialize Risk Management script has been called, the Compute Instrument Risk script can be used to compute per-instrument risk and to total the risk at the portfolio level.

 

The Total Risk Limiter block uses this script to add up the risk for each instrument:

 

' Add the instrument risk to the total risk.
totalRisk = totalRisk + instrument.currentPositionRisk

 


Edit Time: 9/25/2017 09:09:58 AM


Topic ID#: 215

 

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