A Risk Manager block is used for filtering entry trades based on risk thresholds, adjusting stops, and reducing or exiting positions if necessary to reduce overall portfolio risk. It includes the following scripts:

 

Block Type

Script Type

Day

Instrument

Position

Called When



 

 


 

Risk Manager


 

 


 


Before Test

 

 


start of test


Initialize Risk Management

=

 


end of day


Compute Instrument Risk

 

 

=

end of day


Compute Risk Adjustment

=

 


end of day


Adjust Instrument Risk

 

 

=

end of day


Can Add Unit

 

called by broker when for entry orders


Can Fill Order

 

called as order is about to be filled



 

 


 

 

NOTE:

As indicated above, the instrument-specific scripts associated with the Risk Manager loop over instruments with existing positions. They do not loop over instruments that are out of the market.

 

The Can Add Unit and Can Fill Orders scripts can be added to any block. In this way multiple blocks can process these scripts to determine if an order can be placed or filled.

 


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


Topic ID#: 506

 

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