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moved to zod, packages messed up still

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Bojan Kucera 2025-06-07 14:24:28 -04:00
parent 15dd03c0ec
commit a8ee4022bf
35 changed files with 3245 additions and 691 deletions
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56
libs/config/src/risk.ts
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@ -1,54 +1,52 @@
/**
* Risk management configuration using envalid
* Risk management configuration using Zod
*/
import { cleanEnv, str, num, bool } from 'envalid';
import { cleanEnv, envValidators } from './env-utils';
const { str, num, bool, strWithChoices } = envValidators;
/**
* Risk configuration with validation and defaults
*/
export const riskConfig = cleanEnv(process.env, {
// Position Sizing
RISK_MAX_POSITION_SIZE: num({ default: 0.1, desc: 'Maximum position size as percentage of portfolio' }),
RISK_MAX_PORTFOLIO_EXPOSURE: num({ default: 0.8, desc: 'Maximum portfolio exposure percentage' }),
RISK_MAX_SINGLE_ASSET_EXPOSURE: num({ default: 0.2, desc: 'Maximum exposure to single asset' }),
RISK_MAX_SECTOR_EXPOSURE: num({ default: 0.3, desc: 'Maximum exposure to single sector' }),
RISK_MAX_POSITION_SIZE: num(0.1, 'Maximum position size as percentage of portfolio'),
RISK_MAX_PORTFOLIO_EXPOSURE: num(0.8, 'Maximum portfolio exposure percentage'),
RISK_MAX_SINGLE_ASSET_EXPOSURE: num(0.2, 'Maximum exposure to single asset'),
RISK_MAX_SECTOR_EXPOSURE: num(0.3, 'Maximum exposure to single sector'),
// Stop Loss and Take Profit
RISK_DEFAULT_STOP_LOSS: num({ default: 0.05, desc: 'Default stop loss percentage' }),
RISK_DEFAULT_TAKE_PROFIT: num({ default: 0.15, desc: 'Default take profit percentage' }),
RISK_TRAILING_STOP_ENABLED: bool({ default: true, desc: 'Enable trailing stop losses' }),
RISK_TRAILING_STOP_DISTANCE: num({ default: 0.03, desc: 'Trailing stop distance percentage' }),
RISK_DEFAULT_STOP_LOSS: num(0.05, 'Default stop loss percentage'),
RISK_DEFAULT_TAKE_PROFIT: num(0.15, 'Default take profit percentage'),
RISK_TRAILING_STOP_ENABLED: bool(true, 'Enable trailing stop losses'),
RISK_TRAILING_STOP_DISTANCE: num(0.03, 'Trailing stop distance percentage'),
// Risk Limits
RISK_MAX_DAILY_LOSS: num({ default: 0.05, desc: 'Maximum daily loss percentage' }),
RISK_MAX_WEEKLY_LOSS: num({ default: 0.1, desc: 'Maximum weekly loss percentage' }),
RISK_MAX_MONTHLY_LOSS: num({ default: 0.2, desc: 'Maximum monthly loss percentage' }),
RISK_MAX_DAILY_LOSS: num(0.05, 'Maximum daily loss percentage'),
RISK_MAX_WEEKLY_LOSS: num(0.1, 'Maximum weekly loss percentage'),
RISK_MAX_MONTHLY_LOSS: num(0.2, 'Maximum monthly loss percentage'),
// Volatility Controls
RISK_MAX_VOLATILITY_THRESHOLD: num({ default: 0.4, desc: 'Maximum volatility threshold' }),
RISK_VOLATILITY_LOOKBACK_DAYS: num({ default: 20, desc: 'Volatility calculation lookback period' }),
RISK_MAX_VOLATILITY_THRESHOLD: num(0.4, 'Maximum volatility threshold'),
RISK_VOLATILITY_LOOKBACK_DAYS: num(20, 'Volatility calculation lookback period'),
// Correlation Controls
RISK_MAX_CORRELATION_THRESHOLD: num({ default: 0.7, desc: 'Maximum correlation between positions' }),
RISK_CORRELATION_LOOKBACK_DAYS: num({ default: 60, desc: 'Correlation calculation lookback period' }),
RISK_MAX_CORRELATION_THRESHOLD: num(0.7, 'Maximum correlation between positions'),
RISK_CORRELATION_LOOKBACK_DAYS: num(60, 'Correlation calculation lookback period'),
// Leverage Controls
RISK_MAX_LEVERAGE: num({ default: 2.0, desc: 'Maximum leverage allowed' }),
RISK_MARGIN_CALL_THRESHOLD: num({ default: 0.3, desc: 'Margin call threshold' }),
RISK_MAX_LEVERAGE: num(2.0, 'Maximum leverage allowed'),
RISK_MARGIN_CALL_THRESHOLD: num(0.3, 'Margin call threshold'),
// Circuit Breakers
RISK_CIRCUIT_BREAKER_ENABLED: bool({ default: true, desc: 'Enable circuit breakers' }),
RISK_CIRCUIT_BREAKER_LOSS_THRESHOLD: num({ default: 0.1, desc: 'Circuit breaker loss threshold' }),
RISK_CIRCUIT_BREAKER_COOLDOWN_MINUTES: num({ default: 60, desc: 'Circuit breaker cooldown period' }),
RISK_CIRCUIT_BREAKER_ENABLED: bool(true, 'Enable circuit breakers'),
RISK_CIRCUIT_BREAKER_LOSS_THRESHOLD: num(0.1, 'Circuit breaker loss threshold'),
RISK_CIRCUIT_BREAKER_COOLDOWN_MINUTES: num(60, 'Circuit breaker cooldown period'),
// Risk Model
RISK_MODEL_TYPE: str({
choices: ['var', 'cvar', 'expected_shortfall'],
default: 'var',
desc: 'Risk model type'
}),
RISK_CONFIDENCE_LEVEL: num({ default: 0.95, desc: 'Risk model confidence level' }),
RISK_TIME_HORIZON_DAYS: num({ default: 1, desc: 'Risk time horizon in days' }),
RISK_MODEL_TYPE: strWithChoices(['var', 'cvar', 'expected_shortfall'], 'var', 'Risk model type'),
RISK_CONFIDENCE_LEVEL: num(0.95, 'Risk model confidence level'),
RISK_TIME_HORIZON_DAYS: num(1, 'Risk time horizon in days'),
});
// Export typed configuration object