added working config lib

libs/config/src/risk.ts

@@ -1,45 +1,82 @@
 /**
- * Risk management configuration for trading operations
+ * Risk management configuration using envalid
  */
-import { getNumericEnvVar, validateConfig, createConfigLoader } from './core';
-import { riskConfigSchema, RiskConfig } from './types';
+import { cleanEnv, str, num, bool } from 'envalid';
 
 /**
- * Default risk configuration
+ * Risk configuration with validation and defaults
  */
-const defaultRiskConfig: RiskConfig = {
-  maxDrawdown: 0.05,
-  maxPositionSize: 0.1,
-  maxLeverage: 1,
-  stopLossDefault: 0.02,
-  takeProfitDefault: 0.05
-};
+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' }),
+  
+  // 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 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' }),
+  
+  // 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' }),
+  
+  // 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' }),
+  
+  // 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' }),
+  
+  // 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 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' }),
+});
 
-/**
- * Load risk configuration from environment variables
- */
-export function loadRiskConfig(): RiskConfig {
-  const config: RiskConfig = {
-    maxDrawdown: getNumericEnvVar('RISK_MAX_DRAWDOWN', defaultRiskConfig.maxDrawdown),
-    maxPositionSize: getNumericEnvVar('RISK_MAX_POSITION_SIZE', defaultRiskConfig.maxPositionSize),
-    maxLeverage: getNumericEnvVar('RISK_MAX_LEVERAGE', defaultRiskConfig.maxLeverage),
-    stopLossDefault: getNumericEnvVar('RISK_STOP_LOSS_DEFAULT', defaultRiskConfig.stopLossDefault),
-    takeProfitDefault: getNumericEnvVar('RISK_TAKE_PROFIT_DEFAULT', defaultRiskConfig.takeProfitDefault)
-  };
+// Export typed configuration object
+export type RiskConfig = typeof riskConfig;
 
-  return validateConfig(config, riskConfigSchema);
-}
-
-/**
- * Creates a dynamic configuration loader for risk management
- */
-export const createRiskConfig = createConfigLoader<typeof defaultRiskConfig>(
-  'risk',
-  riskConfigSchema,
-  defaultRiskConfig
-);
-
-/**
- * Singleton risk configuration
- */
-export const riskConfig = loadRiskConfig();
+// Export individual config values for convenience
+export const {
+  RISK_MAX_POSITION_SIZE,
+  RISK_MAX_PORTFOLIO_EXPOSURE,
+  RISK_MAX_SINGLE_ASSET_EXPOSURE,
+  RISK_MAX_SECTOR_EXPOSURE,
+  RISK_DEFAULT_STOP_LOSS,
+  RISK_DEFAULT_TAKE_PROFIT,
+  RISK_TRAILING_STOP_ENABLED,
+  RISK_TRAILING_STOP_DISTANCE,
+  RISK_MAX_DAILY_LOSS,
+  RISK_MAX_WEEKLY_LOSS,
+  RISK_MAX_MONTHLY_LOSS,
+  RISK_MAX_VOLATILITY_THRESHOLD,
+  RISK_VOLATILITY_LOOKBACK_DAYS,
+  RISK_MAX_CORRELATION_THRESHOLD,
+  RISK_CORRELATION_LOOKBACK_DAYS,
+  RISK_MAX_LEVERAGE,
+  RISK_MARGIN_CALL_THRESHOLD,
+  RISK_CIRCUIT_BREAKER_ENABLED,
+  RISK_CIRCUIT_BREAKER_LOSS_THRESHOLD,
+  RISK_CIRCUIT_BREAKER_COOLDOWN_MINUTES,
+  RISK_MODEL_TYPE,
+  RISK_CONFIDENCE_LEVEL,
+  RISK_TIME_HORIZON_DAYS,
+} = riskConfig;