From ed754de498ae1009868ba634e2f12a17b7dfdadf Mon Sep 17 00:00:00 2001
From: Griffiths Lott <g@glott.me>
Date: Wed, 30 Nov 2022 19:06:54 -0500
Subject: [PATCH] Set up structure for module

---
 src/lib.rs                       |  1 +
 src/risk_management.rs           |  1 +
 src/risk_management/portfolio.rs | 12 ++++++++++++
 src/risk_management/position.rs  | 13 +++++++++++++
 src/risk_management/risk_eval.rs |  7 +++++++
 src/risk_management/strategy.rs  | 12 ++++++++++++
 6 files changed, 46 insertions(+)
 create mode 100644 src/risk_management.rs
 create mode 100644 src/risk_management/portfolio.rs
 create mode 100644 src/risk_management/position.rs
 create mode 100644 src/risk_management/risk_eval.rs
 create mode 100644 src/risk_management/strategy.rs

diff --git a/src/lib.rs b/src/lib.rs
index eee7e66..9306ea2 100644
--- a/src/lib.rs
+++ b/src/lib.rs
@@ -1,5 +1,6 @@
 mod data;
 mod order;
+mod risk_management;
 
 pub type DynResult<T> = Result<T, Box< dyn std::error::Error>>;
 
diff --git a/src/risk_management.rs b/src/risk_management.rs
new file mode 100644
index 0000000..7681016
--- /dev/null
+++ b/src/risk_management.rs
@@ -0,0 +1 @@
+pub mod risk_eval;
diff --git a/src/risk_management/portfolio.rs b/src/risk_management/portfolio.rs
new file mode 100644
index 0000000..6811aef
--- /dev/null
+++ b/src/risk_management/portfolio.rs
@@ -0,0 +1,12 @@
+/*
+Deals with things related to the portfolio.
+- Details about portfolio
+    ~ How many strategies simaltanously?
+    ~ Should we account for concurrent strategies?
+    ~ Can we cross-trade strategies?
+    ~ Can we take 'emergency loans' from other strategies
+- Interaction with database
+- Portfolio restrictions
+    ~ What assets types can be traded
+    ~ Order size / time limits
+*/
diff --git a/src/risk_management/position.rs b/src/risk_management/position.rs
new file mode 100644
index 0000000..6ab77d6
--- /dev/null
+++ b/src/risk_management/position.rs
@@ -0,0 +1,13 @@
+/*
+Define position object and how to interact with positions
+    - What is the position
+    - What are the risk characteristics
+    - How does it fit into the larger portfolio (purpose)
+Position monitor object may also be included here
+    - How should we manage this position?
+        ~ Do we need to implement a custom trailing SL
+        ~ Should it close if volatility is too high?
+        ~ Should it close at a certain time/date
+    - How frequently does this need to be monitored?
+
+*/
\ No newline at end of file
diff --git a/src/risk_management/risk_eval.rs b/src/risk_management/risk_eval.rs
new file mode 100644
index 0000000..15ea7aa
--- /dev/null
+++ b/src/risk_management/risk_eval.rs
@@ -0,0 +1,7 @@
+/*
+Determine the risk characterisitcs of an asset/position
+What is doomsday senario for an asset/position?
+Is this correlated/counter to any of the current strategy or portfolio positions
+Are we confortable taking this position?
+What is the max allocation we can take in this portfolio?
+*/
\ No newline at end of file
diff --git a/src/risk_management/strategy.rs b/src/risk_management/strategy.rs
new file mode 100644
index 0000000..771de09
--- /dev/null
+++ b/src/risk_management/strategy.rs
@@ -0,0 +1,12 @@
+/*
+How do we bring in some strategy details from a database so that we can easily adjust 
+the program without need to change hard coded values or restart the application
+
+This should focus on strategy details that are shared amoung the vast majority of strategies, nothing too obscure
+- Max position size
+- Max position loss
+- Max daily loss
+- Max concurrent orders/positions
+- Enforeced stop loss
+- Min portfolio diversity / max position allocation
+*/
\ No newline at end of file