RiskLimit#

struct RiskLimit#

Risk limit for {exchange, symbol}.

Public Members

Exchange exchange#

Exchange.

Symbol symbol#

Symbol.

double long_position = 0.0#

Position (long)

double short_position = 0.0#

Position (short)

double long_position_limit = NaN#

Position limit (long)

double short_position_limit = NaN#

Position limit (short)

double long_risk_exposure_limit = NaN#

Risk exposure limit (long)

double short_risk_exposure_limit = NaN#

Risk exposure limit (short)

bool allow_netting = false#

Allow netting?