Risk metrics calculation

[jpmediadev]

The calculation of the current equity and derivatives is based on the executed orders. If this is a high-frequency trading, then everything is ok, but if the period of holding the asset is long, then the volatility of the asset during the holding period is not taken into account. Accordingly, the risk profile may be worse than it shows

perhaps this is a rare case, but nevertheless, users need to know this ...

engine.trader.generate_account_report(BINANCE)


2021-02-01 00:01:03.548456+00:00 | 100000.00000000
balance_USDT
timestamp	
2021-02-01 00:01:03.548456+00:00	100000.00000000
2021-02-01 00:02:03.601181+00:00	99933.84172000
2021-02-01 10:02:24.761131+00:00	102448.44010000
2021-02-01 10:03:24.769715+00:00	102379.72808000
2021-02-01 20:03:48.019903+00:00	101407.34064000
...	...
2021-03-16 10:27:17.481950+00:00	139150.87093000
2021-03-16 10:28:17.493945+00:00	139095.26471000
2021-03-16 20:28:36.535599+00:00	138380.19969000
2021-03-16 20:29:36.553532+00:00	138323.88780000
2021-03-16 23:59:43.809309+00:00	137616.88587000

[cjdsellers]

You're correct, and this is indeed on the backlog to be added. So what I mean by that is there should be tracking for max drawdown and even max profit during a positions holding period.

Could be called high and low water marks maybe?

Lets keep this issue here until its added.

[jpmediadev]

You're correct, and this is indeed on the backlog to be added. So what I mean by that is there should be tracking for max drawdown and even max profit during a positions holding period.

Could be called high and low water marks maybe?

probably, but I'm not sure)

[cjdsellers]

My thoughts right now are to provide this functionality with an optional component which can subscribe to position events and also ticks, possibly it could update in time snapshots or when certain thresholds are crossed.

This may be appropriate through the RiskEngine, or a new component such as a RiskAnalyzer etc.

[jpmediadev]

Reasonable compromise, additional complication on demand ...

[cjdsellers]

Currently I feel this would be a valuable feature to aid trading analysis, however closing for now in favour of opening a more specific issue when something is being actively worked on.