Summary:
This risk management script limits the amount of equity invested in a single symbol by a fixed equity amount.
The script cancels entry orders which would increase the position size over the specified threshold.

                    
#region Namespaces using System; using System.IO; using System.Linq; #endregion namespace ScriptCode { /// <summary> /// Risk management scripts are used for managing risk by modifying or cancelling trading strategy orders based on portfolio level risk analysis. /// /// This script can be used in several ways: /// (1) It can be used to manage risk by providing a bird's eye view of the entire desktop, including all of its strategies. /// (2) It can be used to limit overexposure to a single symbol due to multiple trading strategies that are trading it. /// (3) It can be used to manage risk during market meltdowns or during extreme volatility. /// </summary> public partial class MyRiskManagement : RiskManagementScriptBase // NEVER CHANGE THE CLASS NAME { #region Variables // Use for the maximum equity that a single symbol can be allocated. private double _maxEquity; // Use for the currency code the equity is denominated in. private string _currencyCode; #endregion #region OnInitialize /// <summary> /// This function is used for accepting the script parameters and for initializing the script prior to all other function calls. /// Once the script is assigned to a desktop, its parameter values can be specified by the user and can be selected for optimization. /// </summary> /// -------------------------------------------------------------------------------------------------- /// PLEASE USE THE SCRIPT WIZARD (CTRL+W) TO ADD, EDIT AND REMOVE THE SCRIPT PARAMETERS /// -------------------------------------------------------------------------------------------------- /// YOU MUST SET A PARAM TAG FOR EACH PARAMETER ACCEPTED BY THIS FUNCTION. /// ALL PARAM TAGS SHOULD BE SET IN THE 'OnInitialize' REGION, RIGHT ABOVE THE 'OnInitialize' FUNCTION. /// THE ORDER OF THE TAGS MUST MATCH THE ORDER OF THE ACTUAL PARAMETERS. /// REQUIRED ATTRIBUTES: /// (1) name: The exact parameter name. /// (2) type: The type of data to collect from the user: /// Set to "Integer" when the data type is 'int' /// Set to "IntegerArray" when the data type is 'int[]' /// Set to "DateTime" when the data type is 'long' /// Set to "DateTimeArray" when the data type is 'long[]' /// Set to "Boolean" when the data type is 'bool' /// Set to "BooleanArray" when the data type is 'bool[]' /// Set to "Double" when the data type is 'double' /// Set to "DoubleArray" when the data type is 'double[]' /// Set to "String" when the data type is 'string' /// Set to "StringArray" when the data type is 'string[]' /// OPTIONAL ATTRIBUTES: /// (3) default: The default parameter value is only valid when the type is Integer, Boolean, Double, String or an API Type. /// (4) min: The minimum parameter value is only valid when the type is Integer or Double. /// (5) max: The maximum parameter value is only valid when the type is Integer or Double. /// EXAMPLE: <param name="" type="" default="" min="" max="">Enter the parameter description here.</param> /// -------------------------------------------------------------------------------------------------- /// <param name="maxEquity" type="Double" default="10000">Use for the maximum equity that a single symbol can be allocated.</param> /// <param name="currencyCode" type="String" default="USD">Use for the currency code the equity is denominated in.</param> public void OnInitialize( double maxEquity, string currencyCode) { // Set the script parameter to a script variable. _maxEquity = maxEquity; _currencyCode = currencyCode; } #endregion #region OnRiskManagement /// <summary> /// This function is called for each new pending order so that it may modify or cancel it if necessary. /// </summary> /// <param name="strategyNumber" type="Integer">The strategy number to which the order belongs</param> /// <param name="orderIndex" type="Integer">The order index in the orders table</param> public override void OnRiskManagement( int strategyNumber, int orderIndex) { // Check whether the order is an exit order which should never be cancelled as it decreases risk. if (OrderActionType(strategyNumber, orderIndex) == IQ_ActionType.BUY_TO_COVER || OrderActionType(strategyNumber, orderIndex) == IQ_ActionType.SELL) return; // Get the symbol index for the order. int symbolIndex = OrderSymbolIndex(strategyNumber, orderIndex); // Get the exchange rate between the symbol and the specified currency code. double exchangeRate = StrategyGetExchangeRate(SymbolCurrencyCode(strategyNumber, symbolIndex), _currencyCode); // Use for the symbol equity; double symbolEquity = 0; // Iterate over all of the strategies. for (int i = 0; i < StrategyCount(); i++) { // Check whether the strategy is active. if (StrategyIsActive(i)) { // Get the pending orders for the symbol in the current strategy. int[] pendingOrderIndexes = OrderByStatus(i, IQ_Status.PENDING, symbolIndex); // Iterate over all of the pending orders. for (int j = 0; j < pendingOrderIndexes.Length; j++) { // Check whether the pending order is an entry order. if (OrderActionType(i, pendingOrderIndexes[j]) == IQ_ActionType.BUY || OrderActionType(i, pendingOrderIndexes[j]) == IQ_ActionType.SELL_SHORT) // Add the expected equity of the current pending order. symbolEquity += exchangeRate * OrderExpectedPrice(i, pendingOrderIndexes[j]) * OrderQuantity(i, pendingOrderIndexes[j]); } // Get the open position indexes of the specifieed symbol in the current strategy. int[] openPositionIndexes = PositionByStatus(i, IQ_TradeStatus.OPEN, symbolIndex); // Iterate over all of the open position indexes. for (int j = 0; j < openPositionIndexes.Length; j++) { // Add the equity of the current position. symbolEquity += exchangeRate * PositionCurrentValue(i, openPositionIndexes[j]); } } } // Check whether the symbol equity is too much. if (symbolEquity >= _maxEquity) { BrokerCancelOrder(strategyNumber, orderIndex, "Risk management, max equity limit."); } } #endregion #region OnShutdown /// <summary> /// This function is called when the script is shutdown. /// </summary> public override void OnShutdown() { } #endregion } }

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