feat: implement risk management and (wip: production readiness)

.pre-commit-config.yaml

@@ -6,6 +6,7 @@ repos:
       - id: trailing-whitespace
       - id: end-of-file-fixer
       - id: check-yaml
+        args: ['--allow-multiple-documents']
       - id: check-added-large-files
       - id: check-merge-conflict
       - id: mixed-line-ending

CMakeLists.txt

@@ -220,6 +220,12 @@ set(EXCHANGE_SOURCES
     # exchange/fix/InteractiveBrokersFixConnector.cpp
 )
 
+# Risk management library files
+set(RISK_SOURCES
+    core/risk/RiskManager.cpp core/risk/CircuitBreaker.cpp
+    core/risk/VaREngine.cpp core/risk/AlertManager.cpp
+    core/risk/DisasterRecovery.cpp)
+
 # Create core library
 add_library(core STATIC ${CORE_SOURCES})
 target_link_libraries(
@@ -233,9 +239,21 @@ target_link_libraries(
          spdlog::spdlog
          fmt::fmt)
 
+# Create risk library
+add_library(risk STATIC ${RISK_SOURCES})
+target_link_libraries(
+  risk
+  PUBLIC core
+         Threads::Threads
+         Boost::system
+         Boost::filesystem
+         nlohmann_json::nlohmann_json
+         spdlog::spdlog
+         fmt::fmt)
+
 # Create strategy library
 add_library(strategy STATIC ${STRATEGY_SOURCES})
-target_link_libraries(strategy PUBLIC core Threads::Threads Boost::system
+target_link_libraries(strategy PUBLIC core risk Threads::Threads Boost::system
                                       Boost::filesystem)
 
 # Create exchange library
@@ -271,6 +289,7 @@ if(BUILD_VISUALIZATION)
   target_link_libraries(
     visualization
     PUBLIC core
+           risk
            strategy
            Threads::Threads
            Boost::system
@@ -294,12 +313,14 @@ if(BUILD_VISUALIZATION)
 endif()
 set(PINNACLEMM_LIBS
     core
+    risk
     strategy
     exchange
     Threads::Threads
     Boost::system
     Boost::filesystem
     Boost::program_options
+    nlohmann_json::nlohmann_json
     spdlog::spdlog
     fmt::fmt)
 
@@ -431,6 +452,42 @@ if(BUILD_TESTS)
   add_executable(routing_test tests/routing_test.cpp)
   target_link_libraries(routing_test core exchange Threads::Threads fmt::fmt)
   add_test(NAME RoutingTests COMMAND routing_test)
+
+  # Risk Manager tests
+  add_executable(risk_manager_tests tests/unit/RiskManagerTests.cpp)
+  target_link_libraries(risk_manager_tests core risk GTest::gtest_main
+                        GTest::gtest Threads::Threads)
+  add_test(NAME RiskManagerTests COMMAND risk_manager_tests)
+
+  # Circuit Breaker tests
+  add_executable(circuit_breaker_tests tests/unit/CircuitBreakerTests.cpp)
+  target_link_libraries(circuit_breaker_tests core risk GTest::gtest_main
+                        GTest::gtest Threads::Threads)
+  add_test(NAME CircuitBreakerTests COMMAND circuit_breaker_tests)
+
+  # VaR Engine tests
+  add_executable(var_engine_tests tests/unit/VaREngineTests.cpp)
+  target_link_libraries(var_engine_tests core risk GTest::gtest_main
+                        GTest::gtest Threads::Threads)
+  add_test(NAME VaREngineTests COMMAND var_engine_tests)
+
+  # Alert Manager tests
+  add_executable(alert_manager_tests tests/unit/AlertManagerTests.cpp)
+  target_link_libraries(alert_manager_tests core risk GTest::gtest_main
+                        GTest::gtest Threads::Threads)
+  add_test(NAME AlertManagerTests COMMAND alert_manager_tests)
+
+  # Disaster Recovery tests
+  add_executable(disaster_recovery_tests tests/unit/DisasterRecoveryTests.cpp)
+  target_link_libraries(
+    disaster_recovery_tests
+    core
+    risk
+    GTest::gtest_main
+    GTest::gtest
+    Threads::Threads
+    Boost::filesystem)
+  add_test(NAME DisasterRecoveryTests COMMAND disaster_recovery_tests)
 endif()
 
 # Benchmarks
@@ -496,6 +553,11 @@ if(BUILD_BENCHMARKS)
                  tests/performance/BacktestingBenchmark.cpp)
   target_link_libraries(backtesting_benchmark core strategy
                         benchmark::benchmark Threads::Threads)
+
+  # Risk check benchmarks
+  add_executable(risk_check_benchmark tests/performance/RiskCheckBenchmark.cpp)
+  target_link_libraries(risk_check_benchmark core risk benchmark::benchmark
+                        Threads::Threads)
 endif()
 
 # Install targets

Dockerfile

@@ -121,9 +121,16 @@ WORKDIR /app
 COPY --from=builder /app/build/pinnaclemm /app/
 COPY --from=builder /app/config/ /app/config/
 
+# Create logs and data directories
+RUN mkdir -p /app/logs /app/data /app/data/backups
+
 # Set environment variables
 ENV LD_LIBRARY_PATH=/usr/local/lib
 
+# Health check
+HEALTHCHECK --interval=30s --timeout=10s --start-period=30s --retries=3 \
+  CMD curl -f http://localhost:8081/api/health || exit 1
+
 # Default command
 ENTRYPOINT ["/app/pinnaclemm"]
 CMD ["--mode", "simulation", "--symbol", "BTC-USD", "--verbose"]

README.md

@@ -45,6 +45,12 @@ PinnacleMM is a high-performance, production-grade market making system designed
 - **Advanced Backtesting**: Historical data replay with Monte Carlo analysis and A/B testing
 - **Real-Time Visualization**: Professional web dashboard with live performance monitoring (access at `visualization/static/index.html` when running with `--enable-visualization`)
 - **Structured Data Export**: JSON Lines (JSONL) logging for market data, strategy metrics, and trading events with `--json-log` flag
+- **Risk Management**: Pre-trade risk checks (~750ns), position/exposure limits, drawdown tracking, daily loss limits, and auto-hedging
+- **Circuit Breaker**: Automatic market halt on rapid price moves, spread widening, volume spikes, latency degradation, or crisis regime detection
+- **Real-Time VaR**: Value at Risk using historical, parametric, and Monte Carlo (10K simulations) methods with lock-free double-buffered reads
+- **Alerting System**: 16 alert types with throttling, severity levels, and WebSocket delivery to the dashboard
+- **Disaster Recovery**: Atomic risk state persistence, position reconciliation, and labeled backup management
+- **Kubernetes Deployment**: Production-ready StatefulSet with health probes, PVC, network policies, and pod disruption budget
 - **Enterprise Security**: AES-256-CBC encryption with unique salts, 100,000 PBKDF2 iterations, secure password input, comprehensive input validation, audit logging, rate limiting, and certificate pinning
 - **Comprehensive Testing**: Extensive test suite ensuring reliability and performance
 
@@ -53,6 +59,7 @@ PinnacleMM is a high-performance, production-grade market making system designed
 PinnacleMM follows a modular, layered architecture:
 
 - **Core Engine Layer**: Ultra-low latency components handling order book and execution
+- **Risk Layer**: Pre-trade checks, circuit breaker, VaR engine, alerting, and disaster recovery
 - **Strategy Layer**: Pluggable strategies for different market making approaches
 - **Exchange Layer**: Multi-protocol connectivity (WebSocket, FIX) with simulation capabilities
 - **Persistence Layer**: Memory-mapped file system for crash recovery
@@ -116,7 +123,6 @@ make -j$(sysctl -n hw.ncpu)  # macOS
 ```
 
 ### Script Features Comparison
-> **Note**: I will update later on after completing phase 4 and 5, cleaning up the code and getting PinnacleMM ready for optimization and production deployment.
 
 | Feature | Native Script (`scripts/run-native.sh`) | Docker Script (`scripts/run-docker.sh`) |
 |---------|-----------------------------------|-----------------------------------|
@@ -413,6 +419,11 @@ docker run -it --name pinnaclemm-live \
 
 - **Order Book Engine**: Ultra-fast matching engine with lock-free operations
 - **Market Making Strategy**: Adaptive pricing based on market conditions
+- **Risk Manager**: Lock-free pre-trade risk checks with position, exposure, and loss limits
+- **Circuit Breaker**: Market circuit breaker with 8 triggers and automatic recovery
+- **VaR Engine**: Real-time Value at Risk with Monte Carlo simulations on a background thread
+- **Alert Manager**: Alerting system with throttling and real-time WebSocket delivery
+- **Disaster Recovery**: Atomic state persistence, position reconciliation, and backup management
 - **ML Spread Optimization**: Neural network-based spread prediction with ~1-2μs latency
 - **Order Book Flow Analyzer**: Real-time analysis of order flow patterns and market microstructure
 - **Market Impact Predictor**: Advanced models for predicting price impact of trades
@@ -432,7 +443,12 @@ docker run -it --name pinnaclemm-live \
 - [API Reference](docs/api/reference.md)
 - [Project Roadmap](docs/ROADMAP.md)
 
-### Advanced Features (Phase 3 - All Complete)
+### Risk Management & Production
+- [Risk Management](docs/RISK_MANAGEMENT.md) - **Pre-trade checks, VaR, circuit breaker, alerting**
+- [Disaster Recovery](docs/DISASTER_RECOVERY.md) - **Operational runbook for crash recovery and backups**
+- [Kubernetes Deployment](docs/KUBERNETES_DEPLOYMENT.md) - **Production K8s deployment guide**
+
+### Advanced Features (ML)
 - [ML Spread Optimization](docs/ML_SPREAD_OPTIMIZATION.md) - **Neural network-based spread prediction**
 - [Order Book Flow Analysis](docs/ORDER_BOOK_FLOW_ANALYSIS.md) - **Real-time market microstructure analysis**
 - [Market Impact Prediction](docs/MARKET_IMPACT_PREDICTION.md) - **Advanced trade impact modeling**
@@ -488,7 +504,7 @@ The PinnacleMM system includes a professional web-based dashboard for real-time
 - **Strategy Controls**: Multiple strategy monitoring and comparison
 - **Market Regime Visualization**: Real-time regime detection with confidence indicators
 - **ML Metrics Panel**: Model accuracy, prediction latency, and retrain statistics
-- **Risk Analysis**: VaR calculations, drawdown analysis, and risk metrics
+- **Risk Analysis**: Real-time VaR (historical, parametric, Monte Carlo), circuit breaker status, position/exposure limits, drawdown tracking, and alerting
 
 ### Technical Details
 - **Frontend**: HTML5/CSS3/JavaScript with Chart.js and D3.js
@@ -515,6 +531,8 @@ open build/test_dashboard.html
 - [Interactive Brokers Setup](docs/IB_TESTING_GUIDE.md)
 
 ### System Administration
+- [Kubernetes Deployment](docs/KUBERNETES_DEPLOYMENT.md)
+- [Disaster Recovery Runbook](docs/DISASTER_RECOVERY.md)
 - [Persistence System](docs/architecture/persistence.md)
 - [Recovery Guide](docs/user_guide/recovery.md)
 - [Security & API Key Management](docs/security/credentials.md)
@@ -541,6 +559,8 @@ PinnacleMM achieves exceptional performance metrics:
 
 - **Order Book Update Latency**: <1 μs (microsecond)
 - **Order Execution Latency**: <50 μs (end-to-end)
+- **Pre-Trade Risk Check**: ~750ns (lock-free, 8 sequential checks)
+- **Circuit Breaker Check**: ~5ns (single atomic load)
 - **ML Prediction Latency**: 1-3 μs (neural network inference)
 - **Throughput**: 100,000+ messages per second
 - **Recovery Time**: <5 seconds for full system recovery
@@ -570,6 +590,14 @@ cd build
 # ✓ Multi-venue execution with 1ms latency
 # ✓ 8 completed fills across multiple strategies
 
+# Test risk management components (Phase 4)
+./risk_manager_tests          # 11 tests - pre-trade checks, position limits
+./circuit_breaker_tests       # 10 tests - state machine, triggers
+./var_engine_tests            # 8 tests - VaR calculations
+./alert_manager_tests         # 8 tests - alerting, throttling
+./disaster_recovery_tests     # 8 tests - state persistence, backups
+./risk_check_benchmark        # Risk check latency benchmarks
+
 # Memory safety validation with Address Sanitizer (development builds)
 cmake -DCMAKE_BUILD_TYPE=Debug -DENABLE_SANITIZERS=ON .. && make -j8
 ./pinnaclemm --mode simulation --symbol BTC-USD --verbose

config/default_config.json

@@ -59,5 +59,47 @@
       "snapshotIntervalMin": 15,
       "keepSnapshots": 5,
       "compactionThreshold": 1000000
+    },
+    "risk_management": {
+      "limits": {
+        "max_position_size": 10.0,
+        "max_notional_exposure": 1000000.0,
+        "max_net_exposure": 500000.0,
+        "max_gross_exposure": 2000000.0,
+        "max_drawdown_pct": 5.0,
+        "daily_loss_limit": 10000.0,
+        "max_order_size": 1.0,
+        "max_order_value": 50000.0,
+        "max_daily_volume": 100.0,
+        "max_orders_per_second": 100
+      },
+      "circuit_breaker": {
+        "price_move_1min_pct": 2.0,
+        "price_move_5min_pct": 5.0,
+        "spread_widen_multiplier": 3.0,
+        "volume_spike_multiplier": 5.0,
+        "cooldown_period_ms": 30000,
+        "half_open_test_duration_ms": 10000,
+        "max_latency_us": 10000,
+        "price_history_size": 300
+      },
+      "var": {
+        "window_size": 252,
+        "simulation_count": 10000,
+        "horizon": 1.0,
+        "update_interval_ms": 60000,
+        "var_limit_pct": 2.0
+      },
+      "auto_hedge": {
+        "enabled": false,
+        "threshold_pct": 50.0,
+        "interval_ms": 5000
+      },
+      "alerts": {
+        "min_interval_ms": 5000,
+        "max_history": 1000,
+        "warning_threshold_pct": 80.0,
+        "critical_threshold_pct": 100.0
+      }
     }
 }