openpit 0.5.0

Embeddable pre-trade risk SDK

OpenPit (Pre-trade Integrity Toolkit) for Python

openpit is an embeddable pre-trade risk SDK for integrating policy-driven risk checks into trading systems from Python.

For an overview and links to all resources, see the project website openpit.dev. For the Python API guide and generated reference, see openpit.readthedocs.io. For full project documentation, see the repository README. For conceptual and architectural pages, see the project wiki.

Versioning Policy (Pre‑1.0)

Before the 1.0 release OpenPit follows a relaxed Semantic Versioning:

• PATCH releases carry bug fixes and small internal corrections.
• MINOR releases may introduce new features and may also change the public interface.

Breaking API changes can appear in minor releases before 1.0. Pick version constraints that tolerate API evolution during the pre-stable phase.

Getting Started

Visit the PyPI package.

Examples

Runnable end-to-end examples live in examples/python/:

• spot_funds - simplest SpotFunds policy integration (limit-only).
• spot_table - table-driven test runner for the SpotFunds policy.
• rate_pnl_killswitch - rate-limit + P&L kill-switch supervisor.

Install

For normal end-user installation, use the published PyPI package:

pip install openpit

If you need local development/debugging, clone this repository and build from source with Maturin:

maturin develop --manifest-path bindings/python/Cargo.toml

Local release build:

maturin develop --release --manifest-path bindings/python/Cargo.toml

Engine

Overview

The engine evaluates an order through a deterministic pre-trade pipeline:

• engine.start_pre_trade(order=...) runs lightweight start-stage checks
• request.execute() runs main-stage check policies
• reservation.commit() applies reserved state
• reservation.rollback() reverts reserved state
• engine.apply_execution_report(report=...) updates post-trade policy state

Start-stage checks aggregate rejects from all registered policies. Main-stage checks aggregate rejects and run rollback mutations in reverse order when any reject is produced.

Built-in policies:

• SpotFundsPolicy - per-account solvency gate over spendable funds
• OrderValidationPolicy - structural integrity checks on every order
• RateLimitPolicy - throttle order flow per broker, asset, or account
• OrderSizeLimitPolicy - fat-finger caps on quantity and notional
• PnlBoundsKillSwitchPolicy - halt an account when realized P&L breaches bounds

The primary integration model is to write project-specific policies against the public Python policy API: Custom Python policies.

Threading

Canonical contract: Threading Contract.

Public methods acquire the GIL when needed; the SDK does not release the GIL across callback boundaries, so Python policies execute on the calling thread.

Custom policies that need internal state across calls can use the built-in Storage abstraction. In typical Python usage (synchronous code or an asyncio loop pinned to one thread) the no-sync policy is sufficient and the storage compiles down to direct dictionary access. A synchronizing policy is needed only when the engine is genuinely shared across OS threads.

Usage

import datetime
import openpit
import openpit.pretrade.policies

# 1. Configure policies.
pnl_policy = (
    openpit.pretrade.policies.build_pnl_bounds_killswitch()
    .broker_barriers(
        openpit.pretrade.policies.PnlBoundsBrokerBarrier(
            settlement_asset="USD",
            lower_bound=openpit.param.Pnl("-1000"),
        ),
    )
)

rate_limit_policy = (
    openpit.pretrade.policies.build_rate_limit()
    .broker_barrier(
        openpit.pretrade.policies.RateLimitBrokerBarrier(
            limit=openpit.pretrade.policies.RateLimit(
                max_orders=100,
                window=datetime.timedelta(seconds=1),
            ),
        ),
    )
)

max_qty = openpit.param.Quantity("500")
max_notional = openpit.param.Volume("100000")
order_size_policy = (
    openpit.pretrade.policies.build_order_size_limit()
    .broker_barrier(
        openpit.pretrade.policies.OrderSizeBrokerBarrier(
            limit=openpit.pretrade.policies.OrderSizeLimit(
                max_quantity=max_qty,
                max_notional=max_notional,
            ),
        )
    )
    .asset_barriers(
        openpit.pretrade.policies.OrderSizeAssetBarrier(
            limit=openpit.pretrade.policies.OrderSizeLimit(
                max_quantity=max_qty,
                max_notional=max_notional,
            ),
            settlement_asset="USD",
        ),
    )
)

# 2. Build the engine (one time at the platform initialization).
engine = (
    openpit.Engine.builder()
    .no_sync()
    .builtin(openpit.pretrade.policies.build_order_validation())
    .builtin(pnl_policy)
    .builtin(rate_limit_policy)
    .builtin(order_size_policy)
    .build()
)

# 3. Check an order.
order = openpit.Order(
    operation=openpit.OrderOperation(
        instrument=openpit.Instrument("AAPL", "USD"),
        account_id=openpit.param.AccountId.from_int(99224416),
        side=openpit.param.Side.BUY,
        trade_amount=openpit.param.TradeAmount.quantity(100.0),
        price=openpit.param.Price(185.0),
    ),
)

start_result = engine.start_pre_trade(order=order)

if not start_result:
    messages = ", ".join(
        f"{r.policy} [{r.code}]: {r.reason}: {r.details}"
        for r in start_result.rejects
    )
    raise RuntimeError(messages)

request = start_result.request

# 4. Quick, lightweight checks, such as fat-finger scope or enabled kill
# switch, were performed during pre-trade request creation. The system state
# has not yet changed, except in cases where each request, even rejected ones,
# must be considered. Before the heavy-duty checks, other work on the request
# can be performed simply by holding the request object.

# 5. Real pre-trade and risk control.
execute_result = request.execute()

# Optional shortcut for the same two-stage flow:
# execute_result = engine.execute_pre_trade(order=order)

if not execute_result:
    messages = ", ".join(
        f"{reject.policy} [{reject.code}]: {reject.reason}: {reject.details}"
        for reject in execute_result.rejects
    )
    raise RuntimeError(messages)

reservation = execute_result.reservation

# 6. If the request is successfully sent to the venue, it must be committed.
# The rollback must be called otherwise to revert all performed reservations.
try:
    send_order_to_venue(order)
except Exception:
    reservation.rollback()
    raise

reservation.commit()

# 7. The order goes to the venue and returns with an execution report.
report = openpit.ExecutionReport(
    operation=openpit.ExecutionReportOperation(
        instrument=openpit.Instrument("AAPL", "USD"),
        account_id=openpit.param.AccountId.from_int(99224416),
        side=openpit.param.Side.BUY,
    ),
    financial_impact=openpit.FinancialImpact(
        pnl=openpit.param.Pnl("-50"),
        fee=openpit.param.Fee("3.4"),
    ),
)

result = engine.apply_execution_report(report=report)

# 8. After each execution report is applied, the system may report that it has
# been determined in advance that all subsequent requests will be rejected if
# the account status does not change.
assert not result.account_blocks

Errors

Policy rejects from engine.start_pre_trade() and request.execute() are returned as StartResult and ExecuteResult.

Input validation errors and API misuse still raise exceptions:

• ValueError for invalid assets/sides/malformed numeric inputs
• RuntimeError for lifecycle misuse, for example executing the same request twice or finalizing the same reservation twice
• Business rejects use stable reject codes such as openpit.pretrade.RejectCode.ORDER_VALUE_CALCULATION_FAILED when a policy cannot evaluate order value without price

Local Testing

Recommended local flow:

maturin develop --manifest-path bindings/python/Cargo.toml
python -m pytest bindings/python/tests

Run only unit tests:

maturin develop --manifest-path bindings/python/Cargo.toml
python -m pytest bindings/python/tests/unit

Run only integration test:

maturin develop --manifest-path bindings/python/Cargo.toml
python -m pytest bindings/python/tests/integration

For full build/test command matrix (manual and just), see the repository README.