pyfortis 0.0.1

Config-driven risk engine for trading systems

PyFortis

Config-driven risk engine for trading systems.

PyFortis lets you define limits, metrics, and circuit breakers in YAML, then validate orders and run risk checks through a simple Python API. It supports stateless validation, stateful monitors, and a full orchestrator with pluggable stores and handlers.

Install

pip install pyfortis

Optional extras (install what you need):

pip install pyfortis[metrics]   # NumPy/SciPy for VaR, drawdown, etc.
pip install pyfortis[validation]  # Pydantic for schema validation
pip install pyfortis[full]     # All optional dependencies

Extra	Purpose
validation	Pydantic-based config validation
db	SQLAlchemy + Alembic
api	FastAPI + Uvicorn
kafka	Confluent Kafka
metrics	NumPy/SciPy for risk metrics
redis	Redis client
full	All of the above

Quick start

Load an engine from a YAML config, then validate orders:

from pathlib import Path
from pyfortis import Order, RiskEngine, Side

engine = RiskEngine.from_yaml(Path("risk_config.yaml"))

order = Order(
    order_id="o-001",
    instrument="AAPL",
    side=Side.BUY,
    quantity=100,
    price=150.0,
    portfolio="default",
)
result = engine.validate_order(order)
print(result.verdict.value, result.message)

See examples/basic_usage.py and examples/risk_config.yaml for a full walkthrough.

Concepts

• Limits — Pre-trade checks (position size, concentration, price tolerance, notional, etc.) with configurable severity (INFO, WARNING, CRITICAL, KILL).
• Metrics — Post-trade or periodic risk metrics (VaR, CVaR, drawdown, volatility, etc.) with optional breach thresholds.
• Circuit breakers — Halt trading when conditions are met (e.g. daily PnL loss, drawdown).
• Three layers:
  • Engine — Stateless: load config, validate single orders without position context.
  • Monitor — Stateful: hold positions in memory, validate orders and check circuit breakers.
  • Orchestrator — Persistent: load/save positions and breaches via stores, run metrics, dispatch handlers (log, notify, block, etc.).

Config supports env-var substitution (e.g. ${VAR} or ${VAR:-default}) and a breach escalation policy per severity.

Links

• Changelog
• Contributing
• License