I used to work in the HFT, and I don´t understand is why there was no risk controls. They way we did it was to have explicit shutdown/pause rules (pause meaning that the strategy will only try to get flat).
The rules where things like:
- Too many trades in one direction (AKA. big pos)
- P/L down by X over Y
- P/L up by X over Y
- Orders way off the current price
When ever there was a shutdown/pause a human/trader would need to assess the situation and decide to continue or not.
We have something similar in house, it is basically proxy that runs on our app-server and our app connects to. It will then parse incoming queries and route queries to the correct schema/server base on the WHERE clause (also supports INSERT). We would like to on open source it, but right now it specific to our needs (e.g hard coded hash function).
The rules where things like: - Too many trades in one direction (AKA. big pos) - P/L down by X over Y - P/L up by X over Y - Orders way off the current price
When ever there was a shutdown/pause a human/trader would need to assess the situation and decide to continue or not.