[spitfire]

I see cash and risk management both as separate domains in their own right equal to if not more important than the actual algorithm. I don't think they can be folded into the algorithm itself - there is a reason banks have separate risk departments.

Eg: For risk management I might not allow any trading whatsoever when the VIX is over 40, and the 5 day stddev of the S&P is above some threshold.

Similarly, I might scale my capital usage based on my risk metrics. Or scale the capital available to a particular algorithm based on its individual risk profile.

Recreating risk management in each algorithm seems like a bad idea. But even worse is pushing off risk to the user to do in an ad-hoc way.