release: v0.9.2 — risk hard caps, broker abstraction, execution guardrails

nanobook-risk 0.4.0:
- max_order_value_cents / max_batch_value_cents checks (single + batch)
- Config validation for new fields
- Python bindings for new params

nanobook-rebalancer 0.4.0:
- Centralize risk: delegate to nanobook-risk instead of hand-rolled checks
- BrokerGateway trait decouples execution from IbkrClient
- enforce_max_orders_per_run() guardrail before order submission
- as_connection_error() helper replaces repeated .map_err chains

Author: ricardofrantz

.gitignore

@@ -12,6 +12,7 @@ Cargo.lock
 __pycache__/
 *.pyc
 *.so
+uv.lock
 
 # OS
 .DS_Store

CHANGELOG.md

@@ -7,6 +7,33 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 ## [Unreleased]
 
+## [0.9.2] - 2026-02-12
+
+### Added
+
+- **Risk engine hard caps** (`nanobook-risk` 0.4.0):
+  - `max_order_value_cents` — per-order notional limit (single-order and batch checks)
+  - `max_batch_value_cents` — aggregate batch notional limit
+  - Config validation for both fields
+  - Python bindings: `RiskEngine(max_order_value_cents=..., max_batch_value_cents=...)`
+- **Rebalancer execution guardrail** (`nanobook-rebalancer` 0.4.0):
+  - `enforce_max_orders_per_run()` — aborts rebalance when generated orders exceed `max_orders_per_run` config
+  - Config validation: `max_orders_per_run` must be > 0
+
+### Changed
+
+- **Rebalancer risk centralization** (`nanobook-rebalancer` 0.4.0):
+  - Replaced ~140 lines of hand-rolled risk checks with delegation to `nanobook-risk` crate
+  - Re-exports `RiskReport`/`RiskCheck`/`RiskStatus` from shared risk crate
+- **Broker abstraction** (`nanobook-rebalancer` 0.4.0):
+  - New `BrokerGateway` trait decouples execution from IBKR internals
+  - `connect_ibkr()` returns `Box<dyn BrokerGateway>` instead of concrete `IbkrClient`
+  - `as_connection_error()` helper replaces repeated `.map_err(...)` chains
+
+### Fixed
+
+- **README**: documented that `max_drawdown_pct` is validated at construction but not yet enforced at execution time
+
 ## [0.9.1] - 2026-02-11
 
 ### Fixed
@@ -317,7 +344,8 @@ Initial release of nanobook - a deterministic limit order book and matching engi
 - Fixed-point price representation (avoids floating-point errors)
 - Deterministic via monotonic timestamps (not system clock)
 
-[Unreleased]: https://github.com/ricardofrantz/nanobook/compare/v0.9.1...HEAD
+[Unreleased]: https://github.com/ricardofrantz/nanobook/compare/v0.9.2...HEAD
+[0.9.2]: https://github.com/ricardofrantz/nanobook/compare/v0.9.1...v0.9.2
 [0.9.1]: https://github.com/ricardofrantz/nanobook/compare/v0.9.0...v0.9.1
 [0.9.0]: https://github.com/ricardofrantz/nanobook/compare/v0.8.0...v0.9.0
 [0.8.0]: https://github.com/ricardofrantz/nanobook/compare/v0.7.0...v0.8.0

Cargo.toml

@@ -4,7 +4,7 @@ resolver = "2"
 
 [package]
 name = "nanobook"
-version = "0.9.1"
+version = "0.9.2"
 edition = "2024"
 rust-version = "1.85"
 description = "Production-grade Rust execution infrastructure for automated trading: LOB engine, portfolio simulator, broker abstraction, risk engine"

README.md

@@ -812,6 +812,11 @@ pub struct RiskConfig {
 }
 ```
 
+Notes:
+
+- `max_drawdown_pct` is validated at engine construction and preserved in config,
+  but not yet used in execution-time checks.
+
 ### Single Order Check
 
 ```rust

python/Cargo.toml

@@ -1,6 +1,6 @@
 [package]
 name = "nanobook-python"
-version = "0.9.1"
+version = "0.9.2"
 edition = "2024"
 publish = false
 

python/nanobook.pyi

@@ -25,7 +25,17 @@ class BinanceBroker:
     def quote(self, symbol: str) -> Dict[str, Any]: ...
 
 class RiskEngine:
-    def __init__(self, max_position_pct: float = 0.25, max_leverage: float = 1.5, max_drawdown_pct: float = 0.20, allow_short: bool = True, max_short_pct: float = 0.30, max_trade_usd: float = 100_000.0) -> None: ...
+    def __init__(
+        self,
+        max_position_pct: float = 0.25,
+        max_leverage: float = 1.5,
+        max_drawdown_pct: float = 0.20,
+        allow_short: bool = True,
+        max_short_pct: float = 0.30,
+        max_trade_usd: float = 100_000.0,
+        max_order_value_cents: int = 10_000_000,
+        max_batch_value_cents: int = 100_000_000,
+    ) -> None: ...
     def check_order(self, symbol: str, side: str, quantity: int, price_cents: int, equity_cents: int, positions: List[Tuple[str, int]]) -> List[Dict[str, Any]]: ...
     def check_batch(self, orders: List[Tuple[str, str, int, int]], equity_cents: int, positions: List[Tuple[str, int]], target_weights: List[Tuple[str, float]]) -> List[Dict[str, Any]]: ...
 

python/src/risk.rs

@@ -18,6 +18,8 @@ use crate::types::parse_symbol;
 ///     allow_short: Whether short selling is allowed
 ///     max_short_pct: Max short exposure as fraction of equity
 ///     max_trade_usd: Max single trade size in USD
+///     max_order_value_cents: Max single-order value in cents
+///     max_batch_value_cents: Max rebalance batch value in cents
 ///
 /// Example::
 ///
@@ -38,6 +40,8 @@ impl PyRiskEngine {
         allow_short=true,
         max_short_pct=0.30,
         max_trade_usd=100_000.0,
+        max_order_value_cents=10_000_000,
+        max_batch_value_cents=100_000_000,
     ))]
     fn new(
         max_position_pct: f64,
@@ -46,6 +50,8 @@ impl PyRiskEngine {
         allow_short: bool,
         max_short_pct: f64,
         max_trade_usd: f64,
+        max_order_value_cents: i64,
+        max_batch_value_cents: i64,
     ) -> Self {
         let config = RiskConfig {
             max_position_pct,
@@ -54,6 +60,8 @@ impl PyRiskEngine {
             allow_short,
             max_short_pct,
             max_trade_usd,
+            max_order_value_cents,
+            max_batch_value_cents,
             ..RiskConfig::default()
         };
         Self {

python/tests/test_risk.py

@@ -0,0 +1,56 @@
+import nanobook
+
+
+def _checks_by_name(report):
+    return {check["name"]: check for check in report}
+
+
+def test_risk_engine_accepts_new_cap_defaults():
+    risk = nanobook.RiskEngine(
+        max_order_value_cents=10_000,
+        max_batch_value_cents=10_000,
+    )
+    report = risk.check_order("AAPL", "buy", 50, 200, 100_000_000, [])
+    assert isinstance(report, list)
+    assert len(report) > 0
+
+
+def test_risk_order_value_boundary():
+    risk = nanobook.RiskEngine(
+        max_order_value_cents=10_000,
+        max_position_pct=1.0,
+        max_batch_value_cents=100_000_000,
+    )
+    report = risk.check_order("AAPL", "buy", 50, 200, 100_000_000, [])
+    checks = _checks_by_name(report)
+    assert checks["Max order value"]["status"] == "PASS"
+
+    fail_report = risk.check_order("AAPL", "buy", 51, 200, 100_000_000, [])
+    fail_checks = _checks_by_name(fail_report)
+    assert fail_checks["Max order value"]["status"] == "FAIL"
+
+
+def test_risk_batch_report_includes_cap_checks():
+    risk = nanobook.RiskEngine(
+        max_batch_value_cents=10_000,
+        max_order_value_cents=10_000,
+        max_position_pct=1.0,
+    )
+    report = risk.check_batch(
+        orders=[("AAPL", "buy", 100, 100), ("MSFT", "buy", 0, 0)],
+        equity_cents=100_000_000,
+        positions=[],
+        target_weights=[("AAPL", 0.5), ("MSFT", 0.5)],
+    )
+    checks = _checks_by_name(report)
+    assert "Max batch value" not in checks
+    assert "Max order value" not in checks
+
+    fail_report = risk.check_batch(
+        orders=[("AAPL", "buy", 30, 400), ("MSFT", "buy", 30, 400)],
+        equity_cents=100_000_000,
+        positions=[],
+        target_weights=[("AAPL", 0.5), ("MSFT", 0.5)],
+    )
+    fail_checks = _checks_by_name(fail_report)
+    assert fail_checks["Max batch value"]["status"] == "FAIL"

rebalancer/Cargo.toml

@@ -1,6 +1,6 @@
 [package]
 name = "nanobook-rebalancer"
-version = "0.3.1"
+version = "0.4.0"
 edition = "2024"
 rust-version = "1.85"
 description = "Portfolio rebalancer bridging nanobook to Interactive Brokers"
@@ -20,6 +20,7 @@ path = "src/lib.rs"
 [dependencies]
 nanobook = { version = "0.9.1", path = "..", features = ["portfolio", "serde"] }
 nanobook-broker = { version = "0.3.1", path = "../broker", features = ["ibkr"] }
+nanobook-risk = { version = "0.4.0", path = "../risk" }
 thiserror = "2.0"
 serde = { version = "1", features = ["derive"] }
 serde_json = "1"

rebalancer/src/broker.rs

@@ -0,0 +1,77 @@
+//! Broker abstraction used by rebalancer execution.
+
+use std::time::Duration;
+
+use nanobook::Symbol;
+use nanobook_broker::ibkr::client::IbkrClient;
+use nanobook_broker::ibkr::orders;
+use nanobook_broker::{error::BrokerError, types::{Account, Position}, BrokerSide};
+
+use crate::config::Config;
+use crate::error::{Error, Result};
+
+pub type BrokerResult<T> = std::result::Result<T, BrokerError>;
+
+pub fn as_connection_error<T>(result: BrokerResult<T>) -> Result<T> {
+    result.map_err(|e| Error::Connection(e.to_string()))
+}
+
+/// Minimal broker API needed by the rebalancer runtime.
+pub trait BrokerGateway {
+    fn account_summary(&self) -> BrokerResult<Account>;
+    fn positions(&self) -> BrokerResult<Vec<Position>>;
+    fn prices(&self, symbols: &[Symbol]) -> BrokerResult<Vec<(Symbol, i64)>>;
+    fn execute_limit_order(
+        &self,
+        symbol: Symbol,
+        side: BrokerSide,
+        shares: u64,
+        limit_price_cents: i64,
+        timeout: Duration,
+    ) -> BrokerResult<orders::OrderResult>;
+}
+
+impl BrokerGateway for IbkrClient {
+    fn account_summary(&self) -> BrokerResult<Account> {
+        self.account_summary()
+    }
+
+    fn positions(&self) -> BrokerResult<Vec<Position>> {
+        self.positions()
+    }
+
+    fn prices(&self, symbols: &[Symbol]) -> BrokerResult<Vec<(Symbol, i64)>> {
+        self.prices(symbols)
+    }
+
+    fn execute_limit_order(
+        &self,
+        symbol: Symbol,
+        side: BrokerSide,
+        shares: u64,
+        limit_price_cents: i64,
+        timeout: Duration,
+    ) -> BrokerResult<orders::OrderResult> {
+        let shares = i64::try_from(shares)
+            .map_err(|_| BrokerError::Order("share quantity exceeds i64::MAX".into()))?;
+
+        orders::execute_limit_order(
+            self.inner(),
+            symbol,
+            side,
+            shares,
+            limit_price_cents,
+            timeout,
+        )
+    }
+}
+
+pub fn connect_ibkr(config: &Config) -> Result<Box<dyn BrokerGateway>> {
+    IbkrClient::connect(
+        &config.connection.host,
+        config.connection.port,
+        config.connection.client_id,
+    )
+    .map(|client| Box::new(client) as Box<dyn BrokerGateway>)
+    .map_err(|e| Error::Connection(e.to_string()))
+}