QuantSentinel · Trader-first systematic risk

Current · ELEVATED CAUTION · since 09:42

TREND · LOW VOL

Directional, breadth healthy, VIX < 14. Full sizing.

RANGE · HIGH IV

18%

Mean-reverting, IV-rich. Credit strategies preferred.

ELEVATED · CAUTION

46%

VIX shock or session gap. 0.5× sizing default.

EVENT · WINDOW

14%

Scheduled macro event in ±2h. No new exposure.

PANIC

Tail event. Kill-switch fires; exits only.

EXPIRY · NSE

12%

Hour-to-expiry sizing, mandatory 14:00 cut.

EXPIRY · BSE

BSE expiry. Sensex contracts only.

NEWS · DRIVEN

Headline-driven volatility; classifier elevated.

XGB · 184 features · retrained nightly

WARN line at 35%. NIFTY 22600 PE elevated to 41% due to RBI speech window.

30-day trend

Alarm at 0.30. Score 0.21 — calibrated, well below threshold.

12 of 13 healthy

Trigger	Description	Threshold	Current	State
Daily loss	Current session realized + unrealized.	−1.5% hard	0.38%	OK
Slippage	Average effective spread on today’s fills.	0.25% / fill	0.08%	OK
VIX	India VIX intraday change.	Δ +15% intraday	17.2↑	WARN
Data feed	Feed lag vs exchange clock.	<500ms stale	OK	OK
Gap risk	Overnight σ exposure vs ATR.	1.5σ overnight	0.4σ	OK
Broker API	p95 round-trip to broker.	<500ms p95	42ms	OK
Drawdown	Trailing 20-day peak-to-trough.	−5% trailing-20	−1.8%	OK
ML Brier	ML stop-prob calibration on last 100 trades.	0.30 alarm	0.21	OK
Edge decay	30-day rolling profit factor by strategy.	PF < 1.1	Stable	OK
Margin	SPAN + exposure utilisation.	>85%	68%	OK
Recon	Broker positions vs internal book.	Any diff	Green	OK
Alerts	L1 risk alerts requiring ack.	>3 unack 5m	0 unack	OK
CRITICAL unacked (meta)	Composite of all unacked L1 alerts.	>3 over 5m	0	OK