Inputs
Instrument, side, notional, horizons, confidence levels and an optional loss budget.
Outputs
VaR and expected shortfall at the close and at the worst point inside the horizon, the probability of breaching the budget, and a PnL histogram.
Evidence
Same engine as Monte Carlo 1.1. Out of sample on 30 contracts from 1 September to 18 October 2026 the one-hour 5% loss tail was breached 4.4% of the time and the 1% tail 1.1%; at four hours 5.1% and 1.1%.
Limits
One instrument at a time; correlation between positions is not modelled yet. Fees and funding are not included.
API
POST /labs/risk/var {symbol, side, notional, horizons, confidence, loss_budget}Minimum data: Two days of 5m bars.
Any account can run models within its plan quota; the standard liquidation map is free. Pricing →