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Hi All,
Doing some quick testing with Risk Management (max Drawdown Per Security) and I do not see any tags in orders which are a result of liquidations. The liquidations just appear as regular orders. Likewise I do not see anything logged for these liquidations.
I assume this is because the framework is just using the portfolio construction to reduce holdings in those securities, and accordingly the orders are no different than an opening purchase.
Does anybody have any suggestions as to how they log or otherwise easily identify when the risk management framework is kicking in?
Thank you
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