SAE Policy Guard

Survivability-Aware Execution is a trading execution gate: before an order is placed, determine the maximum allowed risk budget and executable action set right now.

Core objective: minimize tail losses and liquidation probability — not maximize per-trade returns. Three modules: Trader-State Model, Market/Narrative Context, Policy Gate.

Quick Reference

Pre-Trade Assessment Workflow

Follow these 8 steps for every trade assessment. Do NOT skip steps.

Step 1: Gather Trade Intent

Collect from the user:

• Asset (e.g., BTC-PERP, ETH/USDT)
• Direction: long or short
• Proposed size (USD or % of portfolio)
• Proposed leverage
• Order type (market, limit, stop)
• Rationale for the trade

If no explicit trade, assess current state for monitoring. If user cannot provide trade history, use self-reported state with conservative defaults.

Step 2: Score Trader Behavioral State

Run scripts/trader_state.py with the trader's recent trade history.

Input format — JSON array of trades:

[
  {
    "timestamp": "2026-02-19T14:30:00Z",
    "asset": "BTC-PERP",
    "direction": "long",
    "size_usd": 5000,
    "leverage": 10,
    "pnl_usd": -450,
    "holding_minutes": 12,
    "was_stop_loss": false
  }
]

Output — JSON with scores (0.0–1.0) for six patterns:

• revenge_trading: loss → rapid re-entry with increased size
• overconfidence: win streak → size escalation
• high_freq_switching: excessive direction/asset changes
• late_night_impulsivity: trades outside normal hours
• tilt_averaging: adding to losing positions repeatedly
• fomo_chasing: entering after large price moves

Plus composite risk_escalation_probability (0.0–1.0).

If trade history is unavailable, ask the user about recent losses, current emotional state, time of day, and how many trades they have made today. Apply conservative defaults (risk_escalation_probability >= 0.5 when uncertain).

Step 3: Assess Market/Narrative Context

Run scripts/market_context.py with current market data.

Input format — JSON:

{
  "asset": "BTC-PERP",
  "candles_1h": [{"timestamp": "...", "open": 97000, "high": 97500, "low": 96800, "close": 97200, "volume": 1234567}],
  "funding_rate": 0.0003,
  "open_interest_usd": 15000000000,
  "orderbook_depth_bps_10": 5000000,
  "spread_bps": 1.2
}

Optional sentiment input:

{
  "social_volume_24h": 45000,
  "social_volume_7d_avg": 12000,
  "sentiment_score": 0.82,
  "top_keywords": ["moon", "breakout", "ATH"]
}

Output — volatility_regime, liquidity_score, event_window, narrative_intensity, error_amplification_score.

If market data is unavailable, ask the user to describe current conditions or default to elevated caution (error_amplification_score = 0.5).

Step 4: Compute Policy Gate Decision

Run scripts/policy_gate.py combining outputs from Steps 2 and 3, plus trade intent.

The script applies the Policy Matrix and outputs enforceable constraints:

• gate_decision: ALLOW / CONSTRAIN / COOL_DOWN / BLOCK
• max_position_pct: max position as % of portfolio
• max_leverage: max allowed leverage
• max_trades_per_hour: frequency budget
• cool_down_minutes: mandatory wait (0 if none)
• staged_execution: whether order must be split into tranches
• stage_count: number of tranches if staged
• narrative_exclusion: whether narrative firewall blocks this trade
• policy_token_required: whether forced confirmation is needed
• violations: list of specific constraint breaches
• rationale: human-readable explanation

Step 5: Present Policy Gate to User

Format output using assets/policy-report-template.md. Clearly show:

• The gate decision with visual emphasis
• All enforced constraints in a table
• Any violations (proposed vs. allowed)
• The rationale explaining why

For each decision type:

• ALLOW: Confirm trade is within budget. Show any advisory notes.
• CONSTRAIN: Show adjusted parameters. Trade may proceed only with constrained values.
• COOL_DOWN: Show countdown and what conditions must change. No execution until period expires.
• BLOCK: Explain why and when the block expires. No execution permitted.

Step 6: Handle Overrides (Policy Token)

If policy_token_required is true:

1. Present a structured confirmation listing all risk factors flagged
2. Require the user to explicitly acknowledge each risk factor
3. Record the override decision for behavioral tracking
4. An override does NOT remove constraints — it only allows proceeding within the constrained parameters

CRITICAL: A BLOCK decision cannot be overridden. Only CONSTRAIN and COOL_DOWN support policy tokens.

Step 7: Post-Trade Recording

After execution or non-execution, log:

• trade_id, sae_decision, constraints_applied, override_used, actual_outcome

This data feeds back into Step 2 for future assessments. Recommend the user maintain a local trade journal JSON file for continuous improvement.

Step 8: Periodic Review

On request or at regular intervals, run scripts/replay_evaluate.py to assess SAE effectiveness. Report: tail-risk reduction, false-block rate, lead time. See references/evaluation-protocol.md for methodology.

Policy Matrix

The policy gate maps (trader_risk_band × market_risk_band) to constraints:

All thresholds configurable via assets/config-schema.yaml.

Narrative Firewall

The narrative firewall predicts whether current market narrative will trigger loss-of-control behavior — NOT whether price will move.

Signals:

• Social volume anomaly (current vs. 7-day average)
• Keyword clustering around euphoria/panic themes
• Correlation with this trader's historical loss patterns
• Volatility regime during narrative spike

When narrative_exclusion triggers:

• Trade is blocked regardless of other factors
• User receives explanation of which narrative signals fired
• Exclusion expires when narrative intensity drops below threshold or after configurable timeout
• Check with --mode narrative for standalone narrative assessment

Threat Assessment Workflow

For auditing trading system plugins, bots, or extensions:

1. Run python scripts/threat_audit.py --target <plugin-path>
2. The scanner checks three threat classes:
   • Supply-chain / Plugin Risk: obfuscated code, eval/exec, dynamic imports, unexpected network calls, credential access
   • Prompt Injection / Manipulation: unvalidated external data paths, template injection, adversarial content patterns
   • Data Leakage / Identity Risk: credential logging, strategy exposure, unencrypted key storage, sensitive data in logs
3. Format output using assets/threat-assessment-template.md
4. Present findings with severity ratings and recommendations
5. See references/threat-model.md for the full taxonomy

Configuration

All thresholds are configurable. Copy assets/config-schema.yaml, modify values, and pass with --config <path> to any script.

Key configurable parameters:

• Risk score thresholds per gate level
• Cool-down durations
• Position/leverage caps per gate level
• Narrative intensity thresholds
• Trader normal trading hours and timezone
• Behavioral pattern weights
• Event calendar entries

Enforcement Rules

These are not suggestions. They are constraints.

1. When gate_decision is BLOCK: the agent MUST refuse to execute the trade. No exceptions. No overrides.
2. When gate_decision is COOL_DOWN: the agent MUST impose the actual time delay. No early release.
3. When gate_decision is CONSTRAIN: the agent MUST adjust trade parameters to fit constraints before execution.
4. When policy_token_required is true: the agent MUST obtain explicit user confirmation before proceeding.
5. All decisions and overrides MUST be logged for behavioral tracking.
6. The skill does not predict price direction or recommend trades. It only gates execution.
7. All behavioral data stays local. No trade history is transmitted externally.