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TailWarp Python API

Full reference for pip install tailwarp (v1.0).

Install

Mode Command CUDA toolkit required
CPU (default) pip install . No
CUDA extra pip install ".[cuda]" No at install; native wheel optional
Dashboard pip install ".[dashboard]" No

See python/README.md and deployment.md.

Quick start

from tailwarp import TailWarpClient, WarningStateParams

client = TailWarpClient()
cvar = client.compute_cvar([-0.1, -0.05, 0.0, 0.02, 0.05], alpha=0.95)
print(cvar.value, cvar.method, cvar.device, cvar.elapsed_ms)

TailWarpClient

Constructor

  • prefer_cuda: bool | None — reads TAILWARP_PREFER_CUDA when omitted (default off).

Methods

compute_cvar(returns, alpha=0.95) -> CvarResult

Historical CVaR (expected shortfall) on sorted ascending returns.

compute_var(returns, alpha=0.95) -> VarResult

Historical VaR quantile.

compute_drawdown(equity) -> DrawdownResult

Maximum drawdown as a positive decimal (0–1).

compute_position_size(max_cvar_limit, underlying_price, ...) -> PositionSizeResult

CVaR-constrained sizing via Student-t Monte Carlo (CPU NumPy path in v1.0).

compute_warning_state(params: WarningStateParams) -> WarningStateResult

Deterministic GREEN/YELLOW/RED/CRITICAL bands matching C++.

Fallback behavior

  1. If tailwarp._native pybind11 module is importable → host C++ for compute_cvar, compute_var, compute_warning_state.
  2. Otherwise → NumPy reference in cpu_fallback.py (always available).

CUDA-not-found at runtime does not break import; methods stay on CPU.

Contract

Frozen public surface: python-api-contract.md.

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