52 lines
2.0 KiB
Go
52 lines
2.0 KiB
Go
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package risk
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import (
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"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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// How to Calculate Cost Required to Open a Position in Perpetual Futures Contracts
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//
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// See <https://www.binance.com/en/support/faq/87fa7ee33b574f7084d42bd2ce2e463b>
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//
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// For Long Position:
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// = Number of Contract * Absolute Value {min[0, direction of order x (mark price - order price)]}
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//
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// For short position:
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// = Number of Contract * Absolute Value {min[0, direction of order x (mark price - order price)]}
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func CalculateOpenLoss(numContract, markPrice, orderPrice fixedpoint.Value, side types.SideType) fixedpoint.Value {
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var d = fixedpoint.One
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if side == types.SideTypeSell {
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d = fixedpoint.NegOne
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}
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var openLoss = numContract.Mul(fixedpoint.Min(fixedpoint.Zero, d.Mul(markPrice.Sub(orderPrice))).Abs())
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return openLoss
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}
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// CalculateMarginCost calculate the margin cost of the given notional position by price * quantity
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func CalculateMarginCost(price, quantity, leverage fixedpoint.Value) fixedpoint.Value {
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var notionalValue = price.Mul(quantity)
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var cost = notionalValue.Div(leverage)
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return cost
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}
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func CalculatePositionCost(markPrice, orderPrice, quantity, leverage fixedpoint.Value, side types.SideType) fixedpoint.Value {
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var marginCost = CalculateMarginCost(orderPrice, quantity, leverage)
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var openLoss = CalculateOpenLoss(quantity, markPrice, orderPrice, side)
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return marginCost.Add(openLoss)
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}
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// CalculateMaxPosition calculates the maximum notional value of the position and return the max quantity you can use.
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func CalculateMaxPosition(price, availableMargin, leverage fixedpoint.Value) fixedpoint.Value {
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var maxNotionalValue = availableMargin.Mul(leverage)
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var maxQuantity = maxNotionalValue.Div(price)
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return maxQuantity
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}
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// CalculateMinRequiredLeverage calculates the leverage of the given position (price and quantity)
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func CalculateMinRequiredLeverage(price, quantity, availableMargin fixedpoint.Value) fixedpoint.Value {
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var notional = price.Mul(quantity)
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return notional.Div(availableMargin)
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}
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