93 lines
2.6 KiB
Markdown
93 lines
2.6 KiB
Markdown
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# Risk Control
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------------
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### 1. Introduction
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Two types of risk controls for strategies is created:
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- Position-limit Risk Control (pkg/risk/riskcontrol/position.go)
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- Circuit-break Risk Control (pkg/risk/riskcontrol/circuit_break.go)
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### 2. Position-Limit Risk Control
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Initialization:
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```go
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s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.PositionHardLimit, s.MaxPositionQuantity, s.orderExecutor.TradeCollector())
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s.positionRiskControl.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
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createdOrders, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Market: s.Market,
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Side: side,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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})
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if err != nil {
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log.WithError(err).Errorf("failed to submit orders")
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return
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}
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log.Infof("created position release orders: %+v", createdOrders)
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})
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```
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Strategy should provide OnReleasePosition callback, which will be called when position (positive or negative) is over hard limit.
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Modify quantity before submitting orders:
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```
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buyQuantity, sellQuantity := s.positionRiskControl.ModifiedQuantity(s.Position.Base)
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```
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It calculates buy and sell quantity shrinking by hard limit and position.
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### 3. Circuit-Break Risk Control
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Initialization
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```go
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s.circuitBreakRiskControl = riskcontrol.NewCircuitBreakRiskControl(
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s.Position,
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session.Indicators(s.Symbol).EWMA(s.CircuitBreakEMA),
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s.CircuitBreakLossThreshold,
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s.ProfitStats,
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24*time.Hour)
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```
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Should pass in position and profit states. Also need an price EWMA to calculate unrealized profit.
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Validate parameters:
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```
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if s.CircuitBreakLossThreshold.Float64() > 0 {
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return fmt.Errorf("circuitBreakLossThreshold should be non-positive")
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}
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return nil
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```
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Circuit break condition should be non-greater than zero.
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Check for circuit break before submitting orders:
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```
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// Circuit break when accumulated losses are over break condition
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if s.circuitBreakRiskControl.IsHalted(kline.EndTime) {
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return
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}
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submitOrders, err := s.generateSubmitOrders(ctx)
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if err != nil {
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log.WithError(err).Error("failed to generate submit orders")
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return
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}
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log.Infof("submit orders: %+v", submitOrders)
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if s.DryRun {
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log.Infof("dry run, not submitting orders")
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return
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}
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```
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Notice that if there are multiple place to submit orders, it is recommended to check in one place in Strategy.Run() and re-use that flag before submitting orders. That can avoid duplicated logs generated from IsHalted().
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