68 lines
1.7 KiB
Go
68 lines
1.7 KiB
Go
package riskcontrol
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import (
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"time"
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log "github.com/sirupsen/logrus"
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"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
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indicatorv2 "git.qtrade.icu/lychiyu/bbgo/pkg/indicator/v2"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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type CircuitBreakRiskControl struct {
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// Since price could be fluctuated large,
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// use an EWMA to smooth it in running time
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price *indicatorv2.EWMAStream
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position *types.Position
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profitStats *types.ProfitStats
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lossThreshold fixedpoint.Value
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haltedDuration time.Duration
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haltedAt time.Time
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}
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func NewCircuitBreakRiskControl(
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position *types.Position,
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price *indicatorv2.EWMAStream,
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lossThreshold fixedpoint.Value,
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profitStats *types.ProfitStats,
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haltedDuration time.Duration,
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) *CircuitBreakRiskControl {
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return &CircuitBreakRiskControl{
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price: price,
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position: position,
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profitStats: profitStats,
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lossThreshold: lossThreshold,
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haltedDuration: haltedDuration,
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}
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}
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func (c *CircuitBreakRiskControl) IsOverHaltedDuration() bool {
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return time.Since(c.haltedAt) >= c.haltedDuration
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}
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// IsHalted returns whether we reached the circuit break condition set for this day?
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func (c *CircuitBreakRiskControl) IsHalted(t time.Time) bool {
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if c.profitStats.IsOver24Hours() {
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c.profitStats.ResetToday(t)
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}
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// if we are not over the halted duration, we don't need to check the condition
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if !c.IsOverHaltedDuration() {
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return false
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}
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var unrealized = c.position.UnrealizedProfit(fixedpoint.NewFromFloat(c.price.Last(0)))
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log.Infof("[CircuitBreakRiskControl] realized PnL = %f, unrealized PnL = %f\n",
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c.profitStats.TodayPnL.Float64(),
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unrealized.Float64())
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isHalted := unrealized.Add(c.profitStats.TodayPnL).Compare(c.lossThreshold) <= 0
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if isHalted {
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c.haltedAt = t
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}
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return isHalted
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}
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