bbgo/doc/topics/riskcontrols.md

Risk Control

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1. Introduction

Two types of risk controls for strategies is created:

• Position-limit Risk Control (pkg/risk/riskcontrol/position.go)
• Circuit-break Risk Control (pkg/risk/riskcontrol/circuit_break.go)

2. Position-Limit Risk Control

Initialization:

s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.PositionHardLimit, s.MaxPositionQuantity, s.orderExecutor.TradeCollector())

s.positionRiskControl.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
    createdOrders, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
        Symbol:   s.Symbol,
        Market:   s.Market,
        Side:     side,
        Type:     types.OrderTypeMarket,
        Quantity: quantity,
    })

    if err != nil {
        log.WithError(err).Errorf("failed to submit orders")
        return
    }

    log.Infof("created position release orders: %+v", createdOrders)
})

Strategy should provide OnReleasePosition callback, which will be called when position (positive or negative) is over hard limit.

Modify quantity before submitting orders:

    buyQuantity, sellQuantity := s.positionRiskControl.ModifiedQuantity(s.Position.Base)

It calculates buy and sell quantity shrinking by hard limit and position.

3. Circuit-Break Risk Control

Initialization

s.circuitBreakRiskControl = riskcontrol.NewCircuitBreakRiskControl(
    s.Position,
    session.Indicators(s.Symbol).EWMA(s.CircuitBreakEMA),
    s.CircuitBreakLossThreshold,
    s.ProfitStats,
    24*time.Hour)

Should pass in position and profit states. Also need an price EWMA to calculate unrealized profit.

Validate parameters:

if s.CircuitBreakLossThreshold.Float64() > 0 {
    return fmt.Errorf("circuitBreakLossThreshold should be non-positive")
}
return nil

Circuit break condition should be non-greater than zero.

Check for circuit break before submitting orders:

    // Circuit break when accumulated losses are over break condition
    if s.circuitBreakRiskControl.IsHalted(kline.EndTime) {
        return
    }

    submitOrders, err := s.generateSubmitOrders(ctx)
    if err != nil {
        log.WithError(err).Error("failed to generate submit orders")
        return
    }
    log.Infof("submit orders: %+v", submitOrders)

    if s.DryRun {
        log.Infof("dry run, not submitting orders")
        return
    }

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().