Merge pull request #1327 from c9s/narumi/fix-position-risk

FIX: Fix duplicate orders caused by position risk control

config/fixedmaker.yaml

@@ -1,10 +1,27 @@
 ---
+backtest:
+  startTime: "2023-01-01"
+  endTime: "2023-05-31"
+  symbols:
+    - USDCUSDT
+  sessions:
+    - max
+  accounts:
+    max:
+      balances:
+        USDC: 500.0
+        USDT: 500.0
+
 exchangeStrategies:
   - on: max
     fixedmaker:
-      symbol: BTCUSDT
+      symbol: USDCUSDT
       interval: 5m
       halfSpread: 0.05%
-      quantity: 0.005
+      quantity: 15
       orderType: LIMIT_MAKER
-      dryRun: true
+      dryRun: false
+
+      positionHardLimit: 1500
+      maxPositionQuantity: 1500
+      circuitBreakLossThreshold: -0.15

pkg/risk/riskcontrol/position.go

@@ -24,6 +24,11 @@ type PositionRiskControl struct {
 	// only used in the ModifiedQuantity method
 	sliceQuantity fixedpoint.Value
 
+	// activeOrderBook is used to store orders created by the risk control.
+	// This allows us to cancel them before submitting the position release
+	// orders, preventing duplicate orders.
+	activeOrderBook *bbgo.ActiveOrderBook
+
 	releasePositionCallbacks []func(quantity fixedpoint.Value, side types.SideType)
 }
 
@@ -34,26 +39,6 @@ func NewPositionRiskControl(orderExecutor bbgo.OrderExecutorExtended, hardLimit,
 		sliceQuantity: quantity,
 	}
 
-	control.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
-		pos := orderExecutor.Position()
-		submitOrder := types.SubmitOrder{
-			Symbol:   pos.Symbol,
-			Market:   pos.Market,
-			Side:     side,
-			Type:     types.OrderTypeMarket,
-			Quantity: quantity,
-		}
-
-		log.Infof("RiskControl: position limit exceeded, submitting order to reduce position: %+v", submitOrder)
-		createdOrders, err := orderExecutor.SubmitOrders(context.Background(), submitOrder)
-		if err != nil {
-			log.WithError(err).Errorf("failed to submit orders")
-			return
-		}
-
-		log.Infof("created position release orders: %+v", createdOrders)
-	})
-
 	// register position update handler: check if position is over the hard limit
 	orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
 		if fixedpoint.Compare(position.Base, hardLimit) > 0 {
@@ -68,6 +53,37 @@ func NewPositionRiskControl(orderExecutor bbgo.OrderExecutorExtended, hardLimit,
 	return control
 }
 
+func (p *PositionRiskControl) Initialize(ctx context.Context, session *bbgo.ExchangeSession) {
+	p.activeOrderBook = bbgo.NewActiveOrderBook("")
+	p.activeOrderBook.BindStream(session.UserDataStream)
+
+	p.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
+		if err := p.activeOrderBook.GracefulCancel(ctx, session.Exchange); err != nil {
+			log.WithError(err).Errorf("failed to cancel orders")
+		}
+
+		pos := p.orderExecutor.Position()
+		submitOrder := types.SubmitOrder{
+			Symbol:   pos.Symbol,
+			Market:   pos.Market,
+			Side:     side,
+			Type:     types.OrderTypeMarket,
+			Quantity: quantity,
+		}
+
+		log.Infof("RiskControl: position limit exceeded, submitting order to reduce position: %+v", submitOrder)
+		createdOrders, err := p.orderExecutor.SubmitOrders(ctx, submitOrder)
+		if err != nil {
+			log.WithError(err).Errorf("failed to submit orders")
+			return
+		}
+
+		log.Infof("created position release orders: %+v", createdOrders)
+
+		p.activeOrderBook.Add(createdOrders...)
+	})
+}
+
 // ModifiedQuantity returns sliceQuantity controlled by position risks
 // For buy orders, modify sliceQuantity = min(hardLimit - position, sliceQuantity), limiting by positive position
 // For sell orders, modify sliceQuantity = min(hardLimit - (-position), sliceQuantity), limiting by negative position

pkg/strategy/common/strategy.go

@@ -76,6 +76,7 @@ func (s *Strategy) Initialize(ctx context.Context, environ *bbgo.Environment, se
 	if !s.PositionHardLimit.IsZero() && !s.MaxPositionQuantity.IsZero() {
 		log.Infof("positionHardLimit and maxPositionQuantity are configured, setting up PositionRiskControl...")
 		s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.OrderExecutor, s.PositionHardLimit, s.MaxPositionQuantity)
+		s.positionRiskControl.Initialize(ctx, session)
 	}
 
 	if !s.CircuitBreakLossThreshold.IsZero() {

pkg/strategy/fixedmaker/strategy.go

@@ -63,7 +63,7 @@ func (s *Strategy) Validate() error {
 	}
 
 	if s.HalfSpread.Float64() <= 0 {
-		return fmt.Errorf("halfSpreadRatio should be positive")
+		return fmt.Errorf("halfSpread should be positive")
 	}
 	return nil
 }