add price risk control

pkg/risk/riskcontrol/price.go

@@ -0,0 +1,40 @@
+package riskcontrol
+
+import (
+	"fmt"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type PriceRiskControl struct {
+	referencePrice *indicatorv2.EWMAStream
+	lossThreshold  fixedpoint.Value
+}
+
+func NewPriceRiskControl(refPrice *indicatorv2.EWMAStream, threshold fixedpoint.Value) *PriceRiskControl {
+	return &PriceRiskControl{
+		referencePrice: refPrice,
+		lossThreshold:  threshold,
+	}
+}
+
+func (r *PriceRiskControl) IsSafe(side types.SideType, price fixedpoint.Value, quantity fixedpoint.Value) bool {
+	refPrice := fixedpoint.NewFromFloat(r.referencePrice.Last(0))
+	// calculate profit
+	var profit fixedpoint.Value
+	if side == types.SideTypeBuy {
+		profit = refPrice.Sub(price).Mul(quantity)
+	} else if side == types.SideTypeSell {
+		profit = price.Sub(refPrice).Mul(quantity)
+	}
+	return profit.Compare(r.lossThreshold) > 0
+}
+
+func (r *PriceRiskControl) IsSafeLimitOrder(o types.SubmitOrder) (bool, error) {
+	if !(o.Type == types.OrderTypeLimit || o.Type == types.OrderTypeLimitMaker) {
+		return false, fmt.Errorf("order type is not limit order")
+	}
+	return r.IsSafe(o.Side, o.Price, o.Quantity), nil
+}

pkg/risk/riskcontrol/price_test.go

@@ -0,0 +1,63 @@
+package riskcontrol
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func Test_IsSafe(t *testing.T) {
+	refPrice := 30000.00
+	lossThreshold := fixedpoint.NewFromFloat(-100)
+
+	window := types.IntervalWindow{Window: 30, Interval: types.Interval1m}
+	refPriceEWMA := indicatorv2.EWMA2(nil, window.Window)
+	refPriceEWMA.PushAndEmit(refPrice)
+
+	cases := []struct {
+		name     string
+		side     types.SideType
+		price    fixedpoint.Value
+		quantity fixedpoint.Value
+		isSafe   bool
+	}{
+		{
+			name:     "BuyingHighSafe",
+			side:     types.SideTypeBuy,
+			price:    fixedpoint.NewFromFloat(30040.0),
+			quantity: fixedpoint.NewFromFloat(1.0),
+			isSafe:   true,
+		},
+		{
+			name:     "SellingLowSafe",
+			side:     types.SideTypeSell,
+			price:    fixedpoint.NewFromFloat(29960.0),
+			quantity: fixedpoint.NewFromFloat(1.0),
+			isSafe:   true,
+		},
+		{
+			name:     "BuyingHighLoss",
+			side:     types.SideTypeBuy,
+			price:    fixedpoint.NewFromFloat(30040.0),
+			quantity: fixedpoint.NewFromFloat(10.0),
+			isSafe:   false,
+		},
+		{
+			name:     "SellingLowLoss",
+			side:     types.SideTypeSell,
+			price:    fixedpoint.NewFromFloat(29960.0),
+			quantity: fixedpoint.NewFromFloat(10.0),
+			isSafe:   false,
+		},
+	}
+	for _, tc := range cases {
+		t.Run(tc.name, func(t *testing.T) {
+			var riskControl = NewPriceRiskControl(refPriceEWMA, lossThreshold)
+			assert.Equal(t, tc.isSafe, riskControl.IsSafe(tc.side, tc.price, tc.quantity))
+		})
+	}
+}