add risk calculator functions

pkg/risk/leverage.go

@@ -0,0 +1,50 @@
+package risk
+
+import (
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// How to Calculate Cost Required to Open a Position in Perpetual Futures Contracts
+//
+// See <https://www.binance.com/en/support/faq/87fa7ee33b574f7084d42bd2ce2e463b>
+//
+// For Long Position:
+// = Number of Contract * Absolute Value {min[0, direction of order x (mark price - order price)]}
+//
+// For short position:
+// = Number of Contract * Absolute Value {min[0, direction of order x (mark price - order price)]}
+func CalculateOpenLoss(numContract, markPrice, orderPrice fixedpoint.Value, side types.SideType) fixedpoint.Value {
+	var d = fixedpoint.One
+	if side == types.SideTypeSell {
+		d = fixedpoint.NegOne
+	}
+
+	var openLoss = numContract.Mul(fixedpoint.Min(fixedpoint.Zero, d.Mul(markPrice.Sub(orderPrice))).Abs())
+	return openLoss
+}
+
+func CalculateMarginCost(price, quantity, leverage fixedpoint.Value) fixedpoint.Value {
+	var notionalValue = price.Mul(quantity)
+	var cost = notionalValue.Div(leverage)
+	return cost
+}
+
+func CalculatePositionCost(markPrice, orderPrice, quantity, leverage fixedpoint.Value, side types.SideType) fixedpoint.Value {
+	var marginCost = CalculateMarginCost(orderPrice, quantity, leverage)
+	var openLoss = CalculateOpenLoss(quantity, markPrice, orderPrice, side)
+	return marginCost.Add(openLoss)
+}
+
+// CalculateMaxPosition calculates the maximum notional value of the position and return the max quantity you can use.
+func CalculateMaxPosition(price, availableMargin, leverage fixedpoint.Value) fixedpoint.Value {
+	var maxNotionalValue = availableMargin.Mul(leverage)
+	var maxQuantity = maxNotionalValue.Div(price)
+	return maxQuantity
+}
+
+// CalculateLeverage calculates the leverage of the given position (price and quantity)
+func CalculateLeverage(price, quantity, availableMargin fixedpoint.Value) fixedpoint.Value {
+	var notional = price.Mul(quantity)
+	return notional.Div(availableMargin)
+}