Merge pull request #1297 from c9s/narumi/reset-profit-stats

FIX: reset profit stats when over given duration in circuit break risk control

doc/topics/riskcontrols.md

@@ -51,7 +51,8 @@ s.circuitBreakRiskControl = riskcontrol.NewCircuitBreakRiskControl(
     s.Position,
     session.Indicators(s.Symbol).EWMA(s.CircuitBreakEMA),
     s.CircuitBreakLossThreshold,
-    s.ProfitStats)
+    s.ProfitStats,
+    24*time.Hour)
 ```
 
 Should pass in position and profit states. Also need an price EWMA to calculate unrealized profit.
@@ -71,7 +72,7 @@ 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() {
+    if s.circuitBreakRiskControl.IsHalted(kline.EndTime) {
         return
     }
 

pkg/risk/riskcontrol/circuit_break.go

@@ -1,41 +1,68 @@
 package riskcontrol
 
 import (
+	"time"
+
 	log "github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/fixedpoint"
-	"github.com/c9s/bbgo/pkg/indicator/v2"
+	indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
 type CircuitBreakRiskControl struct {
 	// Since price could be fluctuated large,
 	// use an EWMA to smooth it in running time
-	price         *indicatorv2.EWMAStream
+	price          *indicatorv2.EWMAStream
-	position      *types.Position
+	position       *types.Position
-	profitStats   *types.ProfitStats
+	profitStats    *types.ProfitStats
-	lossThreshold fixedpoint.Value
+	lossThreshold  fixedpoint.Value
+	haltedDuration time.Duration
+
+	isHalted bool
+	haltedAt time.Time
 }
 
 func NewCircuitBreakRiskControl(
 	position *types.Position,
 	price *indicatorv2.EWMAStream,
 	lossThreshold fixedpoint.Value,
-	profitStats *types.ProfitStats) *CircuitBreakRiskControl {
+	profitStats *types.ProfitStats,
-
+	haltedDuration time.Duration,
+) *CircuitBreakRiskControl {
 	return &CircuitBreakRiskControl{
-		price:         price,
+		price:          price,
-		position:      position,
+		position:       position,
-		profitStats:   profitStats,
+		profitStats:    profitStats,
-		lossThreshold: lossThreshold,
+		lossThreshold:  lossThreshold,
+		haltedDuration: haltedDuration,
 	}
 }
 
+func (c *CircuitBreakRiskControl) IsOverHaltedDuration() bool {
+	return time.Since(c.haltedAt) >= c.haltedDuration
+}
+
 // IsHalted returns whether we reached the circuit break condition set for this day?
-func (c *CircuitBreakRiskControl) IsHalted() bool {
+func (c *CircuitBreakRiskControl) IsHalted(t time.Time) bool {
+	if c.profitStats.IsOver24Hours() {
+		c.profitStats.ResetToday(t)
+	}
+
+	// if we are not over the halted duration, we don't need to check the condition
+	if !c.IsOverHaltedDuration() {
+		return false
+	}
+
 	var unrealized = c.position.UnrealizedProfit(fixedpoint.NewFromFloat(c.price.Last(0)))
 	log.Infof("[CircuitBreakRiskControl] realized PnL = %f, unrealized PnL = %f\n",
 		c.profitStats.TodayPnL.Float64(),
 		unrealized.Float64())
-	return unrealized.Add(c.profitStats.TodayPnL).Compare(c.lossThreshold) <= 0
+
+	c.isHalted = unrealized.Add(c.profitStats.TodayPnL).Compare(c.lossThreshold) <= 0
+	if c.isHalted {
+		c.haltedAt = t
+	}
+
+	return c.isHalted
 }

pkg/risk/riskcontrol/circuit_break_test.go

@@ -2,6 +2,7 @@ package riskcontrol
 
 import (
 	"testing"
+	"time"
 
 	"github.com/stretchr/testify/assert"
 
@@ -68,11 +69,13 @@ func Test_IsHalted(t *testing.T) {
 				},
 				priceEWMA,
 				breakCondition,
-				&types.ProfitStats{
+				&types.ProfitStats{},
-					TodayPnL: realizedPnL,
+				24*time.Hour,
-				},
 			)
-			assert.Equal(t, tc.isHalted, riskControl.IsHalted())
+			now := time.Now()
+			riskControl.profitStats.ResetToday(now)
+			riskControl.profitStats.TodayPnL = realizedPnL
+			assert.Equal(t, tc.isHalted, riskControl.IsHalted(now.Add(time.Hour)))
 		})
 	}
 }

pkg/strategy/common/strategy.go

@@ -2,6 +2,7 @@ package common
 
 import (
 	"context"
+	"time"
 
 	log "github.com/sirupsen/logrus"
 
@@ -83,6 +84,7 @@ func (s *Strategy) Initialize(ctx context.Context, environ *bbgo.Environment, se
 			s.Position,
 			session.Indicators(market.Symbol).EWMA(s.CircuitBreakEMA),
 			s.CircuitBreakLossThreshold,
-			s.ProfitStats)
+			s.ProfitStats,
+			24*time.Hour)
 	}
 }

pkg/strategy/scmaker/strategy.go

@@ -5,6 +5,7 @@ import (
 	"fmt"
 	"math"
 	"sync"
+	"time"
 
 	log "github.com/sirupsen/logrus"
 
@@ -123,7 +124,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 			s.Position,
 			session.Indicators(s.Symbol).EWMA(s.CircuitBreakEMA),
 			s.CircuitBreakLossThreshold,
-			s.ProfitStats)
+			s.ProfitStats,
+			24*time.Hour)
 	}
 
 	scale, err := s.LiquiditySlideRule.Scale()
@@ -275,21 +277,21 @@ func (s *Strategy) placeAdjustmentOrders(ctx context.Context) {
 }
 
 func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
-	if s.circuitBreakRiskControl != nil && s.circuitBreakRiskControl.IsHalted() {
+	ticker, err := s.Session.Exchange.QueryTicker(ctx, s.Symbol)
+	if logErr(err, "unable to query ticker") {
+		return
+	}
+
+	if s.circuitBreakRiskControl != nil && s.circuitBreakRiskControl.IsHalted(ticker.Time) {
 		log.Warn("circuitBreakRiskControl: trading halted")
 		return
 	}
 
-	err := s.liquidityOrderBook.GracefulCancel(ctx, s.Session.Exchange)
+	err = s.liquidityOrderBook.GracefulCancel(ctx, s.Session.Exchange)
 	if logErr(err, "unable to cancel orders") {
 		return
 	}
 
-	ticker, err := s.Session.Exchange.QueryTicker(ctx, s.Symbol)
-	if logErr(err, "unable to query ticker") {
-		return
-	}
-
 	if ticker.Buy.IsZero() && ticker.Sell.IsZero() {
 		ticker.Sell = ticker.Last.Add(s.Market.TickSize)
 		ticker.Buy = ticker.Last.Sub(s.Market.TickSize)