risk: add margin level calculator

pkg/risk/account_value.go

@@ -140,6 +140,22 @@ func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value
 	return accountValue, nil
 }
 
+func (c *AccountValueCalculator) MarginLevel(ctx context.Context) (fixedpoint.Value, error) {
+	marginLevel := fixedpoint.Zero
+	marketValue, err := c.MarketValue(ctx)
+	if err != nil {
+		return marginLevel, err
+	}
+
+	debtValue, err := c.DebtValue(ctx)
+	if err != nil {
+		return marginLevel, err
+	}
+
+	marginLevel = marketValue.Div(debtValue)
+	return marginLevel, nil
+}
+
 func CalculateBaseQuantity(session *bbgo.ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
 	// default leverage guard
 	if leverage.IsZero() {

pkg/risk/account_value_test.go

@@ -111,3 +111,44 @@ func TestAccountValueCalculator_NetValue(t *testing.T) {
 		assert.Equal(t, "2000", netValue.String()) // 21000-19000
 	})
 }
+
+func TestNewAccountValueCalculator_MarginLevel(t *testing.T) {
+	mockCtrl := gomock.NewController(t)
+	defer mockCtrl.Finish()
+
+	mockEx := mocks.NewMockExchange(mockCtrl)
+	// for market data stream and user data stream
+	mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
+	mockEx.EXPECT().QueryTickers(gomock.Any(), []string{"BTCUSDT"}).Return(map[string]types.Ticker{
+		"BTCUSDT": newTestTicker(),
+	}, nil)
+
+	session := bbgo.NewExchangeSession("test", mockEx)
+	session.Account.UpdateBalances(types.BalanceMap{
+		"BTC": {
+			Currency:  "BTC",
+			Available: fixedpoint.Zero,
+			Locked:    fixedpoint.Zero,
+			Borrowed:  fixedpoint.NewFromFloat(1.0),
+			Interest:  fixedpoint.NewFromFloat(0.003),
+			NetAsset:  fixedpoint.Zero,
+		},
+		"USDT": {
+			Currency:  "USDT",
+			Available: fixedpoint.NewFromFloat(21000.0),
+			Locked:    fixedpoint.Zero,
+			Borrowed:  fixedpoint.Zero,
+			Interest:  fixedpoint.Zero,
+			NetAsset:  fixedpoint.Zero,
+		},
+	})
+	assert.NotNil(t, session)
+
+	cal := NewAccountValueCalculator(session, "USDT")
+	assert.NotNil(t, cal)
+
+	ctx := context.Background()
+	marginLevel, err := cal.MarginLevel(ctx)
+	assert.NoError(t, err)
+	assert.Equal(t, "1.10195728", marginLevel.String()) // 21000 / 19000 * 1.003
+}