all: refactor risk control and integrate risk control into scmaker

config/scmaker.yaml

@@ -23,8 +23,26 @@ exchangeStrategies:
         domain: [0, 9]
         range: [1, 4]
 
+
+    ## maxExposure controls how much balance should be used for placing the maker orders
     maxExposure: 10_000
 
+    ## circuitBreakEMA is used for calculating the price for circuitBreak
+    circuitBreakEMA:
+      interval: 1m
+      window: 14
+
+    ## circuitBreakLossThreshold is the maximum loss threshold for realized+unrealized PnL
+    circuitBreakLossThreshold: -10.0
+
+    ## positionHardLimit is the maximum position limit
+    positionHardLimit: 500.0
+
+    ## maxPositionQuantity is the maximum quantity per order that could be controlled in positionHardLimit,
+    ## this parameter is used with positionHardLimit togerther
+    maxPositionQuantity: 10.0
+
+
     midPriceEMA:
       interval: 1h
       window: 99

doc/topics/riskcontrols.md

@@ -10,9 +10,11 @@ Two types of risk controls for strategies is created:
 ### 2. Position-Limit Risk Control
 
 Initialization:
-```
-    s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.HardLimit, s.Quantity, s.orderExecutor.TradeCollector())
-    s.positionRiskControl.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
+
+```go
+s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.PositionHardLimit, s.MaxPositionQuantity, s.orderExecutor.TradeCollector())
+
+s.positionRiskControl.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
     createdOrders, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
         Symbol:   s.Symbol,
         Market:   s.Market,
@@ -20,12 +22,14 @@ Initialization:
         Type:     types.OrderTypeMarket,
         Quantity: quantity,
     })
+
     if err != nil {
         log.WithError(err).Errorf("failed to submit orders")
         return
     }
-        log.Infof("created orders: %+v", createdOrders)
-    })
+
+    log.Infof("created position release orders: %+v", createdOrders)
+})
 ```
 
 Strategy should provide OnReleasePosition callback, which will be called when position (positive or negative) is over hard limit.
@@ -41,27 +45,27 @@ It calculates buy and sell quantity shrinking by hard limit and position.
 ### 3. Circuit-Break Risk Control
 
 Initialization
-```
-    s.circuitBreakRiskControl = riskcontrol.NewCircuitBreakRiskControl(
+
+```go
+s.circuitBreakRiskControl = riskcontrol.NewCircuitBreakRiskControl(
     s.Position,
-        session.StandardIndicatorSet(s.Symbol).EWMA(
-            types.IntervalWindow{
-                Window:   EWMAWindow,
-                Interval: types.Interval1m,
-            }),
-        s.CircuitBreakCondition,
+    session.Indicators(s.Symbol).EWMA(s.CircuitBreakEMA),
+    s.CircuitBreakLossThreshold,
     s.ProfitStats)
 ```
+
 Should pass in position and profit states. Also need an price EWMA to calculate unrealized profit.
 
 
 Validate parameters:
+
 ```
-    if s.CircuitBreakCondition.Float64() > 0 {
-        return fmt.Errorf("circuitBreakCondition should be non-positive")
-    }
-    return nil
+if s.CircuitBreakLossThreshold.Float64() > 0 {
+    return fmt.Errorf("circuitBreakLossThreshold should be non-positive")
+}
+return nil
 ```
+
 Circuit break condition should be non-greater than zero.
 
 Check for circuit break before submitting orders:

pkg/indicator/float64series.go

@@ -67,5 +67,7 @@ func (f *Float64Series) Bind(source Float64Source, target Float64Calculator) {
 		}
 	}
 
+	if source != nil {
 		f.Subscribe(source, c)
+	}
 }

pkg/risk/riskcontrol/circuit_break.go

@@ -1,40 +1,41 @@
 package riskcontrol
 
 import (
+	log "github.com/sirupsen/logrus"
+
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
-	log "github.com/sirupsen/logrus"
 )
 
 type CircuitBreakRiskControl struct {
 	// Since price could be fluctuated large,
 	// use an EWMA to smooth it in running time
-	price          *indicator.EWMA
+	price         *indicator.EWMAStream
 	position      *types.Position
 	profitStats   *types.ProfitStats
-	breakCondition fixedpoint.Value
+	lossThreshold fixedpoint.Value
 }
 
 func NewCircuitBreakRiskControl(
 	position *types.Position,
-	price *indicator.EWMA,
-	breakCondition fixedpoint.Value,
+	price *indicator.EWMAStream,
+	lossThreshold fixedpoint.Value,
 	profitStats *types.ProfitStats) *CircuitBreakRiskControl {
 
 	return &CircuitBreakRiskControl{
 		price:         price,
 		position:      position,
 		profitStats:   profitStats,
-		breakCondition: breakCondition,
+		lossThreshold: lossThreshold,
 	}
 }
 
 // IsHalted returns whether we reached the circuit break condition set for this day?
 func (c *CircuitBreakRiskControl) IsHalted() bool {
 	var unrealized = c.position.UnrealizedProfit(fixedpoint.NewFromFloat(c.price.Last(0)))
-	log.Infof("[CircuitBreakRiskControl] Realized P&L = %v, Unrealized P&L = %v\n",
-		c.profitStats.TodayPnL,
-		unrealized)
-	return unrealized.Add(c.profitStats.TodayPnL).Compare(c.breakCondition) <= 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
 }

pkg/risk/riskcontrol/circuit_break_test.go

@@ -19,8 +19,8 @@ func Test_IsHalted(t *testing.T) {
 	)
 
 	window := types.IntervalWindow{Window: 30, Interval: types.Interval1m}
-	priceEWMA := &indicator.EWMA{IntervalWindow: window}
-	priceEWMA.Update(price)
+	priceEWMA := indicator.EWMA2(nil, window.Window)
+	priceEWMA.PushAndEmit(price)
 
 	cases := []struct {
 		name        string

pkg/risk/riskcontrol/position.go

@@ -1,10 +1,11 @@
 package riskcontrol
 
 import (
+	log "github.com/sirupsen/logrus"
+
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
-	log "github.com/sirupsen/logrus"
 )
 
 //go:generate callbackgen -type PositionRiskControl
@@ -20,23 +21,25 @@ func NewPositionRiskControl(hardLimit, quantity fixedpoint.Value, tradeCollector
 		hardLimit: hardLimit,
 		quantity:  quantity,
 	}
-	// register position update handler: check if position is over hardlimit
+
+	// register position update handler: check if position is over the hard limit
 	tradeCollector.OnPositionUpdate(func(position *types.Position) {
 		if fixedpoint.Compare(position.Base, hardLimit) > 0 {
-			log.Infof("Position %v is over hardlimit %v, releasing:\n", position.Base, hardLimit)
+			log.Infof("position %f is over hardlimit %f, releasing position...", position.Base.Float64(), hardLimit.Float64())
 			p.EmitReleasePosition(position.Base.Sub(hardLimit), types.SideTypeSell)
 		} else if fixedpoint.Compare(position.Base, hardLimit.Neg()) < 0 {
-			log.Infof("Position %v is over hardlimit %v, releasing:\n", position.Base, hardLimit)
+			log.Infof("position %f is over hardlimit %f, releasing position...", position.Base.Float64(), hardLimit.Float64())
 			p.EmitReleasePosition(position.Base.Neg().Sub(hardLimit), types.SideTypeBuy)
 		}
 	})
+
 	return p
 }
 
 // ModifiedQuantity returns quantity controlled by position risks
 // For buy orders, mod quantity = min(hardlimit - position, quanity), limiting by positive position
 // For sell orders, mod quantity = min(hardlimit - (-position), quanity), limiting by negative position
-func (p *PositionRiskControl) ModifiedQuantity(position fixedpoint.Value) (buyQuanity, sellQuantity fixedpoint.Value) {
+func (p *PositionRiskControl) ModifiedQuantity(position fixedpoint.Value) (buyQuantity, sellQuantity fixedpoint.Value) {
 	return fixedpoint.Min(p.hardLimit.Sub(position), p.quantity),
 		fixedpoint.Min(p.hardLimit.Add(position), p.quantity)
 }

pkg/strategy/scmaker/strategy.go

@@ -11,6 +11,7 @@ import (
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/indicator"
+	"github.com/c9s/bbgo/pkg/risk/riskcontrol"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -57,6 +58,12 @@ type Strategy struct {
 
 	MinProfit fixedpoint.Value `json:"minProfit"`
 
+	// risk related parameters
+	PositionHardLimit         fixedpoint.Value     `json:"positionHardLimit"`
+	MaxPositionQuantity       fixedpoint.Value     `json:"maxPositionQuantity"`
+	CircuitBreakLossThreshold fixedpoint.Value     `json:"circuitBreakLossThreshold"`
+	CircuitBreakEMA           types.IntervalWindow `json:"circuitBreakEMA"`
+
 	Position    *types.Position    `json:"position,omitempty" persistence:"position"`
 	ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
 
@@ -71,6 +78,9 @@ type Strategy struct {
 	ewma      *indicator.EWMAStream
 	boll      *indicator.BOLLStream
 	intensity *IntensityStream
+
+	positionRiskControl     *riskcontrol.PositionRiskControl
+	circuitBreakRiskControl *riskcontrol.CircuitBreakRiskControl
 }
 
 func (s *Strategy) ID() string {
@@ -126,6 +136,36 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		s.ProfitStats = types.NewProfitStats(s.Market)
 	}
 
+	if !s.PositionHardLimit.IsZero() && !s.MaxPositionQuantity.IsZero() {
+		log.Infof("positionHardLimit and maxPositionQuantity are configured, setting up PositionRiskControl...")
+		s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.PositionHardLimit, s.MaxPositionQuantity, s.orderExecutor.TradeCollector())
+		s.positionRiskControl.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
+			createdOrders, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
+				Symbol:   s.Symbol,
+				Market:   s.Market,
+				Side:     side,
+				Type:     types.OrderTypeMarket,
+				Quantity: quantity,
+			})
+
+			if err != nil {
+				log.WithError(err).Errorf("failed to submit orders")
+				return
+			}
+
+			log.Infof("created position release orders: %+v", createdOrders)
+		})
+	}
+
+	if !s.CircuitBreakLossThreshold.IsZero() {
+		log.Infof("circuitBreakLossThreshold is configured, setting up CircuitBreakRiskControl...")
+		s.circuitBreakRiskControl = riskcontrol.NewCircuitBreakRiskControl(
+			s.Position,
+			session.Indicators(s.Symbol).EWMA(s.CircuitBreakEMA),
+			s.CircuitBreakLossThreshold,
+			s.ProfitStats)
+	}
+
 	scale, err := s.LiquiditySlideRule.Scale()
 	if err != nil {
 		return err
@@ -283,6 +323,11 @@ func (s *Strategy) placeAdjustmentOrders(ctx context.Context) {
 }
 
 func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
+	if s.circuitBreakRiskControl != nil && s.circuitBreakRiskControl.IsHalted() {
+		log.Warn("circuitBreakRiskControl: trading halted")
+		return
+	}
+
 	err := s.liquidityOrderBook.GracefulCancel(ctx, s.session.Exchange)
 	if logErr(err, "unable to cancel orders") {
 		return