Merge pull request #1220 from c9s/feature/scmaker-with-risk-control

REFACTOR: refactor risk control with the order executor interface and mocks

pkg/bbgo/activeorderbook.go

@@ -9,6 +9,7 @@ import (
 	"github.com/pkg/errors"
 	log "github.com/sirupsen/logrus"
 
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/sigchan"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -16,6 +17,7 @@ import (
 const CancelOrderWaitTime = 20 * time.Millisecond
 
 // ActiveOrderBook manages the local active order books.
+//
 //go:generate callbackgen -type ActiveOrderBook
 type ActiveOrderBook struct {
 	Symbol string
@@ -209,7 +211,7 @@ func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange,
 				continue
 			}
 
-			openOrderStore := NewOrderStore(symbol)
+			openOrderStore := core.NewOrderStore(symbol)
 			openOrderStore.Add(openOrders...)
 			for _, o := range orders {
 				// if it's not on the order book (open orders), we should remove it from our local side

pkg/bbgo/mocks/mock_order_executor_extended.go

@@ -0,0 +1,104 @@
+// Code generated by MockGen. DO NOT EDIT.
+// Source: github.com/c9s/bbgo/pkg/bbgo (interfaces: OrderExecutorExtended)
+
+// Package mocks is a generated GoMock package.
+package mocks
+
+import (
+	context "context"
+	reflect "reflect"
+
+	bbgo "github.com/c9s/bbgo/pkg/bbgo"
+	types "github.com/c9s/bbgo/pkg/types"
+	gomock "github.com/golang/mock/gomock"
+)
+
+// MockOrderExecutorExtended is a mock of OrderExecutorExtended interface.
+type MockOrderExecutorExtended struct {
+	ctrl     *gomock.Controller
+	recorder *MockOrderExecutorExtendedMockRecorder
+}
+
+// MockOrderExecutorExtendedMockRecorder is the mock recorder for MockOrderExecutorExtended.
+type MockOrderExecutorExtendedMockRecorder struct {
+	mock *MockOrderExecutorExtended
+}
+
+// NewMockOrderExecutorExtended creates a new mock instance.
+func NewMockOrderExecutorExtended(ctrl *gomock.Controller) *MockOrderExecutorExtended {
+	mock := &MockOrderExecutorExtended{ctrl: ctrl}
+	mock.recorder = &MockOrderExecutorExtendedMockRecorder{mock}
+	return mock
+}
+
+// EXPECT returns an object that allows the caller to indicate expected use.
+func (m *MockOrderExecutorExtended) EXPECT() *MockOrderExecutorExtendedMockRecorder {
+	return m.recorder
+}
+
+// CancelOrders mocks base method.
+func (m *MockOrderExecutorExtended) CancelOrders(arg0 context.Context, arg1 ...types.Order) error {
+	m.ctrl.T.Helper()
+	varargs := []interface{}{arg0}
+	for _, a := range arg1 {
+		varargs = append(varargs, a)
+	}
+	ret := m.ctrl.Call(m, "CancelOrders", varargs...)
+	ret0, _ := ret[0].(error)
+	return ret0
+}
+
+// CancelOrders indicates an expected call of CancelOrders.
+func (mr *MockOrderExecutorExtendedMockRecorder) CancelOrders(arg0 interface{}, arg1 ...interface{}) *gomock.Call {
+	mr.mock.ctrl.T.Helper()
+	varargs := append([]interface{}{arg0}, arg1...)
+	return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "CancelOrders", reflect.TypeOf((*MockOrderExecutorExtended)(nil).CancelOrders), varargs...)
+}
+
+// Position mocks base method.
+func (m *MockOrderExecutorExtended) Position() *types.Position {
+	m.ctrl.T.Helper()
+	ret := m.ctrl.Call(m, "Position")
+	ret0, _ := ret[0].(*types.Position)
+	return ret0
+}
+
+// Position indicates an expected call of Position.
+func (mr *MockOrderExecutorExtendedMockRecorder) Position() *gomock.Call {
+	mr.mock.ctrl.T.Helper()
+	return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "Position", reflect.TypeOf((*MockOrderExecutorExtended)(nil).Position))
+}
+
+// SubmitOrders mocks base method.
+func (m *MockOrderExecutorExtended) SubmitOrders(arg0 context.Context, arg1 ...types.SubmitOrder) (types.OrderSlice, error) {
+	m.ctrl.T.Helper()
+	varargs := []interface{}{arg0}
+	for _, a := range arg1 {
+		varargs = append(varargs, a)
+	}
+	ret := m.ctrl.Call(m, "SubmitOrders", varargs...)
+	ret0, _ := ret[0].(types.OrderSlice)
+	ret1, _ := ret[1].(error)
+	return ret0, ret1
+}
+
+// SubmitOrders indicates an expected call of SubmitOrders.
+func (mr *MockOrderExecutorExtendedMockRecorder) SubmitOrders(arg0 interface{}, arg1 ...interface{}) *gomock.Call {
+	mr.mock.ctrl.T.Helper()
+	varargs := append([]interface{}{arg0}, arg1...)
+	return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "SubmitOrders", reflect.TypeOf((*MockOrderExecutorExtended)(nil).SubmitOrders), varargs...)
+}
+
+// TradeCollector mocks base method.
+func (m *MockOrderExecutorExtended) TradeCollector() *bbgo.TradeCollector {
+	m.ctrl.T.Helper()
+	ret := m.ctrl.Call(m, "TradeCollector")
+	ret0, _ := ret[0].(*bbgo.TradeCollector)
+	return ret0
+}
+
+// TradeCollector indicates an expected call of TradeCollector.
+func (mr *MockOrderExecutorExtendedMockRecorder) TradeCollector() *gomock.Call {
+	mr.mock.ctrl.T.Helper()
+	return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "TradeCollector", reflect.TypeOf((*MockOrderExecutorExtended)(nil).TradeCollector))
+}

pkg/bbgo/order_execution.go

@@ -28,6 +28,14 @@ type OrderExecutor interface {
 	CancelOrders(ctx context.Context, orders ...types.Order) error
 }
 
+//go:generate mockgen -destination=mocks/mock_order_executor_extended.go -package=mocks . OrderExecutorExtended
+type OrderExecutorExtended interface {
+	SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)
+	CancelOrders(ctx context.Context, orders ...types.Order) error
+	TradeCollector() *TradeCollector
+	Position() *types.Position
+}
+
 type OrderExecutionRouter interface {
 	// SubmitOrdersTo submit order to a specific exchange Session
 	SubmitOrdersTo(ctx context.Context, session string, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)

pkg/bbgo/order_executor_general.go

@@ -10,6 +10,7 @@ import (
 	log "github.com/sirupsen/logrus"
 	"go.uber.org/multierr"
 
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/exchange/retry"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
@@ -33,7 +34,7 @@ type GeneralOrderExecutor struct {
 	strategyInstanceID string
 	position           *types.Position
 	activeMakerOrders  *ActiveOrderBook
-	orderStore         *OrderStore
+	orderStore         *core.OrderStore
 	tradeCollector     *TradeCollector
 
 	logger log.FieldLogger
@@ -49,7 +50,7 @@ func NewGeneralOrderExecutor(session *ExchangeSession, symbol, strategy, strateg
 	position.Strategy = strategy
 	position.StrategyInstanceID = strategyInstanceID
 
-	orderStore := NewOrderStore(symbol)
+	orderStore := core.NewOrderStore(symbol)
 
 	executor := &GeneralOrderExecutor{
 		session:            session,
@@ -62,7 +63,7 @@ func NewGeneralOrderExecutor(session *ExchangeSession, symbol, strategy, strateg
 		tradeCollector:     NewTradeCollector(symbol, position, orderStore),
 	}
 
-	if session.Margin {
+	if session != nil && session.Margin {
 		executor.startMarginAssetUpdater(context.Background())
 	}
 
@@ -121,7 +122,7 @@ func (e *GeneralOrderExecutor) marginAssetMaxBorrowableUpdater(ctx context.Conte
 	}
 }
 
-func (e *GeneralOrderExecutor) OrderStore() *OrderStore {
+func (e *GeneralOrderExecutor) OrderStore() *core.OrderStore {
 	return e.orderStore
 }
 

pkg/bbgo/session.go

@@ -15,6 +15,7 @@ import (
 	"github.com/spf13/viper"
 
 	"github.com/c9s/bbgo/pkg/cache"
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/util/templateutil"
 
 	exchange2 "github.com/c9s/bbgo/pkg/exchange"
@@ -110,7 +111,7 @@ type ExchangeSession struct {
 	// indicators is the v2 api indicators
 	indicators map[string]*IndicatorSet
 
-	orderStores map[string]*OrderStore
+	orderStores map[string]*core.OrderStore
 
 	usedSymbols        map[string]struct{}
 	initializedSymbols map[string]struct{}
@@ -140,7 +141,7 @@ func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession {
 		marketDataStores:      make(map[string]*MarketDataStore),
 		standardIndicatorSets: make(map[string]*StandardIndicatorSet),
 		indicators:            make(map[string]*IndicatorSet),
-		orderStores:           make(map[string]*OrderStore),
+		orderStores:           make(map[string]*core.OrderStore),
 		usedSymbols:           make(map[string]struct{}),
 		initializedSymbols:    make(map[string]struct{}),
 		logger:                log.WithField("session", name),
@@ -398,7 +399,7 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
 	position.BindStream(session.UserDataStream)
 	session.positions[symbol] = position
 
-	orderStore := NewOrderStore(symbol)
+	orderStore := core.NewOrderStore(symbol)
 	orderStore.AddOrderUpdate = true
 
 	orderStore.BindStream(session.UserDataStream)
@@ -615,12 +616,12 @@ func (session *ExchangeSession) Markets() map[string]types.Market {
 	return session.markets
 }
 
-func (session *ExchangeSession) OrderStore(symbol string) (store *OrderStore, ok bool) {
+func (session *ExchangeSession) OrderStore(symbol string) (store *core.OrderStore, ok bool) {
 	store, ok = session.orderStores[symbol]
 	return store, ok
 }
 
-func (session *ExchangeSession) OrderStores() map[string]*OrderStore {
+func (session *ExchangeSession) OrderStores() map[string]*core.OrderStore {
 	return session.orderStores
 }
 
@@ -809,7 +810,7 @@ func (session *ExchangeSession) InitExchange(name string, ex types.Exchange) err
 	session.positions = make(map[string]*types.Position)
 	session.standardIndicatorSets = make(map[string]*StandardIndicatorSet)
 	session.indicators = make(map[string]*IndicatorSet)
-	session.orderStores = make(map[string]*OrderStore)
+	session.orderStores = make(map[string]*core.OrderStore)
 	session.OrderExecutor = &ExchangeOrderExecutor{
 		// copy the notification system so that we can route
 		Session: session,

pkg/bbgo/tradecollector.go

@@ -7,6 +7,7 @@ import (
 
 	log "github.com/sirupsen/logrus"
 
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/sigchan"
 	"github.com/c9s/bbgo/pkg/types"
@@ -17,10 +18,10 @@ type TradeCollector struct {
 	Symbol   string
 	orderSig sigchan.Chan
 
-	tradeStore *TradeStore
+	tradeStore *core.TradeStore
 	tradeC     chan types.Trade
 	position   *types.Position
-	orderStore *OrderStore
+	orderStore *core.OrderStore
 	doneTrades map[types.TradeKey]struct{}
 
 	mu sync.Mutex
@@ -33,13 +34,13 @@ type TradeCollector struct {
 	profitCallbacks         []func(trade types.Trade, profit *types.Profit)
 }
 
-func NewTradeCollector(symbol string, position *types.Position, orderStore *OrderStore) *TradeCollector {
+func NewTradeCollector(symbol string, position *types.Position, orderStore *core.OrderStore) *TradeCollector {
 	return &TradeCollector{
 		Symbol:   symbol,
 		orderSig: sigchan.New(1),
 
 		tradeC:     make(chan types.Trade, 100),
-		tradeStore: NewTradeStore(),
+		tradeStore: core.NewTradeStore(),
 		doneTrades: make(map[types.TradeKey]struct{}),
 		position:   position,
 		orderStore: orderStore,
@@ -47,7 +48,7 @@ func NewTradeCollector(symbol string, position *types.Position, orderStore *Orde
 }
 
 // OrderStore returns the order store used by the trade collector
-func (c *TradeCollector) OrderStore() *OrderStore {
+func (c *TradeCollector) OrderStore() *core.OrderStore {
 	return c.orderStore
 }
 
@@ -56,7 +57,7 @@ func (c *TradeCollector) Position() *types.Position {
 	return c.position
 }
 
-func (c *TradeCollector) TradeStore() *TradeStore {
+func (c *TradeCollector) TradeStore() *core.TradeStore {
 	return c.tradeStore
 }
 

pkg/bbgo/tradecollector_test.go

@@ -5,6 +5,7 @@ import (
 
 	"github.com/stretchr/testify/assert"
 
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -12,7 +13,7 @@ import (
 func TestTradeCollector_ShouldNotCountDuplicatedTrade(t *testing.T) {
 	symbol := "BTCUSDT"
 	position := types.NewPosition(symbol, "BTC", "USDT")
-	orderStore := NewOrderStore(symbol)
+	orderStore := core.NewOrderStore(symbol)
 	collector := NewTradeCollector(symbol, position, orderStore)
 	assert.NotNil(t, collector)
 

pkg/bbgo/twap_order_executor.go

@@ -10,6 +10,7 @@ import (
 	log "github.com/sirupsen/logrus"
 	"golang.org/x/time/rate"
 
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -37,7 +38,7 @@ type TwapExecution struct {
 	activePosition fixedpoint.Value
 
 	activeMakerOrders *ActiveOrderBook
-	orderStore        *OrderStore
+	orderStore        *core.OrderStore
 	position          *types.Position
 
 	executionCtx    context.Context
@@ -406,7 +407,7 @@ func (e *TwapExecution) Run(parentCtx context.Context) error {
 		QuoteCurrency: e.market.QuoteCurrency,
 	}
 
-	e.orderStore = NewOrderStore(e.Symbol)
+	e.orderStore = core.NewOrderStore(e.Symbol)
 	e.orderStore.BindStream(e.userDataStream)
 	e.activeMakerOrders = NewActiveOrderBook(e.Symbol)
 	e.activeMakerOrders.OnFilled(e.handleFilledOrder)

pkg/cmd/backtest.go

@@ -14,6 +14,7 @@ import (
 	"github.com/google/uuid"
 
 	"github.com/c9s/bbgo/pkg/cmd/cmdutil"
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/data/tsv"
 	"github.com/c9s/bbgo/pkg/util"
 
@@ -314,7 +315,7 @@ var BacktestCmd = &cobra.Command{
 			for usedSymbol := range exSource.Session.Positions() {
 				market, _ := exSource.Session.Market(usedSymbol)
 				position := types.NewPositionFromMarket(market)
-				orderStore := bbgo.NewOrderStore(usedSymbol)
+				orderStore := core.NewOrderStore(usedSymbol)
 				orderStore.AddOrderUpdate = true
 				tradeCollector := bbgo.NewTradeCollector(usedSymbol, position, orderStore)
 

pkg/core/orderstore.go

@@ -1,4 +1,4 @@
-package bbgo
+package core
 
 import (
 	"sync"

pkg/core/tradestore.go

@@ -1,4 +1,4 @@
-package bbgo
+package core
 
 import (
 	"sync"

pkg/core/tradestore_test.go

@@ -1,4 +1,4 @@
-package bbgo
+package core
 
 import (
 	"testing"

pkg/risk/riskcontrol/position.go

@@ -1,6 +1,8 @@
 package riskcontrol
 
 import (
+	"context"
+
 	log "github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
@@ -8,38 +10,76 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
+// PositionRiskControl controls the position with the given hard limit
+// TODO: add a decorator for the order executor and move the order submission logics into the decorator
+//
 //go:generate callbackgen -type PositionRiskControl
 type PositionRiskControl struct {
+	orderExecutor bbgo.OrderExecutorExtended
+
+	// hardLimit is the maximum base position you can hold
 	hardLimit fixedpoint.Value
-	quantity  fixedpoint.Value
+
+	// sliceQuantity is the maximum quantity of the order you want to place.
+	// only used in the ModifiedQuantity method
+	sliceQuantity fixedpoint.Value
 
 	releasePositionCallbacks []func(quantity fixedpoint.Value, side types.SideType)
 }
 
-func NewPositionRiskControl(hardLimit, quantity fixedpoint.Value, tradeCollector *bbgo.TradeCollector) *PositionRiskControl {
+func NewPositionRiskControl(orderExecutor bbgo.OrderExecutorExtended, hardLimit, quantity fixedpoint.Value) *PositionRiskControl {
-	p := &PositionRiskControl{
+	control := &PositionRiskControl{
+		orderExecutor: orderExecutor,
 		hardLimit:     hardLimit,
-		quantity:  quantity,
+		sliceQuantity: quantity,
 	}
 
+	control.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
+		pos := orderExecutor.Position()
+		createdOrders, err := orderExecutor.SubmitOrders(context.Background(), types.SubmitOrder{
+			Symbol:   pos.Symbol,
+			Market:   pos.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)
+	})
+
 	// register position update handler: check if position is over the hard limit
-	tradeCollector.OnPositionUpdate(func(position *types.Position) {
+	orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
 		if fixedpoint.Compare(position.Base, hardLimit) > 0 {
 			log.Infof("position %f is over hardlimit %f, releasing position...", position.Base.Float64(), hardLimit.Float64())
-			p.EmitReleasePosition(position.Base.Sub(hardLimit), types.SideTypeSell)
+			control.EmitReleasePosition(position.Base.Sub(hardLimit), types.SideTypeSell)
 		} else if fixedpoint.Compare(position.Base, hardLimit.Neg()) < 0 {
 			log.Infof("position %f is over hardlimit %f, releasing position...", position.Base.Float64(), hardLimit.Float64())
-			p.EmitReleasePosition(position.Base.Neg().Sub(hardLimit), types.SideTypeBuy)
+			control.EmitReleasePosition(position.Base.Neg().Sub(hardLimit), types.SideTypeBuy)
 		}
 	})
 
-	return p
+	return control
 }
 
-// ModifiedQuantity returns quantity controlled by position risks
+// ModifiedQuantity returns sliceQuantity controlled by position risks
-// For buy orders, mod quantity = min(hardLimit - position, quantity), limiting by positive position
+// For buy orders, modify sliceQuantity = min(hardLimit - position, sliceQuantity), limiting by positive position
-// For sell orders, mod quantity = min(hardLimit - (-position), quantity), limiting by negative position
+// For sell orders, modify sliceQuantity = min(hardLimit - (-position), sliceQuantity), limiting by negative position
+//
+// Pass the current base position to this method, and it returns the maximum sliceQuantity for placing the orders.
+// This works for both Long/Short position
 func (p *PositionRiskControl) ModifiedQuantity(position fixedpoint.Value) (buyQuantity, sellQuantity fixedpoint.Value) {
-	return fixedpoint.Min(p.hardLimit.Sub(position), p.quantity),
+	if p.sliceQuantity.IsZero() {
-		fixedpoint.Min(p.hardLimit.Add(position), p.quantity)
+		buyQuantity = p.hardLimit.Sub(position)
+		sellQuantity = p.hardLimit.Add(position)
+		return buyQuantity, sellQuantity
+	}
+
+	buyQuantity = fixedpoint.Min(p.hardLimit.Sub(position), p.sliceQuantity)
+	sellQuantity = fixedpoint.Min(p.hardLimit.Add(position), p.sliceQuantity)
+	return buyQuantity, sellQuantity
 }

pkg/risk/riskcontrol/position_test.go

@@ -3,16 +3,27 @@ package riskcontrol
 import (
 	"testing"
 
+	"github.com/golang/mock/gomock"
 	"github.com/stretchr/testify/assert"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/bbgo/mocks"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
 func Test_ModifiedQuantity(t *testing.T) {
-
+	pos := &types.Position{
-	riskControl := NewPositionRiskControl(fixedpoint.NewFromInt(10), fixedpoint.NewFromInt(2), &bbgo.TradeCollector{})
+		Market: types.Market{
+			Symbol:          "BTCUSDT",
+			PricePrecision:  8,
+			VolumePrecision: 8,
+			QuoteCurrency:   "USDT",
+			BaseCurrency:    "BTC",
+		},
+	}
+	orderExecutor := bbgo.NewGeneralOrderExecutor(nil, "BTCUSDT", "strategy", "strategy-1", pos)
+	riskControl := NewPositionRiskControl(orderExecutor, fixedpoint.NewFromInt(10), fixedpoint.NewFromInt(2))
 
 	cases := []struct {
 		name         string
@@ -43,26 +54,13 @@ func Test_ModifiedQuantity(t *testing.T) {
 }
 
 func TestReleasePositionCallbacks(t *testing.T) {
-
-	var position fixedpoint.Value
-
-	tradeCollector := &bbgo.TradeCollector{}
-	riskControl := NewPositionRiskControl(fixedpoint.NewFromInt(10), fixedpoint.NewFromInt(2), tradeCollector)
-	riskControl.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
-		if side == types.SideTypeBuy {
-			position = position.Add(quantity)
-		} else {
-			position = position.Sub(quantity)
-		}
-	})
-
 	cases := []struct {
 		name           string
 		position       fixedpoint.Value
 		resultPosition fixedpoint.Value
 	}{
 		{
-			name:           "PostivePositionWithinLimit",
+			name:           "PositivePositionWithinLimit",
 			position:       fixedpoint.NewFromInt(8),
 			resultPosition: fixedpoint.NewFromInt(8),
 		},
@@ -72,7 +70,7 @@ func TestReleasePositionCallbacks(t *testing.T) {
 			resultPosition: fixedpoint.NewFromInt(-8),
 		},
 		{
-			name:           "PostivePositionOverLimit",
+			name:           "PositivePositionOverLimit",
 			position:       fixedpoint.NewFromInt(11),
 			resultPosition: fixedpoint.NewFromInt(10),
 		},
@@ -84,9 +82,36 @@ func TestReleasePositionCallbacks(t *testing.T) {
 	}
 	for _, tc := range cases {
 		t.Run(tc.name, func(t *testing.T) {
-			position = tc.position
+			pos := &types.Position{
-			tradeCollector.EmitPositionUpdate(&types.Position{Base: tc.position})
+				Base: tc.position,
-			assert.Equal(t, tc.resultPosition, position)
+				Market: types.Market{
+					Symbol:          "BTCUSDT",
+					PricePrecision:  8,
+					VolumePrecision: 8,
+					QuoteCurrency:   "USDT",
+					BaseCurrency:    "BTC",
+				},
+			}
+
+			tradeCollector := &bbgo.TradeCollector{}
+			mockCtrl := gomock.NewController(t)
+			defer mockCtrl.Finish()
+			orderExecutor := mocks.NewMockOrderExecutorExtended(mockCtrl)
+			orderExecutor.EXPECT().TradeCollector().Return(tradeCollector).AnyTimes()
+			orderExecutor.EXPECT().Position().Return(pos).AnyTimes()
+			orderExecutor.EXPECT().SubmitOrders(gomock.Any(), gomock.Any()).AnyTimes()
+
+			riskControl := NewPositionRiskControl(orderExecutor, fixedpoint.NewFromInt(10), fixedpoint.NewFromInt(2))
+			riskControl.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
+				if side == types.SideTypeBuy {
+					pos.Base = pos.Base.Add(quantity)
+				} else {
+					pos.Base = pos.Base.Sub(quantity)
+				}
+			})
+
+			orderExecutor.TradeCollector().EmitPositionUpdate(&types.Position{Base: tc.position})
+			assert.Equal(t, tc.resultPosition, pos.Base)
 		})
 	}
 }

pkg/strategy/bollgrid/strategy.go

@@ -8,6 +8,7 @@ import (
 	"github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
@@ -71,7 +72,7 @@ type Strategy struct {
 
 	profitOrders *bbgo.ActiveOrderBook
 
-	orders *bbgo.OrderStore
+	orders *core.OrderStore
 
 	// boll is the BOLLINGER indicator we used for predicting the price.
 	boll *indicator.BOLL
@@ -330,7 +331,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		Window:   21,
 	}, 2.0)
 
-	s.orders = bbgo.NewOrderStore(s.Symbol)
+	s.orders = core.NewOrderStore(s.Symbol)
 	s.orders.BindStream(session.UserDataStream)
 
 	// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.

pkg/strategy/fmaker/strategy.go

@@ -10,6 +10,7 @@ import (
 	"gonum.org/v1/gonum/floats"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/core"
 	floats2 "github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
@@ -47,7 +48,7 @@ type Strategy struct {
 	activeMakerOrders *bbgo.ActiveOrderBook
 	// closePositionOrders *bbgo.LocalActiveOrderBook
 
-	orderStore     *bbgo.OrderStore
+	orderStore     *core.OrderStore
 	tradeCollector *bbgo.TradeCollector
 
 	session *bbgo.ExchangeSession
@@ -158,7 +159,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	// s.closePositionOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
 	// s.closePositionOrders.BindStream(session.UserDataStream)
 
-	s.orderStore = bbgo.NewOrderStore(s.Symbol)
+	s.orderStore = core.NewOrderStore(s.Symbol)
 	s.orderStore.BindStream(session.UserDataStream)
 
 	if s.Position == nil {

pkg/strategy/grid/strategy.go

@@ -9,6 +9,7 @@ import (
 	"github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/service"
 	"github.com/c9s/bbgo/pkg/types"
@@ -89,7 +90,7 @@ type Strategy struct {
 	ProfitStats *types.ProfitStats `persistence:"profit_stats"`
 
 	// orderStore is used to store all the created orders, so that we can filter the trades.
-	orderStore *bbgo.OrderStore
+	orderStore *core.OrderStore
 
 	// activeOrders is the locally maintained active order book of the maker orders.
 	activeOrders *bbgo.ActiveOrderBook
@@ -562,7 +563,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 
 	bbgo.Notify("grid %s position", s.Symbol, s.State.Position)
 
-	s.orderStore = bbgo.NewOrderStore(s.Symbol)
+	s.orderStore = core.NewOrderStore(s.Symbol)
 	s.orderStore.BindStream(session.UserDataStream)
 
 	// we don't persist orders so that we can not clear the previous orders for now. just need time to support this.

pkg/strategy/grid2/strategy.go

@@ -18,6 +18,7 @@ import (
 	"go.uber.org/multierr"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/exchange/retry"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
@@ -186,7 +187,7 @@ type Strategy struct {
 	orderQueryService types.ExchangeOrderQueryService
 
 	orderExecutor    OrderExecutor
-	historicalTrades *bbgo.TradeStore
+	historicalTrades *core.TradeStore
 
 	logger *logrus.Entry
 
@@ -1858,7 +1859,7 @@ func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.
 		}
 	}
 
-	s.historicalTrades = bbgo.NewTradeStore()
+	s.historicalTrades = core.NewTradeStore()
 	s.historicalTrades.EnablePrune = true
 	s.historicalTrades.BindStream(session.UserDataStream)
 

pkg/strategy/grid2/strategy_test.go

@@ -11,7 +11,7 @@ import (
 	"github.com/sirupsen/logrus"
 	"github.com/stretchr/testify/assert"
 
-	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	gridmocks "github.com/c9s/bbgo/pkg/strategy/grid2/mocks"
 	"github.com/c9s/bbgo/pkg/types"
@@ -588,7 +588,7 @@ func newTestStrategy() *Strategy {
 		UpperPrice:       number(20_000),
 		LowerPrice:       number(10_000),
 		GridNum:          11,
-		historicalTrades: bbgo.NewTradeStore(),
+		historicalTrades: core.NewTradeStore(),
 
 		filledOrderIDMap: types.NewSyncOrderMap(),
 

pkg/strategy/scmaker/strategy.go

@@ -146,23 +146,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 
 	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 = riskcontrol.NewPositionRiskControl(s.orderExecutor, s.PositionHardLimit, s.MaxPositionQuantity)
-		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() {

pkg/strategy/wall/strategy.go

@@ -6,6 +6,7 @@ import (
 	"sync"
 	"time"
 
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/util"
 
 	"github.com/pkg/errors"
@@ -65,7 +66,7 @@ type Strategy struct {
 
 	activeAdjustmentOrders *bbgo.ActiveOrderBook
 	activeWallOrders       *bbgo.ActiveOrderBook
-	orderStore             *bbgo.OrderStore
+	orderStore             *core.OrderStore
 	tradeCollector         *bbgo.TradeCollector
 
 	groupID uint32
@@ -273,7 +274,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	s.activeAdjustmentOrders = bbgo.NewActiveOrderBook(s.Symbol)
 	s.activeAdjustmentOrders.BindStream(session.UserDataStream)
 
-	s.orderStore = bbgo.NewOrderStore(s.Symbol)
+	s.orderStore = core.NewOrderStore(s.Symbol)
 	s.orderStore.BindStream(session.UserDataStream)
 
 	s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)

pkg/strategy/xalign/strategy.go

@@ -11,6 +11,7 @@ import (
 	"github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -50,7 +51,7 @@ type Strategy struct {
 	sessions   map[string]*bbgo.ExchangeSession
 	orderBooks map[string]*bbgo.ActiveOrderBook
 
-	orderStore *bbgo.OrderStore
+	orderStore *core.OrderStore
 }
 
 func (s *Strategy) ID() string {
@@ -242,7 +243,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
 	s.sessions = make(map[string]*bbgo.ExchangeSession)
 	s.orderBooks = make(map[string]*bbgo.ActiveOrderBook)
 
-	s.orderStore = bbgo.NewOrderStore("")
+	s.orderStore = core.NewOrderStore("")
 
 	for _, sessionName := range s.PreferredSessions {
 		session, ok := sessions[sessionName]

pkg/strategy/xmaker/strategy.go

@@ -11,6 +11,7 @@ import (
 	"golang.org/x/time/rate"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/core"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
@@ -103,7 +104,7 @@ type Strategy struct {
 	hedgeErrorLimiter         *rate.Limiter
 	hedgeErrorRateReservation *rate.Reservation
 
-	orderStore     *bbgo.OrderStore
+	orderStore     *core.OrderStore
 	tradeCollector *bbgo.TradeCollector
 
 	askPriceHeartBeat, bidPriceHeartBeat types.PriceHeartBeat
@@ -732,7 +733,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
 	s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
 	s.activeMakerOrders.BindStream(s.makerSession.UserDataStream)
 
-	s.orderStore = bbgo.NewOrderStore(s.Symbol)
+	s.orderStore = core.NewOrderStore(s.Symbol)
 	s.orderStore.BindStream(s.sourceSession.UserDataStream)
 	s.orderStore.BindStream(s.makerSession.UserDataStream)