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riskcontrol: move release position order submission into the pos risk control
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parent
0426c18757
commit
c8ae36ddfc
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@ -62,7 +62,7 @@ func NewGeneralOrderExecutor(session *ExchangeSession, symbol, strategy, strateg
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tradeCollector: NewTradeCollector(symbol, position, orderStore),
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}
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if session.Margin {
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if session != nil && session.Margin {
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executor.startMarginAssetUpdater(context.Background())
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}
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@ -1,6 +1,8 @@
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package riskcontrol
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import (
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"context"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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@ -10,36 +12,71 @@ import (
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//go:generate callbackgen -type PositionRiskControl
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type PositionRiskControl struct {
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orderExecutor *bbgo.GeneralOrderExecutor
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// hardLimit is the maximum base position you can hold
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hardLimit fixedpoint.Value
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quantity fixedpoint.Value
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// sliceQuantity is the maximum quantity of the order you want to place.
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// only used in the ModifiedQuantity method
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sliceQuantity fixedpoint.Value
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releasePositionCallbacks []func(quantity fixedpoint.Value, side types.SideType)
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}
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func NewPositionRiskControl(hardLimit, quantity fixedpoint.Value, tradeCollector *bbgo.TradeCollector) *PositionRiskControl {
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p := &PositionRiskControl{
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hardLimit: hardLimit,
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quantity: quantity,
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func NewPositionRiskControl(hardLimit, quantity fixedpoint.Value, orderExecutor *bbgo.GeneralOrderExecutor) *PositionRiskControl {
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control := &PositionRiskControl{
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orderExecutor: orderExecutor,
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hardLimit: hardLimit,
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sliceQuantity: quantity,
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}
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control.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
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pos := orderExecutor.Position()
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createdOrders, err := orderExecutor.SubmitOrders(context.Background(), types.SubmitOrder{
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Symbol: pos.Symbol,
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Market: pos.Market,
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Side: side,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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})
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if err != nil {
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log.WithError(err).Errorf("failed to submit orders")
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return
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}
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log.Infof("created position release orders: %+v", createdOrders)
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})
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// register position update handler: check if position is over the hard limit
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tradeCollector.OnPositionUpdate(func(position *types.Position) {
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orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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if fixedpoint.Compare(position.Base, hardLimit) > 0 {
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log.Infof("position %f is over hardlimit %f, releasing position...", position.Base.Float64(), hardLimit.Float64())
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p.EmitReleasePosition(position.Base.Sub(hardLimit), types.SideTypeSell)
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control.EmitReleasePosition(position.Base.Sub(hardLimit), types.SideTypeSell)
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} else if fixedpoint.Compare(position.Base, hardLimit.Neg()) < 0 {
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log.Infof("position %f is over hardlimit %f, releasing position...", position.Base.Float64(), hardLimit.Float64())
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p.EmitReleasePosition(position.Base.Neg().Sub(hardLimit), types.SideTypeBuy)
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control.EmitReleasePosition(position.Base.Neg().Sub(hardLimit), types.SideTypeBuy)
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}
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})
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return p
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return control
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}
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// ModifiedQuantity returns quantity controlled by position risks
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// For buy orders, mod quantity = min(hardLimit - position, quantity), limiting by positive position
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// For sell orders, mod quantity = min(hardLimit - (-position), quantity), limiting by negative position
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// ModifiedQuantity returns sliceQuantity controlled by position risks
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// For buy orders, modify sliceQuantity = min(hardLimit - position, sliceQuantity), limiting by positive position
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// For sell orders, modify sliceQuantity = min(hardLimit - (-position), sliceQuantity), limiting by negative position
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//
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// Pass the current base position to this method, and it returns the maximum sliceQuantity for placing the orders.
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// This works for both Long/Short position
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func (p *PositionRiskControl) ModifiedQuantity(position fixedpoint.Value) (buyQuantity, sellQuantity fixedpoint.Value) {
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return fixedpoint.Min(p.hardLimit.Sub(position), p.quantity),
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fixedpoint.Min(p.hardLimit.Add(position), p.quantity)
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if p.sliceQuantity.IsZero() {
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buyQuantity = p.hardLimit.Sub(position)
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sellQuantity = p.hardLimit.Add(position)
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return buyQuantity, sellQuantity
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}
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buyQuantity = fixedpoint.Min(p.hardLimit.Sub(position), p.sliceQuantity)
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sellQuantity = fixedpoint.Min(p.hardLimit.Add(position), p.sliceQuantity)
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return buyQuantity, sellQuantity
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}
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@ -11,8 +11,17 @@ import (
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)
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func Test_ModifiedQuantity(t *testing.T) {
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riskControl := NewPositionRiskControl(fixedpoint.NewFromInt(10), fixedpoint.NewFromInt(2), &bbgo.TradeCollector{})
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pos := &types.Position{
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Market: types.Market{
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Symbol: "BTCUSDT",
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PricePrecision: 8,
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VolumePrecision: 8,
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QuoteCurrency: "USDT",
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BaseCurrency: "BTC",
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},
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}
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orderExecutor := bbgo.NewGeneralOrderExecutor(nil, "BTCUSDT", "strategy", "strategy-1", pos)
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riskControl := NewPositionRiskControl(fixedpoint.NewFromInt(10), fixedpoint.NewFromInt(2), orderExecutor)
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cases := []struct {
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name string
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@ -43,19 +52,6 @@ func Test_ModifiedQuantity(t *testing.T) {
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}
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func TestReleasePositionCallbacks(t *testing.T) {
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var position fixedpoint.Value
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tradeCollector := &bbgo.TradeCollector{}
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riskControl := NewPositionRiskControl(fixedpoint.NewFromInt(10), fixedpoint.NewFromInt(2), tradeCollector)
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riskControl.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
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if side == types.SideTypeBuy {
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position = position.Add(quantity)
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} else {
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position = position.Sub(quantity)
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}
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})
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cases := []struct {
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name string
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position fixedpoint.Value
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@ -84,9 +80,29 @@ func TestReleasePositionCallbacks(t *testing.T) {
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}
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for _, tc := range cases {
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t.Run(tc.name, func(t *testing.T) {
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position = tc.position
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tradeCollector.EmitPositionUpdate(&types.Position{Base: tc.position})
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assert.Equal(t, tc.resultPosition, position)
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pos := &types.Position{
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Base: tc.position,
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Market: types.Market{
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Symbol: "BTCUSDT",
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PricePrecision: 8,
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VolumePrecision: 8,
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QuoteCurrency: "USDT",
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BaseCurrency: "BTC",
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},
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}
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orderExecutor := bbgo.NewGeneralOrderExecutor(nil, "BTCUSDT", "strategy", "strategy-1", pos)
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riskControl := NewPositionRiskControl(fixedpoint.NewFromInt(10), fixedpoint.NewFromInt(2), orderExecutor)
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riskControl.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
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if side == types.SideTypeBuy {
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pos.Base = pos.Base.Add(quantity)
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} else {
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pos.Base = pos.Base.Sub(quantity)
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}
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})
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orderExecutor.TradeCollector().EmitPositionUpdate(&types.Position{Base: tc.position})
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assert.Equal(t, tc.resultPosition, pos.Base)
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})
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}
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}
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@ -146,23 +146,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if !s.PositionHardLimit.IsZero() && !s.MaxPositionQuantity.IsZero() {
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log.Infof("positionHardLimit and maxPositionQuantity are configured, setting up PositionRiskControl...")
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s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.PositionHardLimit, s.MaxPositionQuantity, s.orderExecutor.TradeCollector())
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s.positionRiskControl.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
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createdOrders, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Market: s.Market,
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Side: side,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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})
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if err != nil {
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log.WithError(err).Errorf("failed to submit orders")
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return
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}
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log.Infof("created position release orders: %+v", createdOrders)
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})
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s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.PositionHardLimit, s.MaxPositionQuantity, s.orderExecutor)
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}
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if !s.CircuitBreakLossThreshold.IsZero() {
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