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Merge pull request #820 from c9s/feature/risk-cal-funcs

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feature: add risk functions
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Yo-An Lin 2022-07-14 01:19:42 +08:00 committed by GitHub
commit ce3f7a3d51
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51
pkg/risk/leverage.go Normal file
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package risk
import (
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
// How to Calculate Cost Required to Open a Position in Perpetual Futures Contracts
//
// See <https://www.binance.com/en/support/faq/87fa7ee33b574f7084d42bd2ce2e463b>
//
// For Long Position:
// = Number of Contract * Absolute Value {min[0, direction of order x (mark price - order price)]}
//
// For short position:
// = Number of Contract * Absolute Value {min[0, direction of order x (mark price - order price)]}
func CalculateOpenLoss(numContract, markPrice, orderPrice fixedpoint.Value, side types.SideType) fixedpoint.Value {
var d = fixedpoint.One
if side == types.SideTypeSell {
d = fixedpoint.NegOne
}
var openLoss = numContract.Mul(fixedpoint.Min(fixedpoint.Zero, d.Mul(markPrice.Sub(orderPrice))).Abs())
return openLoss
}
// CalculateMarginCost calculate the margin cost of the given notional position by price * quantity
func CalculateMarginCost(price, quantity, leverage fixedpoint.Value) fixedpoint.Value {
var notionalValue = price.Mul(quantity)
var cost = notionalValue.Div(leverage)
return cost
}
func CalculatePositionCost(markPrice, orderPrice, quantity, leverage fixedpoint.Value, side types.SideType) fixedpoint.Value {
var marginCost = CalculateMarginCost(orderPrice, quantity, leverage)
var openLoss = CalculateOpenLoss(quantity, markPrice, orderPrice, side)
return marginCost.Add(openLoss)
}
// CalculateMaxPosition calculates the maximum notional value of the position and return the max quantity you can use.
func CalculateMaxPosition(price, availableMargin, leverage fixedpoint.Value) fixedpoint.Value {
var maxNotionalValue = availableMargin.Mul(leverage)
var maxQuantity = maxNotionalValue.Div(price)
return maxQuantity
}
// CalculateMinRequiredLeverage calculates the leverage of the given position (price and quantity)
func CalculateMinRequiredLeverage(price, quantity, availableMargin fixedpoint.Value) fixedpoint.Value {
var notional = price.Mul(quantity)
return notional.Div(availableMargin)
}

145
pkg/risk/leverage_test.go Normal file
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package risk
import (
"testing"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
func TestCalculateMarginCost(t *testing.T) {
type args struct {
price fixedpoint.Value
quantity fixedpoint.Value
leverage fixedpoint.Value
}
tests := []struct {
name string
args args
want fixedpoint.Value
}{
{
name: "simple",
args: args{
price: fixedpoint.NewFromFloat(9000.0),
quantity: fixedpoint.NewFromFloat(2.0),
leverage: fixedpoint.NewFromFloat(3.0),
},
want: fixedpoint.NewFromFloat(9000.0 * 2.0 / 3.0),
},
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
if got := CalculateMarginCost(tt.args.price, tt.args.quantity, tt.args.leverage); got.String() != tt.want.String() {
t.Errorf("CalculateMarginCost() = %v, want %v", got, tt.want)
}
})
}
}
func TestCalculatePositionCost(t *testing.T) {
type args struct {
markPrice fixedpoint.Value
orderPrice fixedpoint.Value
quantity fixedpoint.Value
leverage fixedpoint.Value
side types.SideType
}
tests := []struct {
name string
args args
want fixedpoint.Value
}{
{
// long position does not have openLoss
name: "long",
args: args{
markPrice: fixedpoint.NewFromFloat(9050.0),
orderPrice: fixedpoint.NewFromFloat(9000.0),
quantity: fixedpoint.NewFromFloat(2.0),
leverage: fixedpoint.NewFromFloat(3.0),
side: types.SideTypeBuy,
},
want: fixedpoint.NewFromFloat(6000.0),
},
{
// long position does not have openLoss
name: "short",
args: args{
markPrice: fixedpoint.NewFromFloat(9050.0),
orderPrice: fixedpoint.NewFromFloat(9000.0),
quantity: fixedpoint.NewFromFloat(2.0),
leverage: fixedpoint.NewFromFloat(3.0),
side: types.SideTypeSell,
},
want: fixedpoint.NewFromFloat(6100.0),
},
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
if got := CalculatePositionCost(tt.args.markPrice, tt.args.orderPrice, tt.args.quantity, tt.args.leverage, tt.args.side); got.String() != tt.want.String() {
t.Errorf("CalculatePositionCost() = %v, want %v", got, tt.want)
}
})
}
}
func TestCalculateMaxPosition(t *testing.T) {
type args struct {
price fixedpoint.Value
availableMargin fixedpoint.Value
leverage fixedpoint.Value
}
tests := []struct {
name string
args args
want fixedpoint.Value
}{
{
name: "3x",
args: args{
price: fixedpoint.NewFromFloat(9000.0),
availableMargin: fixedpoint.NewFromFloat(300.0),
leverage: fixedpoint.NewFromFloat(3.0),
},
want: fixedpoint.NewFromFloat(0.1),
},
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
if got := CalculateMaxPosition(tt.args.price, tt.args.availableMargin, tt.args.leverage); got.String() != tt.want.String() {
t.Errorf("CalculateMaxPosition() = %v, want %v", got, tt.want)
}
})
}
}
func TestCalculateMinRequiredLeverage(t *testing.T) {
type args struct {
price fixedpoint.Value
quantity fixedpoint.Value
availableMargin fixedpoint.Value
}
tests := []struct {
name string
args args
want fixedpoint.Value
}{
{
name: "30x",
args: args{
price: fixedpoint.NewFromFloat(9000.0),
quantity: fixedpoint.NewFromFloat(10.0),
availableMargin: fixedpoint.NewFromFloat(3000.0),
},
want: fixedpoint.NewFromFloat(30.0),
},
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
if got := CalculateMinRequiredLeverage(tt.args.price, tt.args.quantity, tt.args.availableMargin); got.String() != tt.want.String() {
t.Errorf("CalculateMinRequiredLeverage() = %v, want %v", got, tt.want)
}
})
}
}