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104 lines
3.9 KiB
Go
104 lines
3.9 KiB
Go
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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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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// PositionRiskControl controls the position with the given hard limit
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// TODO: add a decorator for the order executor and move the order submission logics into the decorator
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//
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//go:generate callbackgen -type PositionRiskControl
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type PositionRiskControl struct {
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orderExecutor bbgo.OrderExecutorExtended
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// hardLimit is the maximum base position you can hold
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hardLimit 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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// activeOrderBook is used to store orders created by the risk control.
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// This allows us to cancel them before submitting the position release
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// orders, preventing duplicate orders.
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activeOrderBook *bbgo.ActiveOrderBook
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releasePositionCallbacks []func(quantity fixedpoint.Value, side types.SideType)
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}
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func NewPositionRiskControl(orderExecutor bbgo.OrderExecutorExtended, hardLimit, quantity fixedpoint.Value) *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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// register position update handler: check if position is over the hard limit
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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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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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control.EmitReleasePosition(position.Base.Neg().Sub(hardLimit), types.SideTypeBuy)
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}
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})
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return control
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}
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func (p *PositionRiskControl) Initialize(ctx context.Context, session *bbgo.ExchangeSession) {
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p.activeOrderBook = bbgo.NewActiveOrderBook("")
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p.activeOrderBook.BindStream(session.UserDataStream)
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p.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
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if err := p.activeOrderBook.GracefulCancel(ctx, session.Exchange); err != nil {
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log.WithError(err).Errorf("failed to cancel orders")
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}
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pos := p.orderExecutor.Position()
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submitOrder := 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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log.Infof("RiskControl: position limit exceeded, submitting order to reduce position: %+v", submitOrder)
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createdOrders, err := p.orderExecutor.SubmitOrders(ctx, submitOrder)
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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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p.activeOrderBook.Add(createdOrders...)
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})
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}
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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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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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