mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-24 07:45:15 +00:00
52 lines
2.0 KiB
Go
52 lines
2.0 KiB
Go
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)
|
|
}
|