mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-15 03:23:52 +00:00
88 lines
3.2 KiB
Go
88 lines
3.2 KiB
Go
package riskcontrol
|
|
|
|
import (
|
|
"context"
|
|
|
|
log "github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"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
|
|
|
|
// 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(orderExecutor bbgo.OrderExecutorExtended, hardLimit, quantity fixedpoint.Value) *PositionRiskControl {
|
|
control := &PositionRiskControl{
|
|
orderExecutor: orderExecutor,
|
|
hardLimit: hardLimit,
|
|
sliceQuantity: quantity,
|
|
}
|
|
|
|
control.OnReleasePosition(func(quantity fixedpoint.Value, side types.SideType) {
|
|
pos := orderExecutor.Position()
|
|
submitOrder := types.SubmitOrder{
|
|
Symbol: pos.Symbol,
|
|
Market: pos.Market,
|
|
Side: side,
|
|
Type: types.OrderTypeMarket,
|
|
Quantity: quantity,
|
|
}
|
|
|
|
log.Infof("submitting order: %+v", submitOrder)
|
|
createdOrders, err := orderExecutor.SubmitOrders(context.Background(), submitOrder)
|
|
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
|
|
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())
|
|
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())
|
|
control.EmitReleasePosition(position.Base.Neg().Sub(hardLimit), types.SideTypeBuy)
|
|
}
|
|
})
|
|
|
|
return control
|
|
}
|
|
|
|
// ModifiedQuantity returns sliceQuantity controlled by position risks
|
|
// For buy orders, modify sliceQuantity = min(hardLimit - position, sliceQuantity), limiting by positive 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) {
|
|
if p.sliceQuantity.IsZero() {
|
|
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
|
|
}
|