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43 lines
1.7 KiB
Go
43 lines
1.7 KiB
Go
package riskcontrol
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import (
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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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log "github.com/sirupsen/logrus"
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)
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//go:generate callbackgen -type PositionRiskControl
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type PositionRiskControl struct {
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hardLimit fixedpoint.Value
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quantity 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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}
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// register position update handler: check if position is over hardlimit
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tradeCollector.OnPositionUpdate(func(position *types.Position) {
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if fixedpoint.Compare(position.Base, hardLimit) > 0 {
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log.Infof("Position %v is over hardlimit %v, releasing:\n", position.Base, hardLimit)
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p.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 %v is over hardlimit %v, releasing:\n", position.Base, hardLimit)
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p.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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}
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// ModifiedQuantity returns quantity controlled by position risks
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// For buy orders, mod quantity = min(hardlimit - position, quanity), limiting by positive position
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// For sell orders, mod quantity = min(hardlimit - (-position), quanity), limiting by negative position
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func (p *PositionRiskControl) ModifiedQuantity(position fixedpoint.Value) (buyQuanity, 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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}
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