36 lines
1.1 KiB
Go
36 lines
1.1 KiB
Go
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package riskcontrol
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import (
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"git.qtrade.icu/lychiyu/qbtrade/pkg/fixedpoint"
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indicatorv2 "git.qtrade.icu/lychiyu/qbtrade/pkg/indicator/v2"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
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log "github.com/sirupsen/logrus"
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)
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type OrderPriceRiskControl struct {
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referencePrice *indicatorv2.EWMAStream
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lossThreshold fixedpoint.Value
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}
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func NewOrderPriceRiskControl(referencePrice *indicatorv2.EWMAStream, threshold fixedpoint.Value) *OrderPriceRiskControl {
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return &OrderPriceRiskControl{
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referencePrice: referencePrice,
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lossThreshold: threshold,
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}
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}
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func (r *OrderPriceRiskControl) IsSafe(side types.SideType, price fixedpoint.Value, quantity fixedpoint.Value) bool {
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refPrice := fixedpoint.NewFromFloat(r.referencePrice.Last(0))
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// calculate profit
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var profit fixedpoint.Value
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if side == types.SideTypeBuy {
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profit = refPrice.Sub(price).Mul(quantity)
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} else if side == types.SideTypeSell {
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profit = price.Sub(refPrice).Mul(quantity)
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} else {
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log.Warnf("OrderPriceRiskControl: unsupported side type: %s", side)
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return false
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}
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return profit.Compare(r.lossThreshold) > 0
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}
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