package risk import ( "git.qtrade.icu/lychiyu/qbtrade/pkg/fixedpoint" "git.qtrade.icu/lychiyu/qbtrade/pkg/types" ) // How to Calculate Cost Required to Open a Position in Perpetual Futures Contracts // // See // // 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) }