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Merge pull request #820 from c9s/feature/risk-cal-funcs
feature: add risk functions
2 parents affe466 + 5bbccac commit ce3f7a3

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‎pkg/risk/leverage.go

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package risk
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import (
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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// How to Calculate Cost Required to Open a Position in Perpetual Futures Contracts
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//
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// See <https://www.binance.com/en/support/faq/87fa7ee33b574f7084d42bd2ce2e463b>
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//
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// For Long Position:
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// = Number of Contract * Absolute Value {min[0, direction of order x (mark price - order price)]}
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//
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// For short position:
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// = Number of Contract * Absolute Value {min[0, direction of order x (mark price - order price)]}
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func CalculateOpenLoss(numContract, markPrice, orderPrice fixedpoint.Value, side types.SideType) fixedpoint.Value {
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var d = fixedpoint.One
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if side == types.SideTypeSell {
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d = fixedpoint.NegOne
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}
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var openLoss = numContract.Mul(fixedpoint.Min(fixedpoint.Zero, d.Mul(markPrice.Sub(orderPrice))).Abs())
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return openLoss
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}
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// CalculateMarginCost calculate the margin cost of the given notional position by price * quantity
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func CalculateMarginCost(price, quantity, leverage fixedpoint.Value) fixedpoint.Value {
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var notionalValue = price.Mul(quantity)
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var cost = notionalValue.Div(leverage)
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return cost
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}
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func CalculatePositionCost(markPrice, orderPrice, quantity, leverage fixedpoint.Value, side types.SideType) fixedpoint.Value {
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var marginCost = CalculateMarginCost(orderPrice, quantity, leverage)
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var openLoss = CalculateOpenLoss(quantity, markPrice, orderPrice, side)
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return marginCost.Add(openLoss)
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}
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// CalculateMaxPosition calculates the maximum notional value of the position and return the max quantity you can use.
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func CalculateMaxPosition(price, availableMargin, leverage fixedpoint.Value) fixedpoint.Value {
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var maxNotionalValue = availableMargin.Mul(leverage)
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var maxQuantity = maxNotionalValue.Div(price)
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return maxQuantity
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}
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// CalculateMinRequiredLeverage calculates the leverage of the given position (price and quantity)
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func CalculateMinRequiredLeverage(price, quantity, availableMargin fixedpoint.Value) fixedpoint.Value {
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var notional = price.Mul(quantity)
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return notional.Div(availableMargin)
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}

‎pkg/risk/leverage_test.go

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package risk
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import (
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"testing"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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func TestCalculateMarginCost(t *testing.T) {
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type args struct {
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price fixedpoint.Value
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quantity fixedpoint.Value
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leverage fixedpoint.Value
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}
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tests := []struct {
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name string
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args args
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want fixedpoint.Value
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}{
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{
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name: "simple",
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args: args{
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price: fixedpoint.NewFromFloat(9000.0),
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quantity: fixedpoint.NewFromFloat(2.0),
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leverage: fixedpoint.NewFromFloat(3.0),
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},
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want: fixedpoint.NewFromFloat(9000.0 * 2.0 / 3.0),
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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if got := CalculateMarginCost(tt.args.price, tt.args.quantity, tt.args.leverage); got.String() != tt.want.String() {
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t.Errorf("CalculateMarginCost() = %v, want %v", got, tt.want)
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}
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})
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}
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}
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func TestCalculatePositionCost(t *testing.T) {
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type args struct {
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markPrice fixedpoint.Value
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orderPrice fixedpoint.Value
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quantity fixedpoint.Value
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leverage fixedpoint.Value
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side types.SideType
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}
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tests := []struct {
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name string
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args args
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want fixedpoint.Value
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}{
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{
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// long position does not have openLoss
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name: "long",
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args: args{
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markPrice: fixedpoint.NewFromFloat(9050.0),
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orderPrice: fixedpoint.NewFromFloat(9000.0),
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quantity: fixedpoint.NewFromFloat(2.0),
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leverage: fixedpoint.NewFromFloat(3.0),
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side: types.SideTypeBuy,
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},
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want: fixedpoint.NewFromFloat(6000.0),
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},
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{
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// long position does not have openLoss
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name: "short",
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args: args{
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markPrice: fixedpoint.NewFromFloat(9050.0),
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orderPrice: fixedpoint.NewFromFloat(9000.0),
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quantity: fixedpoint.NewFromFloat(2.0),
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leverage: fixedpoint.NewFromFloat(3.0),
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side: types.SideTypeSell,
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},
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want: fixedpoint.NewFromFloat(6100.0),
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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if got := CalculatePositionCost(tt.args.markPrice, tt.args.orderPrice, tt.args.quantity, tt.args.leverage, tt.args.side); got.String() != tt.want.String() {
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t.Errorf("CalculatePositionCost() = %v, want %v", got, tt.want)
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}
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})
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}
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}
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func TestCalculateMaxPosition(t *testing.T) {
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type args struct {
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price fixedpoint.Value
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availableMargin fixedpoint.Value
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leverage fixedpoint.Value
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}
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tests := []struct {
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name string
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args args
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want fixedpoint.Value
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}{
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{
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name: "3x",
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args: args{
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price: fixedpoint.NewFromFloat(9000.0),
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availableMargin: fixedpoint.NewFromFloat(300.0),
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leverage: fixedpoint.NewFromFloat(3.0),
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},
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want: fixedpoint.NewFromFloat(0.1),
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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if got := CalculateMaxPosition(tt.args.price, tt.args.availableMargin, tt.args.leverage); got.String() != tt.want.String() {
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t.Errorf("CalculateMaxPosition() = %v, want %v", got, tt.want)
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}
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})
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}
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}
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func TestCalculateMinRequiredLeverage(t *testing.T) {
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type args struct {
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price fixedpoint.Value
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quantity fixedpoint.Value
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availableMargin fixedpoint.Value
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}
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tests := []struct {
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name string
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args args
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want fixedpoint.Value
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}{
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{
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name: "30x",
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args: args{
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price: fixedpoint.NewFromFloat(9000.0),
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quantity: fixedpoint.NewFromFloat(10.0),
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availableMargin: fixedpoint.NewFromFloat(3000.0),
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},
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want: fixedpoint.NewFromFloat(30.0),
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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if got := CalculateMinRequiredLeverage(tt.args.price, tt.args.quantity, tt.args.availableMargin); got.String() != tt.want.String() {
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t.Errorf("CalculateMinRequiredLeverage() = %v, want %v", got, tt.want)
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}
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})
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}
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}

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