Merge pull request c9s#820 from c9s/feature/risk-cal-funcs

feature: add risk functions

pkg/risk/leverage.go

@@ -0,0 +1,51 @@
+package risk
+
+import (
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// How to Calculate Cost Required to Open a Position in Perpetual Futures Contracts
+//
+// See <https://www.binance.com/en/support/faq/87fa7ee33b574f7084d42bd2ce2e463b>
+//
+// 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)
+}

pkg/risk/leverage_test.go

@@ -0,0 +1,145 @@
+package risk
+
+import (
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func TestCalculateMarginCost(t *testing.T) {
+	type args struct {
+		price    fixedpoint.Value
+		quantity fixedpoint.Value
+		leverage fixedpoint.Value
+	}
+	tests := []struct {
+		name string
+		args args
+		want fixedpoint.Value
+	}{
+		{
+			name: "simple",
+			args: args{
+				price:    fixedpoint.NewFromFloat(9000.0),
+				quantity: fixedpoint.NewFromFloat(2.0),
+				leverage: fixedpoint.NewFromFloat(3.0),
+			},
+			want: fixedpoint.NewFromFloat(9000.0 * 2.0 / 3.0),
+		},
+	}
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			if got := CalculateMarginCost(tt.args.price, tt.args.quantity, tt.args.leverage); got.String() != tt.want.String() {
+				t.Errorf("CalculateMarginCost() = %v, want %v", got, tt.want)
+			}
+		})
+	}
+}
+
+func TestCalculatePositionCost(t *testing.T) {
+	type args struct {
+		markPrice  fixedpoint.Value
+		orderPrice fixedpoint.Value
+		quantity   fixedpoint.Value
+		leverage   fixedpoint.Value
+		side       types.SideType
+	}
+	tests := []struct {
+		name string
+		args args
+		want fixedpoint.Value
+	}{
+		{
+			// long position does not have openLoss
+			name: "long",
+			args: args{
+				markPrice:  fixedpoint.NewFromFloat(9050.0),
+				orderPrice: fixedpoint.NewFromFloat(9000.0),
+				quantity:   fixedpoint.NewFromFloat(2.0),
+				leverage:   fixedpoint.NewFromFloat(3.0),
+				side:       types.SideTypeBuy,
+			},
+			want: fixedpoint.NewFromFloat(6000.0),
+		},
+		{
+			// long position does not have openLoss
+			name: "short",
+			args: args{
+				markPrice:  fixedpoint.NewFromFloat(9050.0),
+				orderPrice: fixedpoint.NewFromFloat(9000.0),
+				quantity:   fixedpoint.NewFromFloat(2.0),
+				leverage:   fixedpoint.NewFromFloat(3.0),
+				side:       types.SideTypeSell,
+			},
+			want: fixedpoint.NewFromFloat(6100.0),
+		},
+	}
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			if got := CalculatePositionCost(tt.args.markPrice, tt.args.orderPrice, tt.args.quantity, tt.args.leverage, tt.args.side); got.String() != tt.want.String() {
+				t.Errorf("CalculatePositionCost() = %v, want %v", got, tt.want)
+			}
+		})
+	}
+}
+
+func TestCalculateMaxPosition(t *testing.T) {
+	type args struct {
+		price           fixedpoint.Value
+		availableMargin fixedpoint.Value
+		leverage        fixedpoint.Value
+	}
+	tests := []struct {
+		name string
+		args args
+		want fixedpoint.Value
+	}{
+		{
+			name: "3x",
+			args: args{
+				price:           fixedpoint.NewFromFloat(9000.0),
+				availableMargin: fixedpoint.NewFromFloat(300.0),
+				leverage:        fixedpoint.NewFromFloat(3.0),
+			},
+			want: fixedpoint.NewFromFloat(0.1),
+		},
+	}
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			if got := CalculateMaxPosition(tt.args.price, tt.args.availableMargin, tt.args.leverage); got.String() != tt.want.String() {
+				t.Errorf("CalculateMaxPosition() = %v, want %v", got, tt.want)
+			}
+		})
+	}
+}
+
+func TestCalculateMinRequiredLeverage(t *testing.T) {
+	type args struct {
+		price           fixedpoint.Value
+		quantity        fixedpoint.Value
+		availableMargin fixedpoint.Value
+	}
+	tests := []struct {
+		name string
+		args args
+		want fixedpoint.Value
+	}{
+		{
+			name: "30x",
+			args: args{
+				price:           fixedpoint.NewFromFloat(9000.0),
+				quantity:        fixedpoint.NewFromFloat(10.0),
+				availableMargin: fixedpoint.NewFromFloat(3000.0),
+			},
+			want: fixedpoint.NewFromFloat(30.0),
+		},
+	}
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			if got := CalculateMinRequiredLeverage(tt.args.price, tt.args.quantity, tt.args.availableMargin); got.String() != tt.want.String() {
+				t.Errorf("CalculateMinRequiredLeverage() = %v, want %v", got, tt.want)
+			}
+		})
+	}
+}