third version

internal/risk/sizing.go

@@ -29,6 +29,8 @@ type SizingConfig struct {
 type SizingInput struct {
 	Portfolio           domain.Portfolio
 	SelectedInstruments int
+	ExistingExposure    decimal.Decimal
+	ReservedCash        decimal.Decimal
 	LimitPrice          decimal.Decimal
 	Lot                 int64
 	EntryIntervalVolume decimal.Decimal
@@ -66,11 +68,19 @@ func (s Sizer) Size(input SizingInput) SizingResult {
 		input.SelectedInstruments = 1
 	}
 	capLimit := input.Portfolio.Equity.Mul(s.cfg.MaxPositionPct)
-	exposureLimit := input.Portfolio.Equity.Mul(s.cfg.MaxTotalExposurePct).
-		Div(decimal.NewFromInt(int64(input.SelectedInstruments)))
+	totalExposureLimit := input.Portfolio.Equity.Mul(s.cfg.MaxTotalExposurePct)
+	remainingExposure := totalExposureLimit.Sub(input.ExistingExposure)
+	if remainingExposure.IsNegative() {
+		remainingExposure = decimal.Zero
+	}
+	exposureLimit := remainingExposure.Div(decimal.NewFromInt(int64(input.SelectedInstruments)))
 	liquidityLimit := money.Min(input.EntryIntervalVolume, input.ExitIntervalVolume).
 		Mul(s.cfg.MaxParticipationRate)
-	cashLimit := input.Portfolio.Cash.Mul(s.cfg.CashUsageBuffer)
+	availableCash := input.Portfolio.Cash.Sub(input.ReservedCash)
+	if availableCash.IsNegative() {
+		availableCash = decimal.Zero
+	}
+	cashLimit := availableCash.Mul(s.cfg.CashUsageBuffer)
 	riskLimit := capLimit
 	if input.Q05OvernightAbs.IsPositive() {
 		riskBudget := input.Portfolio.Equity.Mul(s.cfg.RiskBudgetPerInstrumentPct)

internal/risk/sizing_test.go

@@ -170,3 +170,28 @@ func TestSizerAppliesSizeReductionFactor(t *testing.T) {
 		t.Fatalf("unexpected reduced sizing: %+v", got)
 	}
 }
+
+func TestSizerSubtractsExistingExposureAndReservedCash(t *testing.T) {
+	sizer := NewSizer(SizingConfig{
+		MaxPositionPct:             rd("1"),
+		MaxTotalExposurePct:        rd("0.50"),
+		MaxParticipationRate:       rd("1"),
+		CashUsageBuffer:            rd("1"),
+		RiskBudgetPerInstrumentPct: rd("1"),
+		MinOrderNotionalRUB:        rd("1"),
+	})
+	got := sizer.Size(SizingInput{
+		Portfolio:           domain.Portfolio{Equity: rd("100000"), Cash: rd("50000")},
+		SelectedInstruments: 2,
+		ExistingExposure:    rd("30000"),
+		ReservedCash:        rd("10000"),
+		LimitPrice:          rd("100"),
+		Lot:                 1,
+		EntryIntervalVolume: rd("1000000"),
+		ExitIntervalVolume:  rd("1000000"),
+		Q05OvernightAbs:     rd("1"),
+	})
+	if got.Lots != 100 || !got.TargetNotional.Equal(rd("10000")) {
+		t.Fatalf("unexpected sizing with reserved exposure: %+v", got)
+	}
+}