first version

internal/position/manager.go

@@ -0,0 +1,93 @@
+package position
+
+import (
+	"context"
+	"time"
+
+	"github.com/shopspring/decimal"
+
+	"overnight-trading-bot/internal/domain"
+	"overnight-trading-bot/internal/money"
+	"overnight-trading-bot/internal/repository"
+)
+
+type Manager struct {
+	repo repository.Repository
+}
+
+func NewManager(repo repository.Repository) Manager {
+	return Manager{repo: repo}
+}
+
+func (m Manager) OnEntryFill(ctx context.Context, accountIDHash string, instrument domain.Instrument, order domain.Order) (domain.Position, error) {
+	now := time.Now().UTC()
+	lot := instrument.Lot
+	if lot <= 0 {
+		lot = 1
+	}
+	pos := domain.Position{
+		AccountIDHash:   accountIDHash,
+		InstrumentUID:   order.InstrumentUID,
+		OpenTradeDate:   order.TradeDate,
+		Lots:            order.FilledLots,
+		Lot:             lot,
+		AvgBuyPrice:     order.AvgFillPrice,
+		CommissionTotal: order.Commission,
+		Status:          domain.PositionHoldingOvernight,
+		OpenedAt:        &now,
+		UpdatedAt:       now,
+	}
+	if pos.Lots < order.QuantityLots {
+		pos.Status = domain.PositionEntryPartiallyFilled
+	}
+	if err := m.repo.UpsertPosition(ctx, pos); err != nil {
+		return domain.Position{}, err
+	}
+	return pos, nil
+}
+
+func (m Manager) OnExitFill(ctx context.Context, pos domain.Position, exitOrder domain.Order) (domain.Position, error) {
+	now := time.Now().UTC()
+	lot := pos.Lot
+	if lot <= 0 {
+		lot = 1
+	}
+	executedLots := min(exitOrder.FilledLots, pos.Lots)
+	if executedLots < 0 {
+		executedLots = 0
+	}
+	previousExitLots := pos.ExitFilledLots
+	pos.ExitFilledLots += executedLots
+	if executedLots > 0 {
+		previousValue := pos.AvgSellPrice.Mul(decimal.NewFromInt(previousExitLots))
+		newValue := exitOrder.AvgFillPrice.Mul(decimal.NewFromInt(executedLots))
+		pos.AvgSellPrice = previousValue.Add(newValue).Div(decimal.NewFromInt(pos.ExitFilledLots))
+	}
+	pos.CommissionTotal = pos.CommissionTotal.Add(exitOrder.Commission)
+	executedUnits := decimal.NewFromInt(executedLots).Mul(decimal.NewFromInt(lot))
+	pos.GrossPnL = pos.GrossPnL.Add(exitOrder.AvgFillPrice.Sub(pos.AvgBuyPrice).Mul(executedUnits))
+	pos.NetPnL = pos.GrossPnL.Sub(pos.CommissionTotal)
+	if pos.AvgBuyPrice.IsPositive() {
+		baseLots := pos.ExitFilledLots
+		if baseLots <= 0 {
+			baseLots = pos.Lots
+		}
+		base := pos.AvgBuyPrice.Mul(decimal.NewFromInt(baseLots)).Mul(decimal.NewFromInt(lot))
+		edge, _ := money.Bps(pos.NetPnL, base)
+		pos.RealizedEdgeBps = edge
+	}
+	pos.Status = domain.PositionExitFilled
+	if executedLots < pos.Lots {
+		pos.Lots -= executedLots
+		pos.Status = domain.PositionExitPartiallyFilled
+		pos.ClosedAt = nil
+	} else {
+		pos.Lots = 0
+		pos.ClosedAt = &now
+	}
+	pos.UpdatedAt = now
+	if err := m.repo.UpsertPosition(ctx, pos); err != nil {
+		return domain.Position{}, err
+	}
+	return pos, nil
+}