first version

2026-06-07 21:01:40 +00:00
parent ee7167accf
commit f19bab1100
79 changed files with 10355 additions and 145 deletions
@@ -0,0 +1,127 @@
+package risk
+
+import (
+	"context"
+	"fmt"
+	"time"
+
+	"github.com/shopspring/decimal"
+
+	"overnight-trading-bot/internal/domain"
+)
+
+type EventSink interface {
+	InsertRiskEvent(ctx context.Context, event domain.RiskEvent) error
+	SaveSystemState(ctx context.Context, state domain.SystemState, mode domain.Mode, halted bool, reason string, contextJSON string) error
+}
+
+type Manager struct {
+	sink EventSink
+	cfg  ManagerConfig
+}
+
+type ManagerConfig struct {
+	MaxDailyLossPct           decimal.Decimal
+	MaxWeeklyLossPct          decimal.Decimal
+	MaxMonthlyDrawdownPct     decimal.Decimal
+	MaxAvgSlippageBps10Trades decimal.Decimal
+	MaxOpenPositions          int
+	MinTimeToClose            time.Duration
+	MaxQuoteAge               time.Duration
+}
+
+type PreTradeInput struct {
+	Portfolio            domain.Portfolio
+	OpenPositions        int
+	DailyPnL             decimal.Decimal
+	WeeklyPnL            decimal.Decimal
+	MonthlyDrawdownPct   decimal.Decimal
+	AvgSlippageBps10     decimal.Decimal
+	TradingStatus        domain.TradingStatus
+	QuoteReceivedAt      time.Time
+	Now                  time.Time
+	MarketClose          time.Time
+	DatabaseUnavailable  bool
+	UnknownBrokerOrder   bool
+	UnknownBrokerHolding bool
+}
+
+type PreTradeResult struct {
+	Allowed bool
+	Reason  string
+}
+
+func NewManager(sink EventSink, cfg ManagerConfig) Manager {
+	return Manager{sink: sink, cfg: cfg}
+}
+
+func (m Manager) Halt(ctx context.Context, mode domain.Mode, eventType, reason string, instrumentUID string) error {
+	if m.sink == nil {
+		return nil
+	}
+	event := domain.RiskEvent{
+		TS:            time.Now().UTC(),
+		Severity:      domain.SeverityCritical,
+		EventType:     eventType,
+		InstrumentUID: instrumentUID,
+		Message:       reason,
+	}
+	if err := m.sink.InsertRiskEvent(ctx, event); err != nil {
+		return fmt.Errorf("insert halt risk event: %w", err)
+	}
+	if err := m.sink.SaveSystemState(ctx, domain.StateHalted, mode, true, reason, "{}"); err != nil {
+		return fmt.Errorf("persist halt state: %w", err)
+	}
+	return nil
+}
+
+func (m Manager) PreTradeCheck(input PreTradeInput) PreTradeResult {
+	now := input.Now
+	if now.IsZero() {
+		now = time.Now().UTC()
+	}
+	switch {
+	case input.DatabaseUnavailable:
+		return reject("database_unavailable")
+	case input.UnknownBrokerOrder:
+		return reject("unknown_broker_order")
+	case input.UnknownBrokerHolding:
+		return reject("unknown_broker_position")
+	case input.TradingStatus == domain.TradingStatusUnknown:
+		return reject("trading_status_unknown_before_order")
+	case input.TradingStatus != domain.TradingStatusNormal:
+		return reject("trading_status_not_normal")
+	case m.cfg.MaxOpenPositions > 0 && input.OpenPositions >= m.cfg.MaxOpenPositions:
+		return reject("max_open_positions")
+	case DailyLossBreached(input.DailyPnL, input.Portfolio.Equity, m.cfg.MaxDailyLossPct):
+		return reject("max_daily_loss")
+	case DailyLossBreached(input.WeeklyPnL, input.Portfolio.Equity, m.cfg.MaxWeeklyLossPct):
+		return reject("max_weekly_loss")
+	case m.cfg.MaxMonthlyDrawdownPct.IsPositive() && input.MonthlyDrawdownPct.GreaterThanOrEqual(m.cfg.MaxMonthlyDrawdownPct):
+		return reject("max_monthly_drawdown")
+	case m.cfg.MaxAvgSlippageBps10Trades.IsPositive() && input.AvgSlippageBps10.GreaterThan(m.cfg.MaxAvgSlippageBps10Trades):
+		return reject("max_avg_slippage_bps_10_trades")
+	case m.cfg.MaxQuoteAge > 0 && !input.QuoteReceivedAt.IsZero() && now.Sub(input.QuoteReceivedAt) > m.cfg.MaxQuoteAge:
+		return reject("quote_age_too_high")
+	case m.cfg.MinTimeToClose > 0 && !input.MarketClose.IsZero() && input.MarketClose.Sub(now) < m.cfg.MinTimeToClose:
+		return reject("min_time_to_close_sec")
+	default:
+		return PreTradeResult{Allowed: true}
+	}
+}
+
+func DailyLossBreached(pnl, equity, maxLossPct decimal.Decimal) bool {
+	if !equity.IsPositive() || !maxLossPct.IsPositive() {
+		return false
+	}
+	limit := equity.Mul(maxLossPct).Neg()
+	return pnl.LessThanOrEqual(limit)
+}
+
+func CommissionBreached(actualCommission decimal.Decimal, requireZero bool) bool {
+	return requireZero && actualCommission.IsPositive()
+}
+
+func reject(reason string) PreTradeResult {
+	return PreTradeResult{Allowed: false, Reason: reason}
+}