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