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