riskcontrol

Documentation

Index

• type CircuitBreakRiskControl
  • func NewCircuitBreakRiskControl(position *types.Position, price *indicator.EWMAStream, ...) *CircuitBreakRiskControl
  • func (c *CircuitBreakRiskControl) IsHalted() bool
• type PositionRiskControl
  • func NewPositionRiskControl(hardLimit, quantity fixedpoint.Value, tradeCollector *bbgo.TradeCollector) *PositionRiskControl
  • func (p *PositionRiskControl) EmitReleasePosition(quantity fixedpoint.Value, side types.SideType)
  • func (p *PositionRiskControl) ModifiedQuantity(position fixedpoint.Value) (buyQuantity, sellQuantity fixedpoint.Value)
  • func (p *PositionRiskControl) OnReleasePosition(cb func(quantity fixedpoint.Value, side types.SideType))

Types

type CircuitBreakRiskControl

type CircuitBreakRiskControl struct {
	// contains filtered or unexported fields
}

func NewCircuitBreakRiskControl

func NewCircuitBreakRiskControl(
	position *types.Position,
	price *indicator.EWMAStream,
	lossThreshold fixedpoint.Value,
	profitStats *types.ProfitStats) *CircuitBreakRiskControl

func (*CircuitBreakRiskControl) IsHalted

func (c *CircuitBreakRiskControl) IsHalted() bool

IsHalted returns whether we reached the circuit break condition set for this day?

type PositionRiskControl

type PositionRiskControl struct {
	// contains filtered or unexported fields
}

func NewPositionRiskControl

func NewPositionRiskControl(hardLimit, quantity fixedpoint.Value, tradeCollector *bbgo.TradeCollector) *PositionRiskControl

func (*PositionRiskControl) EmitReleasePosition

func (p *PositionRiskControl) EmitReleasePosition(quantity fixedpoint.Value, side types.SideType)

func (*PositionRiskControl) ModifiedQuantity

func (p *PositionRiskControl) ModifiedQuantity(position fixedpoint.Value) (buyQuantity, sellQuantity fixedpoint.Value)

ModifiedQuantity returns quantity controlled by position risks For buy orders, mod quantity = min(hardLimit - position, quantity), limiting by positive position For sell orders, mod quantity = min(hardLimit - (-position), quantity), limiting by negative position

func (*PositionRiskControl) OnReleasePosition

func (p *PositionRiskControl) OnReleasePosition(cb func(quantity fixedpoint.Value, side types.SideType))