61 lines
3.1 KiB
Go
61 lines
3.1 KiB
Go
package models
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import "github.com/shopspring/decimal"
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//Liquidation 强平计算公式字段
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type Liquidation struct {
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WalletBalance decimal.Decimal //账户余额,钱包余额= 1,535,443.01
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TMM1 decimal.Decimal //（TMM1）其它合约下的全部保证金（除合约1外）= 71200.81144,维持保证金=名义价值*维持保证金率-维持保证金速算額,名义价值=价格*数量,拿标记价格计算
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UPNL1 decimal.Decimal //全部其它合约的未实现盈亏（除合约1外）= -56,249.35
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CumB decimal.Decimal //单向模式下合约1的维持保证金速算額= 135,365.00
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CumL decimal.Decimal //开多合约1下的维持保证金速算額（双向持仓模式）= 0
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CumS decimal.Decimal //开空合约1下的维持保证金速算額（双向持仓模式）= 0
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Side1BOTH int //合约1的方向（单向持仓模式）；“1”代表开多持仓；“-1”代表开空持仓= 1
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Position1BOTH decimal.Decimal //合约1的持仓大小（单向持仓模式）；无论开多或开空，取绝对值= 3,683.979
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EP1BOTH decimal.Decimal //合约1的头寸价格（单向持仓模式）=1,456.84
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Position1LONG decimal.Decimal //开多仓位大小（双向持仓模式）；无论开多或开空，取绝对值= 0
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EP1LONG decimal.Decimal //开多持仓的头寸（双向持仓模式）；无论开多或开空，取绝对值= 0
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Position1SHORT decimal.Decimal //开空仓位大小（双向持仓模式）；无论开多或开空，取绝对值= 0
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EP1SHORT decimal.Decimal //开空持仓的头寸（双向持仓模式）；无论开多或开空，取绝对值= 0
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MMRB decimal.Decimal //单向持仓模式合约的维持保证金费率= 10%
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MMRL decimal.Decimal //开多合约的维持保证金费率（双向持仓模式）= 0
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MMRS decimal.Decimal //开空合约的维持保证金费率（双向持仓模式）= 0
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}
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//CalculateLiquidationPrice 计算强平公式
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func (lq Liquidation) CalculateLiquidationPrice() decimal.Decimal {
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//d1=WB-TMM1+UPNL1+CumB+CumL+CumS-Side1BOTH*Position1BOTH*EP1BOTH-Position1LONG*EP1LONG+Position1SHORT*EP1SHORT
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t1 := lq.WalletBalance
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if lq.TMM1.Cmp(decimal.Zero) != 0 {
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t1 = t1.Sub(lq.TMM1)
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}
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if lq.UPNL1.Cmp(decimal.Zero) != 0 {
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t1 = t1.Add(lq.UPNL1)
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}
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if lq.CumB.Cmp(decimal.Zero) != 0 {
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t1 = t1.Add(lq.CumB)
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}
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if lq.CumL.Cmp(decimal.Zero) != 0 {
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t1 = t1.Add(lq.CumL)
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}
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if lq.CumS.Cmp(decimal.Zero) != 0 {
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t1 = t1.Add(lq.CumS)
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}
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position1BOTH := lq.Position1BOTH
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side1BOTH := decimal.NewFromInt32(int32(lq.Side1BOTH))
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position1LONG := lq.Position1LONG
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position1SHORT := lq.Position1SHORT
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d1 := t1.Sub(side1BOTH.Mul(position1BOTH).Mul(lq.EP1BOTH)).
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Sub(position1LONG.Mul(lq.EP1LONG)).Add(position1SHORT.Mul(lq.EP1SHORT))
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//d2=Position1BOTH*MMRB+Position1LONG*MMRL+Position1SHORT*MMRS-Side1BOTH*Position1BOTH-Position1LONG+Position1SHORT
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t2 := position1BOTH.Mul(lq.MMRB).Add(position1LONG.Mul(lq.MMRL)).Add(position1SHORT.Mul(lq.MMRS))
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t2 = t2.Sub(side1BOTH.Mul(position1BOTH))
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d2 := t2.Sub(position1LONG).Add(position1SHORT)
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//LP1= d1/d2
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return d1.Div(d2)
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}
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