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statevar.go
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statevar.go
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// Copyright (C) 2023 Gobalsky Labs Limited
//
// This program is free software: you can redistribute it and/or modify
// it under the terms of the GNU Affero General Public License as
// published by the Free Software Foundation, either version 3 of the
// License, or (at your option) any later version.
//
// This program is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
// GNU Affero General Public License for more details.
//
// You should have received a copy of the GNU Affero General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>.
package risk
import (
"context"
"code.vegaprotocol.io/vega/core/events"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/core/types/statevar"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/logging"
)
type FactorConverter struct{}
var riskFactorTolerance = num.MustDecimalFromString("1e-6")
func (FactorConverter) BundleToInterface(kvb *statevar.KeyValueBundle) statevar.StateVariableResult {
return &types.RiskFactor{
Short: kvb.KVT[0].Val.(*statevar.DecimalScalar).Val,
Long: kvb.KVT[1].Val.(*statevar.DecimalScalar).Val,
}
}
func (FactorConverter) InterfaceToBundle(res statevar.StateVariableResult) *statevar.KeyValueBundle {
value := res.(*types.RiskFactor)
return &statevar.KeyValueBundle{
KVT: []statevar.KeyValueTol{
{Key: "short", Val: &statevar.DecimalScalar{Val: value.Short}, Tolerance: riskFactorTolerance},
{Key: "long", Val: &statevar.DecimalScalar{Val: value.Long}, Tolerance: riskFactorTolerance},
},
}
}
// startRiskFactorsCalculation kicks off the risk factors calculation, done asynchronously for illustration.
func (e *Engine) startRiskFactorsCalculation(eventID string, endOfCalcCallback statevar.FinaliseCalculation) {
rf := e.model.CalculateRiskFactors()
e.log.Info("risk factors calculated", logging.String("event-id", eventID), logging.Decimal("short", rf.Short), logging.Decimal("long", rf.Long))
endOfCalcCallback.CalculationFinished(eventID, rf, nil)
}
// CalculateRiskFactorsForTest is a hack for testing for setting directly the risk factors for a market.
func (e *Engine) CalculateRiskFactorsForTest() {
e.factors = e.model.CalculateRiskFactors()
e.factors.Market = e.mktID
}
// updateRiskFactor sets the risk factor value to that of the decimal consensus value.
func (e *Engine) updateRiskFactor(ctx context.Context, res statevar.StateVariableResult) error {
e.factors = res.(*types.RiskFactor)
e.factors.Market = e.mktID
e.riskFactorsInitialised = true
e.log.Info("consensus reached for risk factors", logging.String("market", e.mktID), logging.Decimal("short", e.factors.Short), logging.Decimal("long", e.factors.Long))
// then we can send in the broker
e.broker.Send(events.NewRiskFactorEvent(ctx, *e.factors))
return nil
}
func (e *Engine) IsRiskFactorInitialised() bool {
return e.riskFactorsInitialised
}