risk_manager.hpp

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#pragma once
 
#include <string>
#include <cstdint>
#include "app/model/order.hpp"
#include "app/model/account.hpp"
#include "app/model/position.hpp"
#include "app/model/instrument.hpp"
#include "app/model/market_data_snapshot.hpp"
 
namespace fix40 {
 
// ============================================================================
// 拒绝原因代码
// ============================================================================
 
enum class RejectReason {
    NONE = 0,                   
    INSTRUMENT_NOT_FOUND = 1,   
    INSUFFICIENT_FUNDS = 2,     
    PRICE_OUT_OF_LIMIT = 3,     
    INSUFFICIENT_POSITION = 4,  
    NO_COUNTER_PARTY = 5,       
    ORDER_NOT_FOUND = 6         
};
 
// ============================================================================
// 检查结果结构
// ============================================================================
 
struct CheckResult {
    bool passed;                
    RejectReason rejectReason;  
    std::string rejectText;     
 
    CheckResult()
        : passed(true)
        , rejectReason(RejectReason::NONE)
    {}
 
    CheckResult(RejectReason reason, const std::string& text)
        : passed(false)
        , rejectReason(reason)
        , rejectText(text)
    {}
 
    static CheckResult success() {
        return CheckResult();
    }
 
    static CheckResult failure(RejectReason reason, const std::string& text) {
        return CheckResult(reason, text);
    }
};
 
// ============================================================================
// 开平标志
// ============================================================================
 
enum class OffsetFlag {
    OPEN = 0,   
    CLOSE = 1   
};
 
// ============================================================================
// 风控管理器
// ============================================================================
 
class RiskManager {
public:
    // -------------------------------------------------------------------------
    // 构造函数
    // -------------------------------------------------------------------------
 
    RiskManager() = default;
 
    // -------------------------------------------------------------------------
    // 主检查方法
    // -------------------------------------------------------------------------
 
    CheckResult checkOrder(
        const Order& order,
        const Account& account,
        const Position& position,
        const Instrument& instrument,
        const MarketDataSnapshot& snapshot,
        OffsetFlag offsetFlag
    ) const;
 
    // -------------------------------------------------------------------------
    // 子检查方法（公开以便单独测试）
    // -------------------------------------------------------------------------
 
    CheckResult checkMargin(
        const Order& order,
        const Account& account,
        const Instrument& instrument
    ) const;
 
    CheckResult checkPrice(
        const Order& order,
        const Instrument& instrument
    ) const;
 
    CheckResult checkPosition(
        const Order& order,
        const Position& position
    ) const;
 
    CheckResult checkCounterParty(
        const Order& order,
        const MarketDataSnapshot& snapshot
    ) const;
 
    // -------------------------------------------------------------------------
    // 辅助方法
    // -------------------------------------------------------------------------
 
    double calculateRequiredMargin(
        const Order& order,
        const Instrument& instrument
    ) const;
};
 
} // namespace fix40