@

Phase 3: Trading-Kern (Risk, Execution, Portfolio) mit sicherem Broker-Default - Core/Trading/TradingModels: Signal, Order(Request/Result), RiskContext/Decision, Account, Position, Quote, ExecutionResult, Enums (Side/OrderType/Mode) - IBrokerClient + NullBrokerClient (sicherer Default, handelt NIE bis IBKR-Adapter verifiziert) - RiskService (+IRiskService): Sizing nach MaxTrade%, Modul-Limit, Slippage; Buy/Sell - PortfolioService (+IPortfolioService): core_position + core_trade_history + core_budget - ExecutionService (+IExecutionService): Signal -> Kurs -> Konto -> Risiko -> Order -> Buchung - TradingSettings in AppSettings (Paper/Live, TradingEnabled, Risikoparameter) - CoreMigrations: core_position; DI-Registrierung der Trading-Services - Tests: RiskService (11) + ExecutionService (6, NSubstitute) -> 38/38 gruen Offen (bewusst gekapselt): echter IbkrBrokerClient gegen Client-Portal-Gateway (manuell verifizieren). Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com> @
2026-07-27 11:33:59 +02:00
parent d0bc833235
commit 2ad4b55db1
15 changed files with 833 additions and 8 deletions
@@ -0,0 +1,74 @@
+namespace IBKRTrader.Core.Trading;
+
+/// <summary>
+/// Reine Risiko-/Sizing-Logik – keine externen Abhängigkeiten, vollständig unit-testbar.
+///
+/// Regeln:
+///  - Kauf: Nominalwert = min(Wunsch, Kontowert × MaxTradePercent); Stückzahl = floor(Nominal / Kurs).
+///          Ablehnung bei ungültigem Kurs, Stückzahl &lt; 1, Überschreitung des Modul-Limits
+///          oder zu hoher Slippage (bei Limit-Order).
+///  - Verkauf: schließt die vorhandene Position (Stückzahl = gehaltene Menge);
+///             Ablehnung, wenn keine Position vorhanden ist.
+/// </summary>
+public sealed class RiskService : IRiskService
+{
+    public RiskDecision Evaluate(TradeSignal signal, RiskContext context, RiskParameters risk)
+    {
+        if (context.Price <= 0)
+            return RiskDecision.Reject("Ungültiger Kurs (<= 0).");
+
+        if (SlippageTooHigh(signal, context, risk, out var slipReason))
+            return RiskDecision.Reject(slipReason);
+
+        return signal.Side == TradeSide.Sell
+            ? EvaluateSell(context)
+            : EvaluateBuy(context, signal, risk);
+    }
+
+    private static RiskDecision EvaluateSell(RiskContext context)
+    {
+        if (context.ExistingQuantity <= 0)
+            return RiskDecision.Reject("Keine Position zum Verkauf vorhanden.");
+
+        return RiskDecision.Approve(context.ExistingQuantity, "Verkauf schließt Position.");
+    }
+
+    private static RiskDecision EvaluateBuy(RiskContext context, TradeSignal signal, RiskParameters risk)
+    {
+        if (context.NetLiquidation <= 0)
+            return RiskDecision.Reject("Kontowert unbekannt oder 0.");
+
+        var maxNotional = context.NetLiquidation * (risk.MaxTradePercent / 100m);
+        var notional    = signal.SuggestedNotional is { } wish && wish > 0
+            ? Math.Min(wish, maxNotional)
+            : maxNotional;
+
+        var quantity = (int)Math.Floor(notional / context.Price);
+        if (quantity < 1)
+            return RiskDecision.Reject("Positionsgröße < 1 Stück bei aktuellem Kurs/Budget.");
+
+        var projectedExposure = context.ModuleExposure + quantity * context.Price;
+        var moduleLimit       = context.NetLiquidation * (risk.MaxPositionPercentPerModule / 100m);
+        if (projectedExposure > moduleLimit)
+            return RiskDecision.Reject(
+                $"Modul-Limit überschritten ({projectedExposure:F0} > {moduleLimit:F0}).");
+
+        return RiskDecision.Approve(quantity, $"{quantity} Stück freigegeben.");
+    }
+
+    private static bool SlippageTooHigh(
+        TradeSignal signal, RiskContext context, RiskParameters risk, out string reason)
+    {
+        reason = "";
+        if (signal.LimitPrice is not { } limit || limit <= 0)
+            return false;
+
+        var deviationPct = Math.Abs(context.Price - limit) / limit * 100m;
+        if (deviationPct > risk.MaxSlippagePercent)
+        {
+            reason = $"Slippage zu hoch ({deviationPct:F1}% > {risk.MaxSlippagePercent:F1}%).";
+            return true;
+        }
+        return false;
+    }
+}