running_stop.ex

defmodule ActivationPolicy.RunningStop do
  alias __MODULE__
  alias ActivationPolicy.Util

  @moduledoc """

  Running stop policy

  Parameters:

    - activation_price: the price that must be breached before the policy can become active
      Once breached, the policy starts monitoring the high (or low, depending on the breach direction)
    - retrace_pct: retrace % from the high/low where the activation policy becomes active
    - stop_pct: retrace % from the high/low where the activation policy becomes inactive again

  """

  def init(%{activation_price: _, retrace_pct: _, stop_pct: _} = params, %{
        avg_price: last_price
      }) do
    {:ok,
     %{
       last_price: last_price,
       high_or_low: nil,
       status: nil
     }}
  end

  @doc """

  iex> params = %{activation_price: 2, retrace_pct: 0.1, stop_pct: 0.2}
  iex> {:ok, state} = init(params, %{avg_price: 1})

  iex> update(params, state, %{avg_price: 0.9})
  {:ok, %{last_price: 0.9,  high_or_low: nil, status: nil}}

  iex> update(params, state, %{avg_price: 1.1}).status
  {:ok, %{last_price: 1.1,  high_or_low: nil, status: nil}}

  iex> update(params, state, %{avg_price: 2.0}).status
  {:ok, %{last_price: 2.0,  high_or_low: 2.0, status: :tracing}}

  iex> update(params, state, %{avg_price: 2.5}).status
  {:ok, %{last_price: 2.5,  high_or_low: 2.5, status: :tracing}}


  iex> state = update(params, state, %{avg_price: 10})
  {:ok, %{last_price: 10,  high_or_low: 10, status: :tracing}}

  iex> update(params, state, %{avg_price: 11}).status
  {:ok, %{last_price: 11,  high_or_low: 11, status: :tracing}}

  iex> update(params, state, %{avg_price: 9.5}).status
  {:ok, %{last_price: 9.5,  high_or_low: 10, status: :tracing}}

  iex> update(params, state, %{avg_price: 9}).status
  {:ok, %{last_price: 9,  high_or_low: 10, status: :active}}

  iex> update(params, state, %{avg_price: 8.5}).status
  {:ok, %{last_price: 8.5,  high_or_low: 10, status: :active}}

  iex> update(params, state, %{avg_price: 8}).status
  {:ok, %{last_price: 8,  high_or_low: 10, status: :tracing}}

  iex> update(params, state, %{avg_price: 7}).status
  {:ok, %{last_price: 7,  high_or_low: 10, status: :tracing}}

  """
  def update(params, state, global_market_state) do
    current_price = global_market_state.avg_price

    case state.status do
      nil ->
        if not is_nil(state.last_price) and
             Util.breached?(state.last_price, current_price, params.activation_price) do
          # activation proce is crossed -> start monitoring high or low
          {:ok,
           %{state | last_price: current_price, high_or_low: current_price, status: :tracing}}
        else
          {:ok, %{state | last_price: current_price}}
        end

      true ->
        # check if we breached the extremum
        if Util.breached?(params.activation_price, current_price, state.high_or_low) do
          {:ok,
           %{state | last_price: current_price, high_or_low: current_price, status: :tracing}}
        else
          # retracing => check retrace percentage
          retrace_pct = abs(state.high_or_low - current_price) / state.high_or_low

          if params.retrace_pct <= retrace_pct and params.stop_pct >= retrace_pct do
            {:ok, %{state | last_price: current_price, status: :active}}
          else
            {:ok, %{state | last_price: current_price, status: :tracing}}
          end
        end
    end
  end

  def active?(state) do
    state.status == :active
  end

  def probability(params, state, market_state, timespan) do
    # TODO
  end
end