feat: risikobasiertes Position-Sizing mit Caps

src/server/engine/sizing.test.ts

@@ -0,0 +1,27 @@
+import { expect, test } from 'bun:test';
+import { sizePosition, DEFAULT_RISK } from './sizing';
+
+test('1% Equity-Risiko bestimmt die Größe', () => {
+  // Equity 1000, Risiko 10 USDT; Entry 100, Stop 94 → 6 USDT Risiko/Einheit → qty 10/6
+  const r = sizePosition(1000, 1000, 100, 94, DEFAULT_RISK);
+  expect(r.qty).toBeCloseTo(10 / 6);
+  expect(r.notional).toBeCloseTo((10 / 6) * 100);
+  expect(r.blockedBy).toBeNull();
+});
+
+test('Cap bei 30% der Equity', () => {
+  // enger Stop: Entry 100, Stop 99.5 → ungecappt 2000 USDT Notional → Cap 300
+  const r = sizePosition(1000, 1000, 100, 99.5, DEFAULT_RISK);
+  expect(r.notional).toBeCloseTo(300);
+});
+
+test('Cap durch verfügbares Cash', () => {
+  const r = sizePosition(1000, 100, 100, 99.5, DEFAULT_RISK);
+  expect(r.notional).toBeLessThanOrEqual(100);
+});
+
+test('blockiert unter Mindestordergröße', () => {
+  const r = sizePosition(1000, 5, 100, 94, DEFAULT_RISK);
+  expect(r.qty).toBe(0);
+  expect(r.blockedBy).toBe('min_notional');
+});

src/server/engine/sizing.ts

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+export interface RiskConfig {
+  riskPerTradePct: number;  // 0.01 = 1% der Equity
+  maxPositionPct: number;   // 0.30
+  minNotionalUsdt: number;  // 10
+}
+
+export const DEFAULT_RISK: RiskConfig = { riskPerTradePct: 0.01, maxPositionPct: 0.3, minNotionalUsdt: 10 };
+
+export interface SizingResult {
+  qty: number;
+  notional: number;
+  riskAmount: number;
+  blockedBy: 'min_notional' | null;
+}
+
+export function sizePosition(
+  equity: number,
+  cash: number,
+  entryPrice: number,
+  stopPrice: number,
+  cfg: RiskConfig,
+): SizingResult {
+  const riskAmount = equity * cfg.riskPerTradePct;
+  const stopDist = entryPrice - stopPrice;
+  let notional = (riskAmount / stopDist) * entryPrice;
+  // 0.997: Puffer für Fee (0.1%) + Slippage (0.05%) auf der Entry-Seite
+  notional = Math.min(notional, equity * cfg.maxPositionPct, cash * 0.997);
+  if (!(notional >= cfg.minNotionalUsdt)) return { qty: 0, notional: 0, riskAmount, blockedBy: 'min_notional' };
+  return { qty: notional / entryPrice, notional, riskAmount, blockedBy: null };
+}