97 lines
2.7 KiB
Go
97 lines
2.7 KiB
Go
|
package report
|
||
|
|
|
||
|
|
import (
|
||
|
|
"git.qtrade.icu/lychiyu/bbgo/pkg/bbgo"
|
||
|
|
"git.qtrade.icu/lychiyu/bbgo/pkg/core"
|
||
|
|
"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
|
||
|
|
"git.qtrade.icu/lychiyu/bbgo/pkg/types"
|
||
|
|
)
|
||
|
|
|
||
|
|
type ProfitStatsTracker struct {
|
||
|
|
types.IntervalWindow
|
||
|
|
|
||
|
|
// Accumulated profit report
|
||
|
|
AccumulatedProfitReport *AccumulatedProfitReport `json:"accumulatedProfitReport"`
|
||
|
|
|
||
|
|
Market types.Market
|
||
|
|
|
||
|
|
ProfitStatsSlice []*types.ProfitStats
|
||
|
|
CurrentProfitStats **types.ProfitStats
|
||
|
|
|
||
|
|
tradeStats *types.TradeStats
|
||
|
|
}
|
||
|
|
|
||
|
|
func (p *ProfitStatsTracker) Subscribe(session *bbgo.ExchangeSession, symbol string) {
|
||
|
|
session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: p.Interval})
|
||
|
|
}
|
||
|
|
|
||
|
|
// InitLegacy is for backward capability. ps is the ProfitStats of the strategy, Market is the strategy Market
|
||
|
|
func (p *ProfitStatsTracker) InitLegacy(market types.Market, ps **types.ProfitStats, ts *types.TradeStats) {
|
||
|
|
p.Market = market
|
||
|
|
|
||
|
|
if *ps == nil {
|
||
|
|
*ps = types.NewProfitStats(p.Market)
|
||
|
|
}
|
||
|
|
|
||
|
|
p.tradeStats = ts
|
||
|
|
|
||
|
|
p.CurrentProfitStats = ps
|
||
|
|
p.ProfitStatsSlice = append(p.ProfitStatsSlice, *ps)
|
||
|
|
|
||
|
|
if p.AccumulatedProfitReport != nil {
|
||
|
|
p.AccumulatedProfitReport.Initialize(p.Market.Symbol, p.Interval, p.Window)
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
// Init initialize the tracker with the given Market
|
||
|
|
func (p *ProfitStatsTracker) Init(market types.Market, ts *types.TradeStats) {
|
||
|
|
ps := types.NewProfitStats(p.Market)
|
||
|
|
p.InitLegacy(market, &ps, ts)
|
||
|
|
}
|
||
|
|
|
||
|
|
func (p *ProfitStatsTracker) Bind(session *bbgo.ExchangeSession, tradeCollector *core.TradeCollector) {
|
||
|
|
tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
|
||
|
|
if profit == nil {
|
||
|
|
return
|
||
|
|
}
|
||
|
|
|
||
|
|
p.AddProfit(*profit)
|
||
|
|
})
|
||
|
|
|
||
|
|
tradeCollector.OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
|
||
|
|
p.AddTrade(trade)
|
||
|
|
})
|
||
|
|
|
||
|
|
// Rotate profitStats slice
|
||
|
|
session.MarketDataStream.OnKLineClosed(types.KLineWith(p.Market.Symbol, p.Interval, func(kline types.KLine) {
|
||
|
|
p.Rotate()
|
||
|
|
}))
|
||
|
|
}
|
||
|
|
|
||
|
|
// Rotate the tracker to make a new ProfitStats to record the profits
|
||
|
|
func (p *ProfitStatsTracker) Rotate() {
|
||
|
|
// Update report
|
||
|
|
if p.AccumulatedProfitReport != nil {
|
||
|
|
p.AccumulatedProfitReport.Rotate(*p.CurrentProfitStats, p.tradeStats)
|
||
|
|
}
|
||
|
|
|
||
|
|
*p.CurrentProfitStats = types.NewProfitStats(p.Market)
|
||
|
|
p.ProfitStatsSlice = append(p.ProfitStatsSlice, *p.CurrentProfitStats)
|
||
|
|
// Truncate
|
||
|
|
if len(p.ProfitStatsSlice) > p.Window {
|
||
|
|
p.ProfitStatsSlice = p.ProfitStatsSlice[len(p.ProfitStatsSlice)-p.Window:]
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
func (p *ProfitStatsTracker) AddProfit(profit types.Profit) {
|
||
|
|
(*p.CurrentProfitStats).AddProfit(profit)
|
||
|
|
}
|
||
|
|
|
||
|
|
func (p *ProfitStatsTracker) AddTrade(trade types.Trade) {
|
||
|
|
(*p.CurrentProfitStats).AddTrade(trade)
|
||
|
|
|
||
|
|
if p.AccumulatedProfitReport != nil {
|
||
|
|
p.AccumulatedProfitReport.AddTrade(trade)
|
||
|
|
}
|
||
|
|
}
|