130 lines
3.0 KiB
Go
130 lines
3.0 KiB
Go
package pnl
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import (
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"time"
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log "github.com/sirupsen/logrus"
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"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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type AverageCostCalculator struct {
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TradingFeeCurrency string
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Market types.Market
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ExchangeFee *types.ExchangeFee
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}
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func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, currentPrice fixedpoint.Value) *AverageCostPnLReport {
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// copy trades, so that we can truncate it.
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var bidVolume = fixedpoint.Zero
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var askVolume = fixedpoint.Zero
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var feeUSD = fixedpoint.Zero
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var grossProfit = fixedpoint.Zero
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var grossLoss = fixedpoint.Zero
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var position = types.NewPositionFromMarket(c.Market)
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if c.ExchangeFee != nil {
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position.SetFeeRate(*c.ExchangeFee)
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} else {
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makerFeeRate := 0.075 * 0.01
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if c.Market.QuoteCurrency == "BUSD" {
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makerFeeRate = 0
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}
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position.SetFeeRate(types.ExchangeFee{
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// binance vip 0 uses 0.075%
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MakerFeeRate: fixedpoint.NewFromFloat(makerFeeRate),
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TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
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})
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}
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if len(trades) == 0 {
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return &AverageCostPnLReport{
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Symbol: symbol,
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Market: c.Market,
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LastPrice: currentPrice,
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NumTrades: 0,
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Position: position,
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BuyVolume: bidVolume,
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SellVolume: askVolume,
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FeeInUSD: feeUSD,
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}
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}
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var currencyFees = map[string]fixedpoint.Value{}
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// TODO: configure the exchange fee rate here later
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// position.SetExchangeFeeRate()
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var totalProfit fixedpoint.Value
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var totalNetProfit fixedpoint.Value
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var tradeIDs = map[uint64]types.Trade{}
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for _, trade := range trades {
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if _, exists := tradeIDs[trade.ID]; exists {
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log.Warnf("duplicated trade: %+v", trade)
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continue
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}
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if trade.Symbol != symbol {
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continue
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}
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profit, netProfit, madeProfit := position.AddTrade(trade)
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if madeProfit {
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totalProfit = totalProfit.Add(profit)
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totalNetProfit = totalNetProfit.Add(netProfit)
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}
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if profit.Sign() > 0 {
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grossProfit = grossProfit.Add(profit)
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} else if profit.Sign() < 0 {
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grossLoss = grossLoss.Add(profit)
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}
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if trade.IsBuyer {
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bidVolume = bidVolume.Add(trade.Quantity)
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} else {
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askVolume = askVolume.Add(trade.Quantity)
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}
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if _, ok := currencyFees[trade.FeeCurrency]; !ok {
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currencyFees[trade.FeeCurrency] = trade.Fee
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} else {
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currencyFees[trade.FeeCurrency] = currencyFees[trade.FeeCurrency].Add(trade.Fee)
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}
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tradeIDs[trade.ID] = trade
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}
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unrealizedProfit := currentPrice.Sub(position.AverageCost).
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Mul(position.GetBase())
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return &AverageCostPnLReport{
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Symbol: symbol,
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Market: c.Market,
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LastPrice: currentPrice,
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NumTrades: len(trades),
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StartTime: time.Time(trades[0].Time),
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Position: position,
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BuyVolume: bidVolume,
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SellVolume: askVolume,
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BaseAssetPosition: position.GetBase(),
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Profit: totalProfit,
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NetProfit: totalNetProfit,
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UnrealizedProfit: unrealizedProfit,
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GrossProfit: grossProfit,
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GrossLoss: grossLoss,
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AverageCost: position.AverageCost,
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FeeInUSD: totalProfit.Sub(totalNetProfit),
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CurrencyFees: currencyFees,
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}
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}
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