140 lines
3.7 KiB
Go
140 lines
3.7 KiB
Go
package tri
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import (
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"fmt"
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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 MultiCurrencyPosition struct {
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Currencies map[string]fixedpoint.Value `json:"currencies"`
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Markets map[string]types.Market `json:"markets"`
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TotalProfits map[string]fixedpoint.Value `json:"totalProfits"`
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Fees map[string]fixedpoint.Value `json:"fees"`
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TradePrices map[string]fixedpoint.Value `json:"prices"`
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}
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func NewMultiCurrencyPosition(markets map[string]types.Market) *MultiCurrencyPosition {
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p := &MultiCurrencyPosition{
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Currencies: make(map[string]fixedpoint.Value),
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Markets: make(map[string]types.Market),
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TotalProfits: make(map[string]fixedpoint.Value),
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TradePrices: make(map[string]fixedpoint.Value),
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Fees: make(map[string]fixedpoint.Value),
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}
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for _, market := range markets {
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p.Markets[market.Symbol] = market
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p.Currencies[market.BaseCurrency] = fixedpoint.Zero
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p.Currencies[market.QuoteCurrency] = fixedpoint.Zero
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p.TotalProfits[market.QuoteCurrency] = fixedpoint.Zero
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p.TotalProfits[market.BaseCurrency] = fixedpoint.Zero
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p.Fees[market.QuoteCurrency] = fixedpoint.Zero
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p.Fees[market.BaseCurrency] = fixedpoint.Zero
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p.TradePrices[market.QuoteCurrency] = fixedpoint.Zero
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p.TradePrices[market.BaseCurrency] = fixedpoint.Zero
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}
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return p
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}
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func (p *MultiCurrencyPosition) handleTrade(trade types.Trade) {
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market := p.Markets[trade.Symbol]
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switch trade.Side {
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case types.SideTypeBuy:
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p.Currencies[market.BaseCurrency] = p.Currencies[market.BaseCurrency].Add(trade.Quantity)
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p.Currencies[market.QuoteCurrency] = p.Currencies[market.QuoteCurrency].Sub(trade.QuoteQuantity)
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case types.SideTypeSell:
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p.Currencies[market.BaseCurrency] = p.Currencies[market.BaseCurrency].Sub(trade.Quantity)
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p.Currencies[market.QuoteCurrency] = p.Currencies[market.QuoteCurrency].Add(trade.QuoteQuantity)
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}
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if types.IsUSDFiatCurrency(market.QuoteCurrency) {
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p.TradePrices[market.BaseCurrency] = trade.Price
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} else if types.IsUSDFiatCurrency(market.BaseCurrency) { // For USDT/TWD pair, convert USDT/TWD price to TWD/USDT
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p.TradePrices[market.QuoteCurrency] = one.Div(trade.Price)
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}
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if !trade.Fee.IsZero() {
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if f, ok := p.Fees[trade.FeeCurrency]; ok {
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p.Fees[trade.FeeCurrency] = f.Add(trade.Fee)
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} else {
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p.Fees[trade.FeeCurrency] = trade.Fee
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}
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}
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}
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func (p *MultiCurrencyPosition) CollectProfits() []Profit {
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var profits []Profit
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for currency, base := range p.Currencies {
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if base.IsZero() {
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continue
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}
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profit := Profit{
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Asset: currency,
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Profit: base,
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ProfitInUSD: fixedpoint.Zero,
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}
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if price, ok := p.TradePrices[currency]; ok && !price.IsZero() {
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profit.ProfitInUSD = base.Mul(price)
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} else if types.IsUSDFiatCurrency(currency) {
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profit.ProfitInUSD = base
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}
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profits = append(profits, profit)
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if total, ok := p.TotalProfits[currency]; ok {
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p.TotalProfits[currency] = total.Add(base)
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} else {
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p.TotalProfits[currency] = base
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}
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}
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p.Reset()
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return profits
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}
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func (p *MultiCurrencyPosition) Reset() {
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for currency := range p.Currencies {
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p.Currencies[currency] = fixedpoint.Zero
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}
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}
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func (p *MultiCurrencyPosition) String() (o string) {
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o += "position: \n"
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for currency, base := range p.Currencies {
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if base.IsZero() {
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continue
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}
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o += fmt.Sprintf("- %s: %f\n", currency, base.Float64())
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}
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o += "totalProfits: \n"
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for currency, total := range p.TotalProfits {
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if total.IsZero() {
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continue
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}
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o += fmt.Sprintf("- %s: %f\n", currency, total.Float64())
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}
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o += "fees: \n"
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for currency, fee := range p.Fees {
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if fee.IsZero() {
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continue
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}
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o += fmt.Sprintf("- %s: %f\n", currency, fee.Float64())
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}
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return o
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}
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