bbgo_origin/pkg/report/profit_report.go

package report

import (
	"fmt"
	"github.com/c9s/bbgo/pkg/bbgo"
	"github.com/c9s/bbgo/pkg/data/tsv"
	"github.com/c9s/bbgo/pkg/datatype/floats"
	"github.com/c9s/bbgo/pkg/fixedpoint"
	"github.com/c9s/bbgo/pkg/indicator"
	"github.com/c9s/bbgo/pkg/types"
)

// AccumulatedProfitReport For accumulated profit report output
type AccumulatedProfitReport struct {
	// AccumulatedProfitMAWindow Accumulated profit SMA window, in number of trades
	AccumulatedProfitMAWindow int `json:"accumulatedProfitMAWindow"`

	// IntervalWindow interval window, in days
	IntervalWindow int `json:"intervalWindow"`

	// NumberOfInterval How many intervals to output to TSV
	NumberOfInterval int `json:"NumberOfInterval"`

	// TsvReportPath The path to output report to
	TsvReportPath string `json:"tsvReportPath"`

	// AccumulatedDailyProfitWindow The window to sum up the daily profit, in days
	AccumulatedDailyProfitWindow int `json:"accumulatedDailyProfitWindow"`

	Symbol string

	// Accumulated profit
	accumulatedProfit         fixedpoint.Value
	accumulatedProfitPerDay   floats.Slice
	previousAccumulatedProfit fixedpoint.Value

	// Accumulated profit MA
	accumulatedProfitMA       *indicator.SMA
	accumulatedProfitMAPerDay floats.Slice

	// Daily profit
	dailyProfit floats.Slice

	// Accumulated fee
	accumulatedFee       fixedpoint.Value
	accumulatedFeePerDay floats.Slice

	// Win ratio
	winRatioPerDay floats.Slice

	// Profit factor
	profitFactorPerDay floats.Slice

	// Trade number
	dailyTrades               floats.Slice
	accumulatedTrades         int
	previousAccumulatedTrades int

	// Extra values
	extraValues [][2]string
}

func (r *AccumulatedProfitReport) Initialize(Symbol string, session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor, TradeStats *types.TradeStats) {
	r.Symbol = Symbol

	if r.AccumulatedProfitMAWindow <= 0 {
		r.AccumulatedProfitMAWindow = 60
	}
	if r.IntervalWindow <= 0 {
		r.IntervalWindow = 7
	}
	if r.AccumulatedDailyProfitWindow <= 0 {
		r.AccumulatedDailyProfitWindow = 7
	}
	if r.NumberOfInterval <= 0 {
		r.NumberOfInterval = 1
	}
	r.accumulatedProfitMA = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: types.Interval1d, Window: r.AccumulatedProfitMAWindow}}

	session.Subscribe(types.KLineChannel, r.Symbol, types.SubscribeOptions{Interval: types.Interval1d})

	// Record profit
	orderExecutor.TradeCollector().OnProfit(func(trade types.Trade, profit *types.Profit) {
		if profit == nil {
			return
		}

		r.RecordProfit(profit.Profit)
	})

	// Record trade
	orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
		r.RecordTrade(trade.Fee)
	})

	// Record daily status
	session.MarketDataStream.OnKLineClosed(types.KLineWith(r.Symbol, types.Interval1d, func(kline types.KLine) {
		r.DailyUpdate(TradeStats)
	}))
}

func (r *AccumulatedProfitReport) AddExtraValue(valueAndTitle [2]string) {
	r.extraValues = append(r.extraValues, valueAndTitle)
}

func (r *AccumulatedProfitReport) RecordProfit(profit fixedpoint.Value) {
	r.accumulatedProfit = r.accumulatedProfit.Add(profit)
}

func (r *AccumulatedProfitReport) RecordTrade(fee fixedpoint.Value) {
	r.accumulatedFee = r.accumulatedFee.Add(fee)
	r.accumulatedTrades += 1
}

func (r *AccumulatedProfitReport) DailyUpdate(tradeStats *types.TradeStats) {
	// Daily profit
	r.dailyProfit.Update(r.accumulatedProfit.Sub(r.previousAccumulatedProfit).Float64())
	r.previousAccumulatedProfit = r.accumulatedProfit

	// Accumulated profit
	r.accumulatedProfitPerDay.Update(r.accumulatedProfit.Float64())

	// Accumulated profit MA
	r.accumulatedProfitMA.Update(r.accumulatedProfit.Float64())
	r.accumulatedProfitMAPerDay.Update(r.accumulatedProfitMA.Last())

	// Accumulated Fee
	r.accumulatedFeePerDay.Update(r.accumulatedFee.Float64())

	// Win ratio
	r.winRatioPerDay.Update(tradeStats.WinningRatio.Float64())

	// Profit factor
	r.profitFactorPerDay.Update(tradeStats.ProfitFactor.Float64())

	// Daily trades
	r.dailyTrades.Update(float64(r.accumulatedTrades - r.previousAccumulatedTrades))
	r.previousAccumulatedTrades = r.accumulatedTrades
}

// Output Accumulated profit report to a TSV file
func (r *AccumulatedProfitReport) Output(symbol string) {
	if r.TsvReportPath != "" {
		tsvwiter, err := tsv.AppendWriterFile(r.TsvReportPath)
		if err != nil {
			panic(err)
		}
		defer tsvwiter.Close()
		// Output title row
		titles := []string{
			"#",
			"Symbol",
			"accumulatedProfit",
			"accumulatedProfitMA",
			fmt.Sprintf("%dd profit", r.AccumulatedDailyProfitWindow),
			"accumulatedFee",
			"accumulatedNetProfit",
			"winRatio",
			"profitFactor",
			"60D trades",
		}
		for i := 0; i < len(r.extraValues); i++ {
			titles = append(titles, r.extraValues[i][0])
		}
		_ = tsvwiter.Write(titles)

		// Output data row
		for i := 0; i <= r.NumberOfInterval-1; i++ {
			accumulatedProfit := r.accumulatedProfitPerDay.Index(r.IntervalWindow * i)
			accumulatedProfitStr := fmt.Sprintf("%f", accumulatedProfit)
			accumulatedProfitMA := r.accumulatedProfitMAPerDay.Index(r.IntervalWindow * i)
			accumulatedProfitMAStr := fmt.Sprintf("%f", accumulatedProfitMA)
			intervalAccumulatedProfit := r.dailyProfit.Tail(r.AccumulatedDailyProfitWindow+r.IntervalWindow*i).Sum() - r.dailyProfit.Tail(r.IntervalWindow*i).Sum()
			intervalAccumulatedProfitStr := fmt.Sprintf("%f", intervalAccumulatedProfit)
			accumulatedFee := fmt.Sprintf("%f", r.accumulatedFeePerDay.Index(r.IntervalWindow*i))
			accumulatedNetProfit := fmt.Sprintf("%f", accumulatedProfit-r.accumulatedFeePerDay.Index(r.IntervalWindow*i))
			winRatio := fmt.Sprintf("%f", r.winRatioPerDay.Index(r.IntervalWindow*i))
			profitFactor := fmt.Sprintf("%f", r.profitFactorPerDay.Index(r.IntervalWindow*i))
			trades := r.dailyTrades.Tail(60+r.IntervalWindow*i).Sum() - r.dailyTrades.Tail(r.IntervalWindow*i).Sum()
			tradesStr := fmt.Sprintf("%f", trades)
			values := []string{
				fmt.Sprintf("%d", i+1),
				symbol, accumulatedProfitStr,
				accumulatedProfitMAStr,
				intervalAccumulatedProfitStr,
				accumulatedFee,
				accumulatedNetProfit,
				winRatio, profitFactor,
				tradesStr,
			}
			for j := 0; j < len(r.extraValues); j++ {
				values = append(values, r.extraValues[j][1])
			}
			_ = tsvwiter.Write(values)
		}
	}
}