bbgo_origin/pkg/cmd/pnl.go

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package cmd
import (
"context"
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"errors"
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"fmt"
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"sort"
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"strings"
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"time"
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log "github.com/sirupsen/logrus"
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"github.com/spf13/cobra"
"github.com/c9s/bbgo/pkg/accounting/pnl"
"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/service"
"github.com/c9s/bbgo/pkg/types"
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)
func init() {
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PnLCmd.Flags().String("session", "", "target exchange")
PnLCmd.Flags().String("symbol", "", "trading symbol")
PnLCmd.Flags().Bool("include-transfer", false, "convert transfer records into trades")
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PnLCmd.Flags().Int("limit", 0, "number of trades")
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RootCmd.AddCommand(PnLCmd)
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}
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var PnLCmd = &cobra.Command{
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Use: "pnl",
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Short: "Average Cost Based PnL Calculator",
Long: "This command calculates the average cost-based profit from your total trades",
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SilenceUsage: true,
RunE: func(cmd *cobra.Command, args []string) error {
ctx := context.Background()
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sessionName, err := cmd.Flags().GetString("session")
if err != nil {
return err
}
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symbol, err := cmd.Flags().GetString("symbol")
if err != nil {
return err
}
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if len(symbol) == 0 {
return errors.New("--symbol [SYMBOL] is required")
}
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limit, err := cmd.Flags().GetInt("limit")
if err != nil {
return err
}
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environ := bbgo.NewEnvironment()
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if err := environ.ConfigureDatabase(ctx); err != nil {
return err
}
if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
return err
}
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session, ok := environ.Session(sessionName)
if !ok {
return fmt.Errorf("session %s not found", sessionName)
}
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if err := environ.SyncSession(ctx, session); err != nil {
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return err
}
if err = environ.Init(ctx); err != nil {
return err
}
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exchange := session.Exchange
market, ok := session.Market(symbol)
if !ok {
return fmt.Errorf("market config %s not found", symbol)
}
since := time.Now().AddDate(-1, 0, 0)
until := time.Now()
includeTransfer, err := cmd.Flags().GetBool("include-transfer")
if err != nil {
return err
}
if includeTransfer {
transferService, ok := exchange.(types.ExchangeTransferService)
if !ok {
return fmt.Errorf("session exchange %s does not implement transfer service", sessionName)
}
deposits, err := transferService.QueryDepositHistory(ctx, market.BaseCurrency, since, until)
if err != nil {
return err
}
_ = deposits
withdrawals, err := transferService.QueryWithdrawHistory(ctx, market.BaseCurrency, since, until)
if err != nil {
return err
}
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sort.Slice(withdrawals, func(i, j int) bool {
a := withdrawals[i].ApplyTime.Time()
b := withdrawals[j].ApplyTime.Time()
return a.Before(b)
})
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// we need the backtest klines for the daily prices
backtestService := &service.BacktestService{DB: environ.DatabaseService.DB}
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if err := backtestService.Sync(ctx, exchange, symbol, types.Interval1d, since, until); err != nil {
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return err
}
}
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var trades []types.Trade
tradingFeeCurrency := exchange.PlatformFeeCurrency()
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if strings.HasPrefix(symbol, tradingFeeCurrency) {
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log.Infof("loading all trading fee currency related trades: %s", symbol)
trades, err = environ.TradeService.QueryForTradingFeeCurrency(exchange.Name(), symbol, tradingFeeCurrency)
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} else {
trades, err = environ.TradeService.Query(service.QueryTradesOptions{
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Symbol: symbol,
Limit: limit,
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})
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}
if err != nil {
return err
}
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if len(trades) == 0 {
return errors.New("empty trades, you need to run sync command to sync the trades from the exchange first")
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}
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trades = types.SortTradesAscending(trades)
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log.Infof("%d trades loaded", len(trades))
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tickers, err := exchange.QueryTickers(ctx, symbol)
if err != nil {
return err
}
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currentTick, ok := tickers[symbol]
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if !ok {
return errors.New("no ticker data for current price")
}
currentPrice := currentTick.Last
calculator := &pnl.AverageCostCalculator{
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TradingFeeCurrency: tradingFeeCurrency,
}
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report := calculator.Calculate(symbol, trades, currentPrice)
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report.Print()
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log.Warnf("note that if you're using cross-exchange arbitrage, the PnL won't be accurate")
log.Warnf("withdrawal and deposits are not considered in the PnL")
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return nil
},
}