bbgo_origin/pkg/bbgo/position.go

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package bbgo
import (
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"fmt"
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"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
type Position struct {
Symbol string `json:"symbol"`
BaseCurrency string `json:"baseCurrency"`
QuoteCurrency string `json:"quoteCurrency"`
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Base fixedpoint.Value `json:"base"`
Quote fixedpoint.Value `json:"quote"`
AverageCost fixedpoint.Value `json:"averageCost"`
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}
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func (p Position) String() string {
return fmt.Sprintf("%s: average cost = %f, base = %f, quote = %f",
p.Symbol,
p.AverageCost.Float64(),
p.Base.Float64(),
p.Quote.Float64(),
)
}
func (p *Position) BindStream(stream types.Stream) {
stream.OnTradeUpdate(func(trade types.Trade) {
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if p.Symbol == trade.Symbol {
p.AddTrade(trade)
}
})
}
func (p *Position) AddTrades(trades []types.Trade) (fixedpoint.Value, bool) {
var totalProfitAmount fixedpoint.Value
for _, trade := range trades {
if profitAmount, profit := p.AddTrade(trade); profit {
totalProfitAmount += profitAmount
}
}
return totalProfitAmount, totalProfitAmount != 0
}
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func (p *Position) AddTrade(t types.Trade) (fixedpoint.Value, bool) {
price := fixedpoint.NewFromFloat(t.Price)
quantity := fixedpoint.NewFromFloat(t.Quantity)
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quoteQuantity := fixedpoint.NewFromFloat(t.QuoteQuantity)
fee := fixedpoint.NewFromFloat(t.Fee)
switch t.FeeCurrency {
case p.BaseCurrency:
quantity -= fee
case p.QuoteCurrency:
quoteQuantity -= fee
}
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// Base > 0 means we're in long position
// Base < 0 means we're in short position
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switch t.Side {
case types.SideTypeBuy:
if p.Base < 0 {
// handling short-to-long position
if p.Base+quantity > 0 {
closingProfit := (p.AverageCost - price).Mul(-p.Base)
p.Base += quantity
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p.Quote -= quoteQuantity
p.AverageCost = price
return closingProfit, true
} else {
// covering short position
p.Base += quantity
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p.Quote -= quoteQuantity
return (p.AverageCost - price).Mul(quantity), true
}
}
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p.AverageCost = (p.AverageCost.Mul(p.Base) + quoteQuantity).Div(p.Base + quantity)
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p.Base += quantity
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p.Quote -= quoteQuantity
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return 0, false
case types.SideTypeSell:
if p.Base > 0 {
// long-to-short
if p.Base-quantity < 0 {
closingProfit := (price - p.AverageCost).Mul(p.Base)
p.Base -= quantity
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p.Quote += quoteQuantity
p.AverageCost = price
return closingProfit, true
} else {
p.Base -= quantity
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p.Quote += quoteQuantity
return (price - p.AverageCost).Mul(quantity), true
}
}
// handling short position
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p.AverageCost = (p.AverageCost.Mul(-p.Base) + quoteQuantity).Div(-p.Base + quantity)
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p.Base -= quantity
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p.Quote += quoteQuantity
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return 0, false
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}
return 0, false
}