mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
move cost distribution to the accounting package
This commit is contained in:
parent
985e02c57a
commit
0d9c0bd51b
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@ -9,8 +9,8 @@ import (
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"github.com/spf13/cobra"
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"github.com/c9s/bbgo/cmd/cmdutil"
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"github.com/c9s/bbgo/pkg/accounting"
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"github.com/c9s/bbgo/pkg/accounting/pnl"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -95,7 +95,7 @@ var pnlCmd = &cobra.Command{
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log.Infof("%d trades loaded", len(trades))
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stockManager := &bbgo.StockDistribution{
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stockManager := &accounting.StockDistribution{
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Symbol: symbol,
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TradingFeeCurrency: tradingFeeCurrency,
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}
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248
pkg/accounting/cost_distribution.go
Normal file
248
pkg/accounting/cost_distribution.go
Normal file
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@ -0,0 +1,248 @@
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package accounting
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import (
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"fmt"
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"math"
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"sort"
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"strconv"
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"strings"
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"sync"
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"github.com/c9s/bbgo/pkg/types"
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)
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func zero(a float64) bool {
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return int(math.Round(a*1e8)) == 0
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}
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func round(a float64) float64 {
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return math.Round(a*1e8) / 1e8
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}
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type Stock types.Trade
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func (stock *Stock) String() string {
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return fmt.Sprintf("%f (%f)", stock.Price, stock.Quantity)
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}
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func (stock *Stock) Consume(quantity float64) float64 {
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q := math.Min(stock.Quantity, quantity)
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stock.Quantity = round(stock.Quantity - q)
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return q
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}
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type StockSlice []Stock
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func (slice StockSlice) QuantityBelowPrice(price float64) (quantity float64) {
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for _, stock := range slice {
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if stock.Price < price {
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quantity += stock.Quantity
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}
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}
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return round(quantity)
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}
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func (slice StockSlice) Quantity() (total float64) {
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for _, stock := range slice {
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total += stock.Quantity
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}
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return round(total)
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}
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type StockDistribution struct {
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mu sync.Mutex
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Symbol string
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TradingFeeCurrency string
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Stocks StockSlice
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PendingSells StockSlice
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}
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type DistributionStats struct {
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PriceLevels []string `json:"priceLevels"`
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TotalQuantity float64 `json:"totalQuantity"`
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Quantities map[string]float64 `json:"quantities"`
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Stocks map[string]StockSlice `json:"stocks"`
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}
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func (m *StockDistribution) DistributionStats(level int) *DistributionStats {
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var d = DistributionStats{
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Quantities: map[string]float64{},
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Stocks: map[string]StockSlice{},
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}
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for _, stock := range m.Stocks {
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n := math.Ceil(math.Log10(stock.Price))
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digits := int(n - math.Max(float64(level), 1.0))
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div := math.Pow10(digits)
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priceLevel := math.Floor(stock.Price/div) * div
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key := strconv.FormatFloat(priceLevel, 'f', 2, 64)
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d.TotalQuantity += stock.Quantity
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d.Stocks[key] = append(d.Stocks[key], stock)
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d.Quantities[key] += stock.Quantity
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}
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var priceLevels []float64
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for priceString := range d.Stocks {
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price, _ := strconv.ParseFloat(priceString, 32)
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priceLevels = append(priceLevels, price)
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}
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sort.Float64s(priceLevels)
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for _, price := range priceLevels {
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d.PriceLevels = append(d.PriceLevels, strconv.FormatFloat(price, 'f', 2, 64))
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}
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sort.Float64s(priceLevels)
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return &d
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}
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func (m *StockDistribution) stock(stock Stock) error {
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m.mu.Lock()
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m.Stocks = append(m.Stocks, stock)
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m.mu.Unlock()
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return m.flushPendingSells()
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}
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func (m *StockDistribution) squash() {
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m.mu.Lock()
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defer m.mu.Unlock()
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var squashed StockSlice
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for _, stock := range m.Stocks {
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if !zero(stock.Quantity) {
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squashed = append(squashed, stock)
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}
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}
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m.Stocks = squashed
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}
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func (m *StockDistribution) flushPendingSells() error {
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if len(m.Stocks) == 0 || len(m.PendingSells) == 0 {
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return nil
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}
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pendingSells := m.PendingSells
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m.PendingSells = nil
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for _, sell := range pendingSells {
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if err := m.consume(sell); err != nil {
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return err
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}
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}
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return nil
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}
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func (m *StockDistribution) consume(sell Stock) error {
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m.mu.Lock()
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defer m.mu.Unlock()
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if len(m.Stocks) == 0 {
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m.PendingSells = append(m.PendingSells, sell)
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return nil
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}
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idx := len(m.Stocks) - 1
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for ; idx >= 0; idx-- {
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stock := m.Stocks[idx]
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// find any stock price is lower than the sell trade
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if stock.Price >= sell.Price {
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continue
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}
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if zero(stock.Quantity) {
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continue
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}
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delta := stock.Consume(sell.Quantity)
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sell.Consume(delta)
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m.Stocks[idx] = stock
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if zero(sell.Quantity) {
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return nil
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}
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}
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idx = len(m.Stocks) - 1
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for ; idx >= 0; idx-- {
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stock := m.Stocks[idx]
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if zero(stock.Quantity) {
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continue
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}
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delta := stock.Consume(sell.Quantity)
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sell.Consume(delta)
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m.Stocks[idx] = stock
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if zero(sell.Quantity) {
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return nil
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}
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}
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if sell.Quantity > 0.0 {
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m.PendingSells = append(m.PendingSells, sell)
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}
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return nil
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}
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func (m *StockDistribution) AddTrades(trades []types.Trade) (checkpoints []int, err error) {
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feeSymbol := strings.HasPrefix(m.Symbol, m.TradingFeeCurrency)
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for idx, trade := range trades {
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// for other market trades
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// convert trading fee trades to sell trade
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if trade.Symbol != m.Symbol {
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if feeSymbol && trade.FeeCurrency == m.TradingFeeCurrency {
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trade.Symbol = m.Symbol
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trade.IsBuyer = false
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trade.Quantity = trade.Fee
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trade.Fee = 0.0
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}
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}
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if trade.Symbol != m.Symbol {
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continue
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}
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if trade.IsBuyer {
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if idx > 0 && len(m.Stocks) == 0 {
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checkpoints = append(checkpoints, idx)
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}
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stock := toStock(trade)
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if err := m.stock(stock); err != nil {
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return checkpoints, err
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}
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} else {
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stock := toStock(trade)
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if err := m.consume(stock); err != nil {
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return checkpoints, err
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}
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}
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}
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err = m.flushPendingSells()
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m.squash()
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return checkpoints, err
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}
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func toStock(trade types.Trade) Stock {
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if strings.HasPrefix(trade.Symbol, trade.FeeCurrency) {
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if trade.IsBuyer {
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trade.Quantity -= trade.Fee
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} else {
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trade.Quantity += trade.Fee
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}
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trade.Fee = 0.0
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}
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return Stock(trade)
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}
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@ -3,6 +3,7 @@ package bbgo
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import (
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"sync"
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"github.com/c9s/bbgo/pkg/accounting"
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"github.com/c9s/bbgo/pkg/accounting/pnl"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -20,7 +21,7 @@ type Context struct {
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Balances map[string]types.Balance
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ProfitAndLossCalculator *pnl.AverageCostCalculator
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StockManager *StockDistribution
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StockManager *accounting.StockDistribution
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}
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func (c *Context) SetCurrentPrice(price float64) {
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@ -1,248 +1,2 @@
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package bbgo
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import (
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"fmt"
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"math"
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"sort"
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"strconv"
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"strings"
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"sync"
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"github.com/c9s/bbgo/pkg/types"
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)
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func zero(a float64) bool {
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return int(math.Round(a*1e8)) == 0
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}
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func round(a float64) float64 {
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return math.Round(a*1e8) / 1e8
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}
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type Stock types.Trade
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func (stock *Stock) String() string {
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return fmt.Sprintf("%f (%f)", stock.Price, stock.Quantity)
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}
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func (stock *Stock) Consume(quantity float64) float64 {
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q := math.Min(stock.Quantity, quantity)
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stock.Quantity = round(stock.Quantity - q)
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return q
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}
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type StockSlice []Stock
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func (slice StockSlice) QuantityBelowPrice(price float64) (quantity float64) {
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for _, stock := range slice {
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if stock.Price < price {
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quantity += stock.Quantity
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}
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}
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return round(quantity)
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}
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func (slice StockSlice) Quantity() (total float64) {
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for _, stock := range slice {
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total += stock.Quantity
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}
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return round(total)
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}
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type StockDistribution struct {
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mu sync.Mutex
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Symbol string
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TradingFeeCurrency string
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Stocks StockSlice
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PendingSells StockSlice
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}
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type DistributionStats struct {
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PriceLevels []string `json:"priceLevels"`
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TotalQuantity float64 `json:"totalQuantity"`
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Quantities map[string]float64 `json:"quantities"`
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Stocks map[string]StockSlice `json:"stocks"`
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}
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func (m *StockDistribution) DistributionStats(level int) *DistributionStats {
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var d = DistributionStats{
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Quantities: map[string]float64{},
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Stocks: map[string]StockSlice{},
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}
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for _, stock := range m.Stocks {
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n := math.Ceil(math.Log10(stock.Price))
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digits := int(n - math.Max(float64(level), 1.0))
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div := math.Pow10(digits)
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priceLevel := math.Floor(stock.Price/div) * div
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key := strconv.FormatFloat(priceLevel, 'f', 2, 64)
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d.TotalQuantity += stock.Quantity
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d.Stocks[key] = append(d.Stocks[key], stock)
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d.Quantities[key] += stock.Quantity
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}
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var priceLevels []float64
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for priceString := range d.Stocks {
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price, _ := strconv.ParseFloat(priceString, 32)
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priceLevels = append(priceLevels, price)
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}
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sort.Float64s(priceLevels)
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for _, price := range priceLevels {
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d.PriceLevels = append(d.PriceLevels, strconv.FormatFloat(price, 'f', 2, 64))
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}
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sort.Float64s(priceLevels)
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return &d
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}
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func (m *StockDistribution) stock(stock Stock) error {
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m.mu.Lock()
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m.Stocks = append(m.Stocks, stock)
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m.mu.Unlock()
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return m.flushPendingSells()
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}
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func (m *StockDistribution) squash() {
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m.mu.Lock()
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defer m.mu.Unlock()
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var squashed StockSlice
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for _, stock := range m.Stocks {
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if !zero(stock.Quantity) {
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squashed = append(squashed, stock)
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}
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}
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m.Stocks = squashed
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}
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func (m *StockDistribution) flushPendingSells() error {
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if len(m.Stocks) == 0 || len(m.PendingSells) == 0 {
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return nil
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}
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pendingSells := m.PendingSells
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m.PendingSells = nil
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for _, sell := range pendingSells {
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if err := m.consume(sell); err != nil {
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return err
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}
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}
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return nil
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}
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func (m *StockDistribution) consume(sell Stock) error {
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m.mu.Lock()
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defer m.mu.Unlock()
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if len(m.Stocks) == 0 {
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m.PendingSells = append(m.PendingSells, sell)
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return nil
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}
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idx := len(m.Stocks) - 1
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for ; idx >= 0; idx-- {
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stock := m.Stocks[idx]
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// find any stock price is lower than the sell trade
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if stock.Price >= sell.Price {
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continue
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}
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if zero(stock.Quantity) {
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continue
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}
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delta := stock.Consume(sell.Quantity)
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sell.Consume(delta)
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m.Stocks[idx] = stock
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if zero(sell.Quantity) {
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return nil
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}
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}
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idx = len(m.Stocks) - 1
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for ; idx >= 0; idx-- {
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stock := m.Stocks[idx]
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if zero(stock.Quantity) {
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continue
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}
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delta := stock.Consume(sell.Quantity)
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sell.Consume(delta)
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m.Stocks[idx] = stock
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if zero(sell.Quantity) {
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return nil
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}
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}
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if sell.Quantity > 0.0 {
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m.PendingSells = append(m.PendingSells, sell)
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}
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return nil
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}
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func (m *StockDistribution) AddTrades(trades []types.Trade) (checkpoints []int, err error) {
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feeSymbol := strings.HasPrefix(m.Symbol, m.TradingFeeCurrency)
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for idx, trade := range trades {
|
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// for other market trades
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// convert trading fee trades to sell trade
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if trade.Symbol != m.Symbol {
|
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if feeSymbol && trade.FeeCurrency == m.TradingFeeCurrency {
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trade.Symbol = m.Symbol
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trade.IsBuyer = false
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trade.Quantity = trade.Fee
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trade.Fee = 0.0
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}
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}
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if trade.Symbol != m.Symbol {
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continue
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}
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|
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if trade.IsBuyer {
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if idx > 0 && len(m.Stocks) == 0 {
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checkpoints = append(checkpoints, idx)
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}
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stock := toStock(trade)
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if err := m.stock(stock); err != nil {
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return checkpoints, err
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}
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} else {
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stock := toStock(trade)
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if err := m.consume(stock); err != nil {
|
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return checkpoints, err
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}
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}
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}
|
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|
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err = m.flushPendingSells()
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m.squash()
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return checkpoints, err
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}
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|
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func toStock(trade types.Trade) Stock {
|
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if strings.HasPrefix(trade.Symbol, trade.FeeCurrency) {
|
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if trade.IsBuyer {
|
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trade.Quantity -= trade.Fee
|
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} else {
|
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trade.Quantity += trade.Fee
|
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}
|
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trade.Fee = 0.0
|
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}
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return Stock(trade)
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}
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|
|
|
@ -7,6 +7,7 @@ import (
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|
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"github.com/stretchr/testify/assert"
|
||||
|
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"github.com/c9s/bbgo/pkg/accounting"
|
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"github.com/c9s/bbgo/pkg/types"
|
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)
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|
@ -21,7 +22,7 @@ func TestStockManager(t *testing.T) {
|
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err = json.Unmarshal(out, &trades)
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assert.NoError(t, err)
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|
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var stockManager = &StockDistribution{
|
||||
var stockManager = &accounting.StockDistribution{
|
||||
TradingFeeCurrency: "BNB",
|
||||
Symbol: "BTCUSDT",
|
||||
}
|
||||
|
@ -42,7 +43,7 @@ func TestStockManager(t *testing.T) {
|
|||
{Symbol: "BTCUSDT", Price: 9200.0, Quantity: 0.01, IsBuyer: false},
|
||||
}
|
||||
|
||||
var stockManager = &StockDistribution{
|
||||
var stockManager = &accounting.StockDistribution{
|
||||
TradingFeeCurrency: "BNB",
|
||||
Symbol: "BTCUSDT",
|
||||
}
|
||||
|
@ -50,7 +51,7 @@ func TestStockManager(t *testing.T) {
|
|||
_, err := stockManager.AddTrades(trades)
|
||||
assert.NoError(t, err)
|
||||
assert.Len(t, stockManager.Stocks, 2)
|
||||
assert.Equal(t, StockSlice{
|
||||
assert.Equal(t, accounting.StockSlice{
|
||||
{
|
||||
Symbol: "BTCUSDT",
|
||||
Price: 9100.0,
|
||||
|
@ -75,7 +76,7 @@ func TestStockManager(t *testing.T) {
|
|||
{Symbol: "BTCUSDT", Price: 9200.0, Quantity: 0.05, IsBuyer: false},
|
||||
}
|
||||
|
||||
var stockManager = &StockDistribution{
|
||||
var stockManager = &accounting.StockDistribution{
|
||||
TradingFeeCurrency: "BNB",
|
||||
Symbol: "BTCUSDT",
|
||||
}
|
||||
|
@ -93,7 +94,7 @@ func TestStockManager(t *testing.T) {
|
|||
{Symbol: "BTCUSDT", Price: 9200.0, Quantity: 0.05, IsBuyer: false},
|
||||
}
|
||||
|
||||
var stockManager = &StockDistribution{
|
||||
var stockManager = &accounting.StockDistribution{
|
||||
TradingFeeCurrency: "BNB",
|
||||
Symbol: "BTCUSDT",
|
||||
}
|
||||
|
@ -111,7 +112,7 @@ func TestStockManager(t *testing.T) {
|
|||
{Symbol: "BTCUSDT", Price: 8000.0, Quantity: 0.01, IsBuyer: false},
|
||||
}
|
||||
|
||||
var stockManager = &StockDistribution{
|
||||
var stockManager = &accounting.StockDistribution{
|
||||
TradingFeeCurrency: "BNB",
|
||||
Symbol: "BTCUSDT",
|
||||
}
|
||||
|
@ -119,7 +120,7 @@ func TestStockManager(t *testing.T) {
|
|||
_, err := stockManager.AddTrades(trades)
|
||||
assert.NoError(t, err)
|
||||
assert.Len(t, stockManager.Stocks, 1)
|
||||
assert.Equal(t, StockSlice{
|
||||
assert.Equal(t, accounting.StockSlice{
|
||||
{
|
||||
Symbol: "BTCUSDT",
|
||||
Price: 9100.0,
|
||||
|
@ -136,7 +137,7 @@ func TestStockManager(t *testing.T) {
|
|||
{Symbol: "BTCUSDT", Price: 9100.0, Quantity: 0.05, IsBuyer: true},
|
||||
}
|
||||
|
||||
var stockManager = &StockDistribution{
|
||||
var stockManager = &accounting.StockDistribution{
|
||||
TradingFeeCurrency: "BNB",
|
||||
Symbol: "BTCUSDT",
|
||||
}
|
||||
|
@ -144,7 +145,7 @@ func TestStockManager(t *testing.T) {
|
|||
_, err := stockManager.AddTrades(trades)
|
||||
assert.NoError(t, err)
|
||||
assert.Len(t, stockManager.Stocks, 1)
|
||||
assert.Equal(t, StockSlice{
|
||||
assert.Equal(t, accounting.StockSlice{
|
||||
{
|
||||
Symbol: "BTCUSDT",
|
||||
Price: 9100.0,
|
||||
|
@ -161,7 +162,7 @@ func TestStockManager(t *testing.T) {
|
|||
{Symbol: "BTCUSDT", Price: 9100.0, Quantity: 0.05, IsBuyer: true},
|
||||
}
|
||||
|
||||
var stockManager = &StockDistribution{
|
||||
var stockManager = &accounting.StockDistribution{
|
||||
TradingFeeCurrency: "BNB",
|
||||
Symbol: "BTCUSDT",
|
||||
}
|
||||
|
@ -170,7 +171,7 @@ func TestStockManager(t *testing.T) {
|
|||
assert.NoError(t, err)
|
||||
assert.Len(t, stockManager.Stocks, 0)
|
||||
assert.Len(t, stockManager.PendingSells, 1)
|
||||
assert.Equal(t, StockSlice{
|
||||
assert.Equal(t, accounting.StockSlice{
|
||||
{
|
||||
Symbol: "BTCUSDT",
|
||||
Price: 9200.0,
|
||||
|
|
Loading…
Reference in New Issue
Block a user