mirror of
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backtest: move fee mode functions to fee.go
This commit is contained in:
parent
8cd646668a
commit
10ed706ed6
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@ -36,10 +36,10 @@ import (
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/cache"
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"github.com/pkg/errors"
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"github.com/c9s/bbgo/pkg/cache"
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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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@ -138,12 +138,15 @@ func (e *Exchange) addMatchingBook(symbol string, market types.Market) {
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}
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func (e *Exchange) _addMatchingBook(symbol string, market types.Market) {
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e.matchingBooks[symbol] = &SimplePriceMatching{
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CurrentTime: e.currentTime,
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Account: e.account,
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Market: market,
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closedOrders: make(map[uint64]types.Order),
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matching := &SimplePriceMatching{
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currentTime: e.currentTime,
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account: e.account,
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Market: market,
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closedOrders: make(map[uint64]types.Order),
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feeModeFunction: getFeeModeFunction(e.config.FeeMode),
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}
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e.matchingBooks[symbol] = matching
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}
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func (e *Exchange) NewStream() types.Stream {
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@ -257,7 +260,7 @@ func (e *Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticke
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return nil, fmt.Errorf("matching engine is not initialized for symbol %s", symbol)
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}
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kline := matching.LastKLine
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kline := matching.lastKLine
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return &types.Ticker{
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Time: kline.EndTime.Time(),
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Volume: kline.Volume,
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@ -382,7 +385,7 @@ func (e *Exchange) ConsumeKLine(k types.KLine) {
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e.currentTime = kline1m.EndTime.Time()
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// here we generate trades and order updates
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matching.processKLine(kline1m)
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matching.NextKLine = &k
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matching.nextKLine = &k
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for _, kline := range matching.klineCache {
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e.MarketDataStream.EmitKLineClosed(kline)
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for _, h := range e.Src.Callbacks {
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83
pkg/backtest/fee.go
Normal file
83
pkg/backtest/fee.go
Normal file
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@ -0,0 +1,83 @@
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package backtest
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import (
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type FeeModeFunction func(order *types.Order, market *types.Market, feeRate fixedpoint.Value) (fee fixedpoint.Value, feeCurrency string)
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func feeModeFunctionToken(order *types.Order, _ *types.Market, feeRate fixedpoint.Value) (fee fixedpoint.Value, feeCurrency string) {
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quoteQuantity := order.Quantity.Mul(order.Price)
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feeCurrency = FeeToken
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fee = quoteQuantity.Mul(feeRate)
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return fee, feeCurrency
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}
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func feeModeFunctionNative(order *types.Order, market *types.Market, feeRate fixedpoint.Value) (fee fixedpoint.Value, feeCurrency string) {
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switch order.Side {
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case types.SideTypeBuy:
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fee = order.Quantity.Mul(feeRate)
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feeCurrency = market.BaseCurrency
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case types.SideTypeSell:
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quoteQuantity := order.Quantity.Mul(order.Price)
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fee = quoteQuantity.Mul(feeRate)
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feeCurrency = market.QuoteCurrency
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}
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return fee, feeCurrency
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}
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func feeModeFunctionQuote(order *types.Order, market *types.Market, feeRate fixedpoint.Value) (fee fixedpoint.Value, feeCurrency string) {
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feeCurrency = market.QuoteCurrency
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quoteQuantity := order.Quantity.Mul(order.Price)
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switch order.Side {
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case types.SideTypeBuy:
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fee = quoteQuantity.Mul(feeRate)
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case types.SideTypeSell:
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fee = quoteQuantity.Mul(feeRate)
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}
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return fee, feeCurrency
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}
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func getFeeModeFunction(feeMode bbgo.BackTestFeeMode) FeeModeFunction {
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switch feeMode {
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case bbgo.BackTestFeeModeNative:
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return feeModeFunctionNative
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case bbgo.BackTestFeeModeQuote:
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return feeModeFunctionQuote
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case bbgo.BackTestFeeModeToken:
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return feeModeFunctionToken
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default:
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return feeModeFunctionNative
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}
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}
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func calculateNativeOrderFee(order *types.Order, market types.Market, feeRate fixedpoint.Value) (fee fixedpoint.Value, feeCurrency string) {
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switch order.Side {
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case types.SideTypeBuy:
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fee = order.Quantity.Mul(feeRate)
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feeCurrency = market.BaseCurrency
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case types.SideTypeSell:
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quoteQuantity := order.Quantity.Mul(order.Price)
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fee = quoteQuantity.Mul(feeRate)
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feeCurrency = market.QuoteCurrency
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}
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return fee, feeCurrency
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}
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@ -59,12 +59,14 @@ type SimplePriceMatching struct {
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closedOrders map[uint64]types.Order
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klineCache map[types.Interval]types.KLine
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LastPrice fixedpoint.Value
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LastKLine types.KLine
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NextKLine *types.KLine
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CurrentTime time.Time
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lastPrice fixedpoint.Value
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lastKLine types.KLine
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nextKLine *types.KLine
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currentTime time.Time
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Account *types.Account
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feeModeFunction FeeModeFunction
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account *types.Account
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tradeUpdateCallbacks []func(trade types.Trade)
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orderUpdateCallbacks []func(order types.Order)
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@ -109,38 +111,38 @@ func (m *SimplePriceMatching) CancelOrder(o types.Order) (types.Order, error) {
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switch o.Side {
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case types.SideTypeBuy:
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if err := m.Account.UnlockBalance(m.Market.QuoteCurrency, o.Price.Mul(o.Quantity)); err != nil {
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if err := m.account.UnlockBalance(m.Market.QuoteCurrency, o.Price.Mul(o.Quantity)); err != nil {
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return o, err
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}
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case types.SideTypeSell:
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if err := m.Account.UnlockBalance(m.Market.BaseCurrency, o.Quantity); err != nil {
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if err := m.account.UnlockBalance(m.Market.BaseCurrency, o.Quantity); err != nil {
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return o, err
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}
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}
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o.Status = types.OrderStatusCanceled
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m.EmitOrderUpdate(o)
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m.EmitBalanceUpdate(m.Account.Balances())
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m.EmitBalanceUpdate(m.account.Balances())
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return o, nil
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}
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// PlaceOrder returns the created order object, executed trade (if any) and error
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func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (*types.Order, *types.Trade, error) {
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if o.Type == types.OrderTypeMarket {
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if m.LastPrice.IsZero() {
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if m.lastPrice.IsZero() {
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panic("unexpected error: for market order, the last price can not be zero")
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}
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}
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isTaker := o.Type == types.OrderTypeMarket || isLimitTakerOrder(o, m.LastPrice)
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isTaker := o.Type == types.OrderTypeMarket || isLimitTakerOrder(o, m.lastPrice)
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// price for checking account balance, default price
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price := o.Price
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switch o.Type {
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case types.OrderTypeMarket:
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price = m.Market.TruncatePrice(m.LastPrice)
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price = m.Market.TruncatePrice(m.lastPrice)
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case types.OrderTypeStopMarket:
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// the actual price might be different.
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@ -165,17 +167,17 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (*types.Order, *ty
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switch o.Side {
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case types.SideTypeBuy:
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if err := m.Account.LockBalance(m.Market.QuoteCurrency, quoteQuantity); err != nil {
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if err := m.account.LockBalance(m.Market.QuoteCurrency, quoteQuantity); err != nil {
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return nil, nil, err
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}
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case types.SideTypeSell:
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if err := m.Account.LockBalance(m.Market.BaseCurrency, o.Quantity); err != nil {
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if err := m.account.LockBalance(m.Market.BaseCurrency, o.Quantity); err != nil {
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return nil, nil, err
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}
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}
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m.EmitBalanceUpdate(m.Account.Balances())
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m.EmitBalanceUpdate(m.account.Balances())
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// start from one
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orderID := incOrderID()
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@ -184,19 +186,19 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (*types.Order, *ty
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if isTaker {
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var price fixedpoint.Value
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if order.Type == types.OrderTypeMarket {
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order.Price = m.Market.TruncatePrice(m.LastPrice)
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order.Price = m.Market.TruncatePrice(m.lastPrice)
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price = order.Price
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} else if order.Type == types.OrderTypeLimit {
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// if limit order's price is with the range of next kline
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// we assume it will be traded as a maker trade, and is traded at its original price
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// TODO: if it is treated as a maker trade, fee should be specially handled
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// otherwise, set NextKLine.Close(i.e., m.LastPrice) to be the taker traded price
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if m.NextKLine != nil && m.NextKLine.High.Compare(order.Price) > 0 && order.Side == types.SideTypeBuy {
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if m.nextKLine != nil && m.nextKLine.High.Compare(order.Price) > 0 && order.Side == types.SideTypeBuy {
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order.AveragePrice = order.Price
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} else if m.NextKLine != nil && m.NextKLine.Low.Compare(order.Price) < 0 && order.Side == types.SideTypeSell {
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} else if m.nextKLine != nil && m.nextKLine.Low.Compare(order.Price) < 0 && order.Side == types.SideTypeSell {
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order.AveragePrice = order.Price
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} else {
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order.AveragePrice = m.Market.TruncatePrice(m.LastPrice)
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order.AveragePrice = m.Market.TruncatePrice(m.lastPrice)
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}
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price = order.AveragePrice
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}
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@ -223,10 +225,10 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (*types.Order, *ty
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// the executed price is lower than the given price, so we will use less quote currency to buy the base asset.
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amount := order.Price.Sub(order.AveragePrice).Mul(order.Quantity)
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if amount.Sign() > 0 {
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if err := m.Account.UnlockBalance(m.Market.QuoteCurrency, amount); err != nil {
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if err := m.account.UnlockBalance(m.Market.QuoteCurrency, amount); err != nil {
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return nil, nil, err
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}
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m.EmitBalanceUpdate(m.Account.Balances())
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m.EmitBalanceUpdate(m.account.Balances())
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}
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case types.SideTypeSell:
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@ -234,8 +236,8 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (*types.Order, *ty
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// the executed price is higher than the given price, so we will get more quote currency back
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amount := order.AveragePrice.Sub(order.Price).Mul(order.Quantity)
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if amount.Sign() > 0 {
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m.Account.AddBalance(m.Market.QuoteCurrency, amount)
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m.EmitBalanceUpdate(m.Account.Balances())
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m.account.AddBalance(m.Market.QuoteCurrency, amount)
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m.EmitBalanceUpdate(m.account.Balances())
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}
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}
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}
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@ -273,7 +275,7 @@ func (m *SimplePriceMatching) executeTrade(trade types.Trade) {
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var err error
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// execute trade, update account balances
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if trade.IsBuyer {
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err = m.Account.UseLockedBalance(m.Market.QuoteCurrency, trade.QuoteQuantity)
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err = m.account.UseLockedBalance(m.Market.QuoteCurrency, trade.QuoteQuantity)
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// here the fee currency is the base currency
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q := trade.Quantity
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@ -281,16 +283,16 @@ func (m *SimplePriceMatching) executeTrade(trade types.Trade) {
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q = q.Sub(trade.Fee)
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}
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m.Account.AddBalance(m.Market.BaseCurrency, q)
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m.account.AddBalance(m.Market.BaseCurrency, q)
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} else {
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err = m.Account.UseLockedBalance(m.Market.BaseCurrency, trade.Quantity)
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err = m.account.UseLockedBalance(m.Market.BaseCurrency, trade.Quantity)
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// here the fee currency is the quote currency
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qq := trade.QuoteQuantity
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if trade.FeeCurrency == m.Market.QuoteCurrency {
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qq = qq.Sub(trade.Fee)
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}
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m.Account.AddBalance(m.Market.QuoteCurrency, qq)
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m.account.AddBalance(m.Market.QuoteCurrency, qq)
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}
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if err != nil {
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@ -298,16 +300,16 @@ func (m *SimplePriceMatching) executeTrade(trade types.Trade) {
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}
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m.EmitTradeUpdate(trade)
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m.EmitBalanceUpdate(m.Account.Balances())
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m.EmitBalanceUpdate(m.account.Balances())
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}
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func (m *SimplePriceMatching) getFeeRate(isMaker bool) (feeRate fixedpoint.Value) {
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// BINANCE uses 0.1% for both maker and taker
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// MAX uses 0.050% for maker and 0.15% for taker
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if isMaker {
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feeRate = m.Account.MakerFeeRate
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feeRate = m.account.MakerFeeRate
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} else {
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feeRate = m.Account.TakerFeeRate
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feeRate = m.account.TakerFeeRate
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}
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return feeRate
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}
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@ -320,15 +322,14 @@ func (m *SimplePriceMatching) newTradeFromOrder(order *types.Order, isMaker bool
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var fee fixedpoint.Value
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var feeCurrency string
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if useFeeToken {
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feeCurrency = FeeToken
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fee = quoteQuantity.Mul(feeRate)
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if m.feeModeFunction != nil {
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fee, feeCurrency = m.feeModeFunction(order, &m.Market, feeRate)
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} else {
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fee, feeCurrency = calculateNativeOrderFee(order, m.Market, feeRate)
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fee, feeCurrency = feeModeFunctionQuote(order, &m.Market, feeRate)
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}
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// update order time
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order.UpdateTime = types.Time(m.CurrentTime)
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order.UpdateTime = types.Time(m.currentTime)
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var id = incTradeID()
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return types.Trade{
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@ -342,7 +343,7 @@ func (m *SimplePriceMatching) newTradeFromOrder(order *types.Order, isMaker bool
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Side: order.Side,
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IsBuyer: order.Side == types.SideTypeBuy,
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IsMaker: isMaker,
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Time: types.Time(m.CurrentTime),
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Time: types.Time(m.currentTime),
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Fee: fee,
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FeeCurrency: feeCurrency,
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}
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@ -458,7 +459,7 @@ func (m *SimplePriceMatching) buyToPrice(price fixedpoint.Value) (closedOrders [
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}
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m.askOrders = askOrders
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m.LastPrice = price
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m.lastPrice = price
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for i := range closedOrders {
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o := closedOrders[i]
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@ -587,7 +588,7 @@ func (m *SimplePriceMatching) sellToPrice(price fixedpoint.Value) (closedOrders
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}
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m.bidOrders = bidOrders
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m.LastPrice = price
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m.lastPrice = price
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for i := range closedOrders {
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o := closedOrders[i]
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@ -631,12 +632,12 @@ func (m *SimplePriceMatching) getOrder(orderID uint64) (types.Order, bool) {
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}
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func (m *SimplePriceMatching) processKLine(kline types.KLine) {
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m.CurrentTime = kline.EndTime.Time()
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m.currentTime = kline.EndTime.Time()
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if m.LastPrice.IsZero() {
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m.LastPrice = kline.Open
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if m.lastPrice.IsZero() {
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m.lastPrice = kline.Open
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} else {
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if m.LastPrice.Compare(kline.Open) > 0 {
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if m.lastPrice.Compare(kline.Open) > 0 {
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m.sellToPrice(kline.Open)
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} else {
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m.buyToPrice(kline.Open)
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@ -669,12 +670,12 @@ func (m *SimplePriceMatching) processKLine(kline types.KLine) {
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m.buyToPrice(kline.Close)
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}
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default: // no trade up or down
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if m.LastPrice.IsZero() {
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if m.lastPrice.IsZero() {
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m.buyToPrice(kline.Close)
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}
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}
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m.LastKLine = kline
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m.lastKLine = kline
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}
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func (m *SimplePriceMatching) newOrder(o types.SubmitOrder, orderID uint64) types.Order {
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@ -685,27 +686,11 @@ func (m *SimplePriceMatching) newOrder(o types.SubmitOrder, orderID uint64) type
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Status: types.OrderStatusNew,
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ExecutedQuantity: fixedpoint.Zero,
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IsWorking: true,
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CreationTime: types.Time(m.CurrentTime),
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UpdateTime: types.Time(m.CurrentTime),
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CreationTime: types.Time(m.currentTime),
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UpdateTime: types.Time(m.currentTime),
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}
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}
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func calculateNativeOrderFee(order *types.Order, market types.Market, feeRate fixedpoint.Value) (fee fixedpoint.Value, feeCurrency string) {
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switch order.Side {
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case types.SideTypeBuy:
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fee = order.Quantity.Mul(feeRate)
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feeCurrency = market.BaseCurrency
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case types.SideTypeSell:
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quoteQuantity := order.Quantity.Mul(order.Price)
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fee = quoteQuantity.Mul(feeRate)
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feeCurrency = market.QuoteCurrency
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}
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return fee, feeCurrency
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}
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func isTakerOrder(o types.Order) bool {
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if o.AveragePrice.IsZero() {
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return false
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@ -44,11 +44,11 @@ func TestSimplePriceMatching_orderUpdate(t *testing.T) {
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t1 := time.Date(2021, 7, 1, 0, 0, 0, 0, time.UTC)
|
||||
engine := &SimplePriceMatching{
|
||||
Account: account,
|
||||
account: account,
|
||||
Market: market,
|
||||
CurrentTime: t1,
|
||||
currentTime: t1,
|
||||
closedOrders: make(map[uint64]types.Order),
|
||||
LastPrice: fixedpoint.NewFromFloat(25000),
|
||||
lastPrice: fixedpoint.NewFromFloat(25000),
|
||||
}
|
||||
|
||||
orderUpdateCnt := 0
|
||||
|
@ -97,11 +97,11 @@ func TestSimplePriceMatching_CancelOrder(t *testing.T) {
|
|||
market := getTestMarket()
|
||||
t1 := time.Date(2021, 7, 1, 0, 0, 0, 0, time.UTC)
|
||||
engine := &SimplePriceMatching{
|
||||
Account: account,
|
||||
account: account,
|
||||
Market: market,
|
||||
CurrentTime: t1,
|
||||
currentTime: t1,
|
||||
closedOrders: make(map[uint64]types.Order),
|
||||
LastPrice: fixedpoint.NewFromFloat(30000.0),
|
||||
lastPrice: fixedpoint.NewFromFloat(30000.0),
|
||||
}
|
||||
|
||||
createdOrder1, trade1, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, 20000.0, 0.1))
|
||||
|
@ -139,11 +139,11 @@ func TestSimplePriceMatching_processKLine(t *testing.T) {
|
|||
|
||||
t1 := time.Date(2021, 7, 1, 0, 0, 0, 0, time.UTC)
|
||||
engine := &SimplePriceMatching{
|
||||
Account: account,
|
||||
account: account,
|
||||
Market: market,
|
||||
CurrentTime: t1,
|
||||
currentTime: t1,
|
||||
closedOrders: make(map[uint64]types.Order),
|
||||
LastPrice: fixedpoint.NewFromFloat(30000.0),
|
||||
lastPrice: fixedpoint.NewFromFloat(30000.0),
|
||||
}
|
||||
|
||||
for i := 0; i <= 5; i++ {
|
||||
|
@ -216,10 +216,10 @@ func TestSimplePriceMatching_LimitBuyTakerOrder(t *testing.T) {
|
|||
account := getTestAccount()
|
||||
market := getTestMarket()
|
||||
engine := &SimplePriceMatching{
|
||||
Account: account,
|
||||
account: account,
|
||||
Market: market,
|
||||
closedOrders: make(map[uint64]types.Order),
|
||||
LastPrice: fixedpoint.NewFromFloat(19000.0),
|
||||
lastPrice: fixedpoint.NewFromFloat(19000.0),
|
||||
}
|
||||
|
||||
takerOrder := types.SubmitOrder{
|
||||
|
@ -256,10 +256,10 @@ func TestSimplePriceMatching_StopLimitOrderBuy(t *testing.T) {
|
|||
account := getTestAccount()
|
||||
market := getTestMarket()
|
||||
engine := &SimplePriceMatching{
|
||||
Account: account,
|
||||
account: account,
|
||||
Market: market,
|
||||
closedOrders: make(map[uint64]types.Order),
|
||||
LastPrice: fixedpoint.NewFromFloat(19000.0),
|
||||
lastPrice: fixedpoint.NewFromFloat(19000.0),
|
||||
}
|
||||
|
||||
stopBuyOrder := types.SubmitOrder{
|
||||
|
@ -299,7 +299,7 @@ func TestSimplePriceMatching_StopLimitOrderBuy(t *testing.T) {
|
|||
assert.Equal(t, "21001", trades[0].Price.String())
|
||||
assert.Equal(t, "22000", closedOrders[0].Price.String(), "order.Price should not be adjusted")
|
||||
|
||||
assert.Equal(t, fixedpoint.NewFromFloat(21001.0).String(), engine.LastPrice.String())
|
||||
assert.Equal(t, fixedpoint.NewFromFloat(21001.0).String(), engine.lastPrice.String())
|
||||
|
||||
stopOrder2 := types.SubmitOrder{
|
||||
Symbol: market.Symbol,
|
||||
|
@ -326,10 +326,10 @@ func TestSimplePriceMatching_StopLimitOrderSell(t *testing.T) {
|
|||
account := getTestAccount()
|
||||
market := getTestMarket()
|
||||
engine := &SimplePriceMatching{
|
||||
Account: account,
|
||||
account: account,
|
||||
Market: market,
|
||||
closedOrders: make(map[uint64]types.Order),
|
||||
LastPrice: fixedpoint.NewFromFloat(22000.0),
|
||||
lastPrice: fixedpoint.NewFromFloat(22000.0),
|
||||
}
|
||||
|
||||
stopSellOrder := types.SubmitOrder{
|
||||
|
@ -370,7 +370,7 @@ func TestSimplePriceMatching_StopLimitOrderSell(t *testing.T) {
|
|||
assert.Equal(t, types.OrderTypeLimit, closedOrders[0].Type)
|
||||
assert.Equal(t, "20000", closedOrders[0].Price.String(), "limit order price should not be changed")
|
||||
assert.Equal(t, "20990", trades[0].Price.String())
|
||||
assert.Equal(t, "20990", engine.LastPrice.String())
|
||||
assert.Equal(t, "20990", engine.lastPrice.String())
|
||||
|
||||
// place a stop limit sell order with a higher price than the current price
|
||||
stopOrder2 := types.SubmitOrder{
|
||||
|
@ -395,7 +395,7 @@ func TestSimplePriceMatching_StopLimitOrderSell(t *testing.T) {
|
|||
assert.Equal(t, types.OrderStatusFilled, closedOrders[0].Status)
|
||||
assert.Equal(t, types.OrderTypeLimit, closedOrders[0].Type)
|
||||
assert.Equal(t, "21000", trades[0].Price.String(), "trade price should be the kline price not the order price")
|
||||
assert.Equal(t, "21000", engine.LastPrice.String(), "engine last price should be updated correctly")
|
||||
assert.Equal(t, "21000", engine.lastPrice.String(), "engine last price should be updated correctly")
|
||||
}
|
||||
}
|
||||
|
||||
|
@ -403,10 +403,10 @@ func TestSimplePriceMatching_StopMarketOrderSell(t *testing.T) {
|
|||
account := getTestAccount()
|
||||
market := getTestMarket()
|
||||
engine := &SimplePriceMatching{
|
||||
Account: account,
|
||||
account: account,
|
||||
Market: market,
|
||||
closedOrders: make(map[uint64]types.Order),
|
||||
LastPrice: fixedpoint.NewFromFloat(22000.0),
|
||||
lastPrice: fixedpoint.NewFromFloat(22000.0),
|
||||
}
|
||||
|
||||
stopOrder := types.SubmitOrder{
|
||||
|
@ -440,7 +440,7 @@ func TestSimplePriceMatching_PlaceLimitOrder(t *testing.T) {
|
|||
account := getTestAccount()
|
||||
market := getTestMarket()
|
||||
engine := &SimplePriceMatching{
|
||||
Account: account,
|
||||
account: account,
|
||||
Market: market,
|
||||
closedOrders: make(map[uint64]types.Order),
|
||||
}
|
||||
|
@ -540,10 +540,10 @@ func TestSimplePriceMatching_LimitTakerOrder(t *testing.T) {
|
|||
account := getTestAccount()
|
||||
market := getTestMarket()
|
||||
engine := &SimplePriceMatching{
|
||||
Account: account,
|
||||
account: account,
|
||||
Market: market,
|
||||
closedOrders: make(map[uint64]types.Order),
|
||||
LastPrice: fixedpoint.NewFromFloat(20000.0),
|
||||
lastPrice: fixedpoint.NewFromFloat(20000.0),
|
||||
}
|
||||
|
||||
closedOrder, trade, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, 21000.0, 1.0))
|
||||
|
|
Loading…
Reference in New Issue
Block a user