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add unrealized profit

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c9s 2020-08-06 13:27:32 +08:00
parent 887400eb83
commit 1d6b69e406
1 changed files with 13 additions and 12 deletions
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25
bbgo/pnl.go
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@ -75,7 +75,7 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
log.Infof("average bid price = (total amount %f + total feeUSD %f) / volume %f", bidAmount, bidFeeUSD, bidVolume)
profit := 0.0
averageBidPrice := (bidAmount + bidFeeUSD) / bidVolume
averageCost := (bidAmount + bidFeeUSD) / bidVolume
for _, t := range trades {
if t.Symbol != c.Symbol {
@ -86,18 +86,17 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
continue
}
profit += (t.Price - averageBidPrice) * t.Quantity
profit += (t.Price - averageCost) * t.Quantity
askVolume += t.Quantity
}
profit -= feeUSD
unrealizedProfit := profit
stock := bidVolume - askVolume
if stock > 0 {
_ = feeRate
// stockFee := c.CurrentPrice * feeRate * stock
// profit += (c.CurrentPrice-averageBidPrice)*stock - stockFee
// futureFee += stockFee
stockFee := c.CurrentPrice * stock * feeRate
unrealizedProfit += (c.CurrentPrice-averageCost)*stock - stockFee
}
return &ProfitAndLossReport{
@ -111,7 +110,8 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
Stock: stock,
Profit: profit,
AverageBidCost: averageBidPrice,
UnrealizedProfit: unrealizedProfit,
AverageBidCost: averageCost,
FeeUSD: feeUSD,
CurrencyFees: currencyFees,
}
@ -124,6 +124,7 @@ type ProfitAndLossReport struct {
NumTrades int
Profit float64
UnrealizedProfit float64
AverageBidCost float64
BidVolume float64
AskVolume float64
@ -141,6 +142,7 @@ func (report ProfitAndLossReport) Print() {
log.Infof("fee (USD): %f", report.FeeUSD)
log.Infof("current price: %s", USD.FormatMoneyFloat64(report.CurrentPrice))
log.Infof("profit: %s", USD.FormatMoneyFloat64(report.Profit))
log.Infof("unrealized profit: %s", USD.FormatMoneyFloat64(report.UnrealizedProfit))
log.Infof("currency fees:")
for currency, fee := range report.CurrencyFees {
log.Infof(" - %s: %f", currency, fee)
@ -160,8 +162,6 @@ func (report ProfitAndLossReport) SlackAttachment() slack.Attachment {
return slack.Attachment{}
}
_ = market
return slack.Attachment{
Title: "Profit and Loss report of " + report.Symbol,
Color: color,
@ -170,11 +170,12 @@ func (report ProfitAndLossReport) SlackAttachment() slack.Attachment {
Fields: []slack.AttachmentField{
{Title: "Symbol", Value: report.Symbol, Short: true},
{Title: "Profit", Value: USD.FormatMoney(report.Profit), Short: true},
{Title: "Unrealized Profit", Value: USD.FormatMoney(report.UnrealizedProfit), Short: true},
{Title: "Current Price", Value: market.FormatPrice(report.CurrentPrice), Short: true},
{Title: "Average Cost", Value: market.FormatPrice(report.AverageBidCost), Short: true},
{Title: "Fee (USD)", Value: USD.FormatMoney(report.FeeUSD), Short: true},
{Title: "Current Price", Value: USD.FormatMoney(report.CurrentPrice), Short: true},
{Title: "Average Bid Cost", Value: USD.FormatMoney(report.AverageBidCost), Short: true},
{Title: "Number of Trades", Value: strconv.Itoa(report.NumTrades), Short: true},
{Title: "Stock", Value: strconv.FormatFloat(report.Stock, 'f', 8, 64), Short: true},
{Title: "Number of Trades", Value: strconv.Itoa(report.NumTrades), Short: true},
},
Footer: report.StartTime.Format(time.RFC822),
FooterIcon: "",