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Merge pull request #1766 from c9s/c9s/refactor/account-value-calc

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REFACTOR: refactor account value calculator with price solver
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c9s 2024-10-07 17:08:49 +08:00 committed by GitHub
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11 changed files with 415 additions and 271 deletions
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22
doc/topics/price-solver.md Normal file
View File

@ -0,0 +1,22 @@
# Using Price Solver
Price solver is a tool to calculate the price of a market based on the prices of other markets. It is useful when you
want to calculate the price of a market that is not directly available on the exchange.
## Simple Price Solver
Simple price solver is a price solver that calculates the price of a market based on the prices of other markets.
You may add a field to the struct to store the price solver:
priceSolver *pricesolver.SimplePriceSolver
To use the simple price solver, you need to create an instance of `SimplePriceSolver` and bind the market data stream of
the source markets to it.
s.priceSolver = pricesolver.NewSimplePriceResolver(sourceMarkets)
s.priceSolver.BindStream(s.sourceSession.MarketDataStream)
To update the price of the target market, you may call the `UpdatePrice` method of the price solver.
s.priceSolver.Update(symbol, price)

209
pkg/bbgo/risk.go → pkg/bbgo/account_value_calc.go
View File

@ -3,12 +3,12 @@ package bbgo
import (
"context"
"fmt"
"time"
"github.com/pkg/errors"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/pricesolver"
"github.com/c9s/bbgo/pkg/risk"
"github.com/c9s/bbgo/pkg/types"
)
@ -20,25 +20,29 @@ var maxIsolatedMarginLeverage = fixedpoint.NewFromInt(10)
var maxCrossMarginLeverage = fixedpoint.NewFromInt(3)
type AccountValueCalculator struct {
priceSolver *pricesolver.SimplePriceSolver
session *ExchangeSession
quoteCurrency string
prices map[string]fixedpoint.Value
tickers map[string]types.Ticker
updateTime time.Time
}
func NewAccountValueCalculator(session *ExchangeSession, quoteCurrency string) *AccountValueCalculator {
func NewAccountValueCalculator(
session *ExchangeSession,
priceSolver *pricesolver.SimplePriceSolver,
quoteCurrency string,
) *AccountValueCalculator {
return &AccountValueCalculator{
priceSolver: priceSolver,
session: session,
quoteCurrency: quoteCurrency,
prices: make(map[string]fixedpoint.Value),
tickers: make(map[string]types.Ticker),
}
}
// UpdatePrices updates the price index from the existing balances
func (c *AccountValueCalculator) UpdatePrices(ctx context.Context) error {
balances := c.session.Account.Balances()
currencies := balances.Currencies()
markets := c.session.Markets()
var symbols []string
for _, currency := range currencies {
if currency == c.quoteCurrency {
@ -46,116 +50,79 @@ func (c *AccountValueCalculator) UpdatePrices(ctx context.Context) error {
}
symbol := currency + c.quoteCurrency
symbols = append(symbols, symbol)
}
tickers, err := c.session.Exchange.QueryTickers(ctx, symbols...)
if err != nil {
return err
}
c.tickers = tickers
for symbol, ticker := range tickers {
c.prices[symbol] = ticker.Last
if ticker.Time.After(c.updateTime) {
c.updateTime = ticker.Time
reversedSymbol := c.quoteCurrency + currency
if _, ok := markets[symbol]; ok {
symbols = append(symbols, symbol)
} else if _, ok2 := markets[reversedSymbol]; ok2 {
symbols = append(symbols, reversedSymbol)
}
}
return nil
return c.priceSolver.UpdateFromTickers(ctx, c.session.Exchange, symbols...)
}
func (c *AccountValueCalculator) DebtValue(ctx context.Context) (fixedpoint.Value, error) {
debtValue := fixedpoint.Zero
if len(c.prices) == 0 {
if err := c.UpdatePrices(ctx); err != nil {
return debtValue, err
}
}
func (c *AccountValueCalculator) DebtValue() fixedpoint.Value {
balances := c.session.Account.Balances()
for _, b := range balances {
symbol := b.Currency + c.quoteCurrency
price, ok := c.prices[symbol]
if !ok {
continue
}
debtValue = debtValue.Add(b.Debt().Mul(price))
}
return debtValue, nil
return totalValueInQuote(balances, c.priceSolver, c.quoteCurrency, func(
prev fixedpoint.Value, b types.Balance, price fixedpoint.Value,
) fixedpoint.Value {
return prev.Add(b.Debt().Mul(price))
})
}
func (c *AccountValueCalculator) MarketValue(ctx context.Context) (fixedpoint.Value, error) {
marketValue := fixedpoint.Zero
if len(c.prices) == 0 {
if err := c.UpdatePrices(ctx); err != nil {
return marketValue, err
}
}
func (c *AccountValueCalculator) MarketValue() fixedpoint.Value {
balances := c.session.Account.Balances()
for _, b := range balances {
if b.Currency == c.quoteCurrency {
marketValue = marketValue.Add(b.Total())
continue
}
return totalValueInQuote(balances, c.priceSolver, c.quoteCurrency, func(
prev fixedpoint.Value, b types.Balance, price fixedpoint.Value,
) fixedpoint.Value {
return prev.Add(b.Total().Mul(price))
})
symbol := b.Currency + c.quoteCurrency
price, ok := c.prices[symbol]
if !ok {
continue
}
marketValue = marketValue.Add(b.Total().Mul(price))
}
return marketValue, nil
}
func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value, error) {
if len(c.prices) == 0 {
if err := c.UpdatePrices(ctx); err != nil {
return fixedpoint.Zero, err
}
}
func (c *AccountValueCalculator) NetValue() fixedpoint.Value {
balances := c.session.Account.Balances()
accountValue := calculateNetValueInQuote(balances, c.prices, c.quoteCurrency)
return accountValue, nil
return totalValueInQuote(balances, c.priceSolver, c.quoteCurrency, func(
prev fixedpoint.Value, b types.Balance, price fixedpoint.Value,
) fixedpoint.Value {
return prev.Add(b.Net().Mul(price))
})
}
func calculateNetValueInQuote(balances types.BalanceMap, prices types.PriceMap, quoteCurrency string) (accountValue fixedpoint.Value) {
accountValue = fixedpoint.Zero
func totalValueInQuote(
balances types.BalanceMap,
priceSolver *pricesolver.SimplePriceSolver,
quoteCurrency string,
algo func(prev fixedpoint.Value, b types.Balance, price fixedpoint.Value) fixedpoint.Value,
) (totalValue fixedpoint.Value) {
totalValue = fixedpoint.Zero
for _, b := range balances {
if b.Currency == quoteCurrency {
accountValue = accountValue.Add(b.Net())
totalValue = algo(totalValue, b, fixedpoint.One)
continue
}
symbol := b.Currency + quoteCurrency // for BTC/USDT, ETH/USDT pairs
symbolReverse := quoteCurrency + b.Currency // for USDT/USDC or USDT/TWD pairs
if price, ok := prices[symbol]; ok {
accountValue = accountValue.Add(b.Net().Mul(price))
} else if priceReverse, ok2 := prices[symbolReverse]; ok2 {
accountValue = accountValue.Add(b.Net().Div(priceReverse))
} else if price, ok := priceSolver.ResolvePrice(b.Currency, quoteCurrency); ok {
totalValue = algo(totalValue, b, price)
}
}
return accountValue
return totalValue
}
func (c *AccountValueCalculator) AvailableQuote(ctx context.Context) (fixedpoint.Value, error) {
accountValue := fixedpoint.Zero
func calculateNetValueInQuote(
balances types.BalanceMap,
priceSolver *pricesolver.SimplePriceSolver,
quoteCurrency string,
) fixedpoint.Value {
return totalValueInQuote(balances, priceSolver, quoteCurrency, func(
prev fixedpoint.Value, b types.Balance, price fixedpoint.Value,
) fixedpoint.Value {
return prev.Add(b.Net().Mul(price))
})
}
if len(c.prices) == 0 {
if err := c.UpdatePrices(ctx); err != nil {
return accountValue, err
}
}
func (c *AccountValueCalculator) AvailableQuote() (fixedpoint.Value, error) {
accountValue := fixedpoint.Zero
balances := c.session.Account.Balances()
for _, b := range balances {
@ -164,13 +131,9 @@ func (c *AccountValueCalculator) AvailableQuote(ctx context.Context) (fixedpoint
continue
}
symbol := b.Currency + c.quoteCurrency
price, ok := c.prices[symbol]
if !ok {
continue
if price, ok := c.priceSolver.ResolvePrice(b.Currency, c.quoteCurrency); ok {
accountValue = accountValue.Add(b.Net().Mul(price))
}
accountValue = accountValue.Add(b.Net().Mul(price))
}
return accountValue, nil
@ -178,20 +141,15 @@ func (c *AccountValueCalculator) AvailableQuote(ctx context.Context) (fixedpoint
// MarginLevel calculates the margin level from the asset market value and the debt value
// See https://www.binance.com/en/support/faq/360030493931
func (c *AccountValueCalculator) MarginLevel(ctx context.Context) (fixedpoint.Value, error) {
marginLevel := fixedpoint.Zero
marketValue, err := c.MarketValue(ctx)
if err != nil {
return marginLevel, err
func (c *AccountValueCalculator) MarginLevel() (fixedpoint.Value, error) {
marketValue := c.MarketValue()
debtValue := c.DebtValue()
if marketValue.IsZero() || debtValue.IsZero() {
return fixedpoint.NewFromFloat(999.0), nil
}
debtValue, err := c.DebtValue(ctx)
if err != nil {
return marginLevel, err
}
marginLevel = marketValue.Div(debtValue)
return marginLevel, nil
return marketValue.Div(debtValue), nil
}
func aggregateUsdNetValue(balances types.BalanceMap) fixedpoint.Value {
@ -220,7 +178,9 @@ func usdFiatBalances(balances types.BalanceMap) (fiats types.BalanceMap, rest ty
return fiats, rest
}
func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
func CalculateBaseQuantity(
session *ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value,
) (fixedpoint.Value, error) {
// default leverage guard
if leverage.IsZero() {
leverage = defaultLeverage
@ -249,17 +209,18 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
usdBalances, restBalances := usdFiatBalances(balances)
// for isolated margin we can calculate from these two pair
// for isolated margin, we can calculate from these two pair
totalUsdValue := fixedpoint.Zero
if len(restBalances) == 1 && types.IsUSDFiatCurrency(market.QuoteCurrency) {
totalUsdValue = aggregateUsdNetValue(balances)
} else if len(restBalances) > 1 {
accountValue := NewAccountValueCalculator(session, "USDT")
netValue, err := accountValue.NetValue(context.Background())
if err != nil {
return quantity, err
priceSolver := pricesolver.NewSimplePriceResolver(session.Markets())
accountValue := NewAccountValueCalculator(session, priceSolver, "USDT")
if err := accountValue.UpdatePrices(context.Background()); err != nil {
return fixedpoint.Zero, err
}
netValue := accountValue.NetValue()
totalUsdValue = netValue
} else {
// TODO: translate quote currency like BTC of ETH/BTC to usd value
@ -329,7 +290,9 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
errors.New("quantity is zero, can not submit sell order, please check your settings"))
}
func CalculateQuoteQuantity(ctx context.Context, session *ExchangeSession, quoteCurrency string, leverage fixedpoint.Value) (fixedpoint.Value, error) {
func CalculateQuoteQuantity(
ctx context.Context, session *ExchangeSession, quoteCurrency string, leverage fixedpoint.Value,
) (fixedpoint.Value, error) {
// default leverage guard
if leverage.IsZero() {
leverage = defaultLeverage
@ -359,8 +322,14 @@ func CalculateQuoteQuantity(ctx context.Context, session *ExchangeSession, quote
}
// using leverage -- starts from here
accountValue := NewAccountValueCalculator(session, quoteCurrency)
availableQuote, err := accountValue.AvailableQuote(ctx)
priceSolver := pricesolver.NewSimplePriceResolver(session.Markets())
accountValue := NewAccountValueCalculator(session, priceSolver, quoteCurrency)
if err := accountValue.UpdatePrices(ctx); err != nil {
return fixedpoint.Zero, err
}
availableQuote, err := accountValue.AvailableQuote()
if err != nil {
log.WithError(err).Errorf("can not update available quote")
return fixedpoint.Zero, err

182
pkg/bbgo/risk_test.go → pkg/bbgo/account_value_calc_test.go
View File

@ -3,41 +3,30 @@ package bbgo
import (
"context"
"testing"
"time"
"github.com/stretchr/testify/assert"
"go.uber.org/mock/gomock"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/pricesolver"
. "github.com/c9s/bbgo/pkg/testing/testhelper"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/types/mocks"
)
func newTestTicker() types.Ticker {
return types.Ticker{
Time: time.Now(),
Volume: fixedpoint.Zero,
Last: fixedpoint.NewFromFloat(19000.0),
Open: fixedpoint.NewFromFloat(19500.0),
High: fixedpoint.NewFromFloat(19900.0),
Low: fixedpoint.NewFromFloat(18800.0),
Buy: fixedpoint.NewFromFloat(19500.0),
Sell: fixedpoint.NewFromFloat(18900.0),
}
}
func TestAccountValueCalculator_NetValue(t *testing.T) {
symbol := "BTCUSDT"
markets := AllMarkets()
t.Run("borrow and available", func(t *testing.T) {
mockCtrl := gomock.NewController(t)
defer mockCtrl.Finish()
ticker := Ticker(symbol)
mockEx := mocks.NewMockExchange(mockCtrl)
// for market data stream and user data stream
mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
mockEx.EXPECT().QueryTickers(gomock.Any(), []string{"BTCUSDT"}).Return(map[string]types.Ticker{
"BTCUSDT": newTestTicker(),
}, nil)
mockEx.EXPECT().QueryTicker(gomock.Any(), symbol).Return(&ticker, nil).AnyTimes()
session := NewExchangeSession("test", mockEx)
session.Account.UpdateBalances(types.BalanceMap{
@ -60,12 +49,12 @@ func TestAccountValueCalculator_NetValue(t *testing.T) {
})
assert.NotNil(t, session)
cal := NewAccountValueCalculator(session, "USDT")
assert.NotNil(t, cal)
priceSolver := pricesolver.NewSimplePriceResolver(markets)
priceSolver.Update(symbol, ticker.GetValidPrice())
ctx := context.Background()
netValue, err := cal.NetValue(ctx)
assert.NoError(t, err)
cal := NewAccountValueCalculator(session, priceSolver, "USDT")
netValue := cal.NetValue()
assert.Equal(t, "20000", netValue.String())
})
@ -73,12 +62,12 @@ func TestAccountValueCalculator_NetValue(t *testing.T) {
mockCtrl := gomock.NewController(t)
defer mockCtrl.Finish()
ticker := Ticker(symbol)
mockEx := mocks.NewMockExchange(mockCtrl)
// for market data stream and user data stream
mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
mockEx.EXPECT().QueryTickers(gomock.Any(), []string{"BTCUSDT"}).Return(map[string]types.Ticker{
"BTCUSDT": newTestTicker(),
}, nil)
mockEx.EXPECT().QueryTicker(gomock.Any(), symbol).Return(&ticker, nil).AnyTimes()
session := NewExchangeSession("test", mockEx)
session.Account.UpdateBalances(types.BalanceMap{
@ -99,14 +88,12 @@ func TestAccountValueCalculator_NetValue(t *testing.T) {
NetAsset: fixedpoint.Zero,
},
})
assert.NotNil(t, session)
cal := NewAccountValueCalculator(session, "USDT")
assert.NotNil(t, cal)
priceSolver := pricesolver.NewSimplePriceResolver(markets)
priceSolver.Update(symbol, ticker.GetValidPrice())
ctx := context.Background()
netValue, err := cal.NetValue(ctx)
assert.NoError(t, err)
cal := NewAccountValueCalculator(session, priceSolver, "USDT")
netValue := cal.NetValue()
assert.Equal(t, "2000", netValue.String()) // 21000-19000
})
}
@ -115,12 +102,13 @@ func TestNewAccountValueCalculator_MarginLevel(t *testing.T) {
mockCtrl := gomock.NewController(t)
defer mockCtrl.Finish()
symbol := "BTCUSDT"
ticker := Ticker(symbol)
mockEx := mocks.NewMockExchange(mockCtrl)
// for market data stream and user data stream
mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
mockEx.EXPECT().QueryTickers(gomock.Any(), []string{"BTCUSDT"}).Return(map[string]types.Ticker{
"BTCUSDT": newTestTicker(),
}, nil)
mockEx.EXPECT().QueryTicker(gomock.Any(), symbol).Return(&ticker, nil).AnyTimes()
session := NewExchangeSession("test", mockEx)
session.Account.UpdateBalances(types.BalanceMap{
@ -132,22 +120,20 @@ func TestNewAccountValueCalculator_MarginLevel(t *testing.T) {
Interest: fixedpoint.NewFromFloat(0.003),
NetAsset: fixedpoint.Zero,
},
"USDT": {
Currency: "USDT",
Available: fixedpoint.NewFromFloat(21000.0),
Locked: fixedpoint.Zero,
Borrowed: fixedpoint.Zero,
Interest: fixedpoint.Zero,
NetAsset: fixedpoint.Zero,
},
"USDT": Balance("USDT", Number(21000.0)),
})
assert.NotNil(t, session)
cal := NewAccountValueCalculator(session, "USDT")
ctx := context.Background()
markets := AllMarkets()
priceSolver := pricesolver.NewSimplePriceResolver(markets)
err := priceSolver.UpdateFromTickers(ctx, mockEx, symbol)
assert.NoError(t, err)
cal := NewAccountValueCalculator(session, priceSolver, "USDT")
assert.NotNil(t, cal)
ctx := context.Background()
marginLevel, err := cal.MarginLevel(ctx)
marginLevel, err := cal.MarginLevel()
assert.NoError(t, err)
// expected (21000 / 19000 * 1.003)
@ -172,14 +158,13 @@ func Test_aggregateUsdValue(t *testing.T) {
{
name: "mixed",
args: args{
balances: types.BalanceMap{
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
},
balances: BalancesFromText(`
USDC, 150.0
USDT, 100.0
BTC, 0.01
`),
},
want: number(250.0),
want: Number(250.0),
},
}
for _, tt := range tests {
@ -201,21 +186,19 @@ func Test_usdFiatBalances(t *testing.T) {
}{
{
args: args{
balances: types.BalanceMap{
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
},
},
wantFiats: types.BalanceMap{
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
},
wantRest: types.BalanceMap{
"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
balances: BalancesFromText(`
USDC, 150.0
USDT, 100.0
BTC, 0.01
`),
},
wantFiats: BalancesFromText(`
USDC, 150.0
USDT, 100.0
`),
wantRest: BalancesFromText(`
BTC, 0.01
`),
},
}
for _, tt := range tests {
@ -242,52 +225,46 @@ func Test_calculateNetValueInQuote(t *testing.T) {
name: "positive asset",
args: args{
balances: types.BalanceMap{
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
"USDC": types.Balance{Currency: "USDC", Available: number(70.0 + 80.0)},
"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
},
prices: types.PriceMap{
"USDCUSDT": number(1.0),
"BUSDUSDT": number(1.0),
"BTCUSDT": number(19000.0),
"USDCUSDT": Number(1.0),
"BTCUSDT": Number(19000.0),
},
quoteCurrency: "USDT",
},
wantAccountValue: number(19000.0*0.01 + 100.0 + 80.0 + 70.0),
wantAccountValue: Number(19000.0*0.01 + 100.0 + 80.0 + 70.0),
},
{
name: "reversed usdt price",
args: args{
balances: types.BalanceMap{
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
"TWD": types.Balance{Currency: "TWD", Available: number(3000.0)},
"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
"USDC": types.Balance{Currency: "USDC", Available: Number(70.0 + 80.0)},
"TWD": types.Balance{Currency: "TWD", Available: Number(3000.0)},
"USDT": types.Balance{Currency: "USDT", Available: Number(100.0)},
"BTC": types.Balance{Currency: "BTC", Available: Number(0.01)},
},
prices: types.PriceMap{
"USDTTWD": number(30.0),
"USDCUSDT": number(1.0),
"BUSDUSDT": number(1.0),
"BTCUSDT": number(19000.0),
"USDTTWD": Number(30.0),
"USDCUSDT": Number(1.0),
"BTCUSDT": Number(19000.0),
},
quoteCurrency: "USDT",
},
wantAccountValue: number(19000.0*0.01 + 100.0 + 80.0 + 70.0 + (3000.0 / 30.0)),
wantAccountValue: Number(19000.0*0.01 + 100.0 + 80.0 + 70.0 + (3000.0 / 30.0)),
},
{
name: "borrow base asset",
args: args{
balances: types.BalanceMap{
"USDT": types.Balance{Currency: "USDT", Available: number(20000.0 * 2)},
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
"BTC": types.Balance{Currency: "BTC", Available: number(0), Borrowed: number(2.0)},
"USDT": types.Balance{Currency: "USDT", Available: Number(20000.0*2 + 80.0)},
"USDC": types.Balance{Currency: "USDC", Available: Number(70.0)},
"BTC": types.Balance{Currency: "BTC", Available: Number(0), Borrowed: Number(2.0)},
},
prices: types.PriceMap{
"USDCUSDT": number(1.0),
"BUSDUSDT": number(1.0),
"BTCUSDT": number(19000.0),
},
quoteCurrency: "USDT",
@ -298,26 +275,35 @@ func Test_calculateNetValueInQuote(t *testing.T) {
name: "multi base asset",
args: args{
balances: types.BalanceMap{
"USDT": types.Balance{Currency: "USDT", Available: number(20000.0 * 2)},
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
"ETH": types.Balance{Currency: "ETH", Available: number(10.0)},
"BTC": types.Balance{Currency: "BTC", Available: number(0), Borrowed: number(2.0)},
"USDT": types.Balance{Currency: "USDT", Available: Number(20000.0*2 + 80.0)},
"USDC": types.Balance{Currency: "USDC", Available: Number(70.0)},
"ETH": types.Balance{Currency: "ETH", Available: Number(10.0)},
"BTC": types.Balance{Currency: "BTC", Available: Number(0), Borrowed: Number(2.0)},
},
prices: types.PriceMap{
"USDCUSDT": number(1.0),
"BUSDUSDT": number(1.0),
"ETHUSDT": number(1700.0),
"BTCUSDT": number(19000.0),
"USDCUSDT": Number(1.0),
"BTCUSDT": Number(19000.0),
"ETHUSDT": Number(1700.0),
},
quoteCurrency: "USDT",
},
wantAccountValue: number(19000.0*-2.0 + 1700.0*10.0 + 20000.0*2 + 80.0 + 70.0),
wantAccountValue: Number(19000.0*-2.0 + 1700.0*10.0 + 20000.0*2 + 80.0 + 70.0),
},
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
assert.Equalf(t, tt.wantAccountValue, calculateNetValueInQuote(tt.args.balances, tt.args.prices, tt.args.quoteCurrency), "calculateNetValueInQuote(%v, %v, %v)", tt.args.balances, tt.args.prices, tt.args.quoteCurrency)
markets := AllMarkets()
priceSolver := pricesolver.NewSimplePriceResolver(markets)
for symbol, price := range tt.args.prices {
priceSolver.Update(symbol, price)
}
assert.InDeltaf(t,
tt.wantAccountValue.Float64(),
calculateNetValueInQuote(tt.args.balances, priceSolver, tt.args.quoteCurrency).Float64(),
0.01,
"calculateNetValueInQuote(%v, %v, %v)", tt.args.balances, tt.args.prices, tt.args.quoteCurrency)
})
}
}

15
pkg/pricesolver/simple.go
View File

@ -78,6 +78,12 @@ func (m *SimplePriceSolver) BindStream(stream types.Stream) {
func (m *SimplePriceSolver) UpdateFromTickers(ctx context.Context, ex types.Exchange, symbols ...string) error {
for _, symbol := range symbols {
// only query the ticker for the symbol that is in the market map
_, ok := m.markets[symbol]
if !ok {
continue
}
ticker, err := ex.QueryTicker(ctx, symbol)
if err != nil {
return err
@ -93,7 +99,6 @@ func (m *SimplePriceSolver) UpdateFromTickers(ctx context.Context, ex types.Exch
}
func (m *SimplePriceSolver) inferencePrice(asset string, assetPrice fixedpoint.Value, preferredFiats ...string) (fixedpoint.Value, bool) {
// log.Infof("inferencePrice %s = %f", asset, assetPrice.Float64())
quotePrices, ok := m.pricesByBase[asset]
if ok {
for quote, price := range quotePrices {
@ -116,10 +121,8 @@ func (m *SimplePriceSolver) inferencePrice(asset string, assetPrice fixedpoint.V
basePrices, ok := m.pricesByQuote[asset]
if ok {
for base, basePrice := range basePrices {
// log.Infof("base %s @ %s", base, basePrice.String())
for _, fiat := range preferredFiats {
if base == fiat {
// log.Infof("ret %f / %f = %f", assetPrice.Float64(), basePrice.Float64(), assetPrice.Div(basePrice).Float64())
return assetPrice.Div(basePrice), true
}
}
@ -136,6 +139,12 @@ func (m *SimplePriceSolver) inferencePrice(asset string, assetPrice fixedpoint.V
}
func (m *SimplePriceSolver) ResolvePrice(asset string, preferredFiats ...string) (fixedpoint.Value, bool) {
if len(preferredFiats) == 0 {
return fixedpoint.Zero, false
} else if asset == preferredFiats[0] {
return fixedpoint.One, true
}
m.mu.Lock()
defer m.mu.Unlock()
return m.inferencePrice(asset, fixedpoint.One, preferredFiats...)

15
pkg/strategy/harmonic/strategy.go
View File

@ -6,13 +6,15 @@ import (
"os"
"sync"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/data/tsv"
"github.com/c9s/bbgo/pkg/datatype/floats"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/pricesolver"
"github.com/c9s/bbgo/pkg/types"
"github.com/sirupsen/logrus"
)
const ID = "harmonic"
@ -29,7 +31,7 @@ type Strategy struct {
Market types.Market
types.IntervalWindow
//bbgo.OpenPositionOptions
// bbgo.OpenPositionOptions
// persistence fields
Position *types.Position `persistence:"position"`
@ -239,7 +241,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// Cancel active orders
_ = s.orderExecutor.GracefulCancel(ctx)
// Close 100% position
//_ = s.ClosePosition(ctx, fixedpoint.One)
// _ = s.ClosePosition(ctx, fixedpoint.One)
})
s.session = session
@ -258,7 +260,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.orderExecutor.BindTradeStats(s.TradeStats)
// AccountValueCalculator
s.AccountValueCalculator = bbgo.NewAccountValueCalculator(s.session, s.Market.QuoteCurrency)
priceSolver := pricesolver.NewSimplePriceResolver(session.Markets())
priceSolver.BindStream(s.session.MarketDataStream)
s.AccountValueCalculator = bbgo.NewAccountValueCalculator(s.session, priceSolver, s.Market.QuoteCurrency)
if err := s.AccountValueCalculator.UpdatePrices(ctx); err != nil {
return err
}
// Accumulated profit report
if bbgo.IsBackTesting {

9
pkg/strategy/irr/strategy.go
View File

@ -11,6 +11,7 @@ import (
"github.com/c9s/bbgo/pkg/datatype/floats"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/pricesolver"
"github.com/c9s/bbgo/pkg/types"
"github.com/sirupsen/logrus"
@ -255,7 +256,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.orderExecutor.BindTradeStats(s.TradeStats)
// AccountValueCalculator
s.AccountValueCalculator = bbgo.NewAccountValueCalculator(s.session, s.Market.QuoteCurrency)
priceSolver := pricesolver.NewSimplePriceResolver(session.Markets())
priceSolver.BindStream(session.MarketDataStream)
s.AccountValueCalculator = bbgo.NewAccountValueCalculator(s.session, priceSolver, s.Market.QuoteCurrency)
if err := s.AccountValueCalculator.UpdatePrices(ctx); err != nil {
return err
}
// Accumulated profit report
if bbgo.IsBackTesting {

13
pkg/strategy/supertrend/strategy.go
View File

@ -11,6 +11,7 @@ import (
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/datatype/floats"
"github.com/c9s/bbgo/pkg/pricesolver"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
@ -255,7 +256,9 @@ func (s *Strategy) getSide(stSignal types.Direction, demaSignal types.Direction,
return side
}
func (s *Strategy) generateOrderForm(side types.SideType, quantity fixedpoint.Value, marginOrderSideEffect types.MarginOrderSideEffectType) types.SubmitOrder {
func (s *Strategy) generateOrderForm(
side types.SideType, quantity fixedpoint.Value, marginOrderSideEffect types.MarginOrderSideEffectType,
) types.SubmitOrder {
orderForm := types.SubmitOrder{
Symbol: s.Symbol,
Market: s.Market,
@ -381,8 +384,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.ProfitStatsTracker.Bind(s.session, s.orderExecutor.TradeCollector())
}
priceSolver := pricesolver.NewSimplePriceResolver(session.Markets())
priceSolver.BindStream(session.MarketDataStream)
// AccountValueCalculator
s.AccountValueCalculator = bbgo.NewAccountValueCalculator(s.session, s.Market.QuoteCurrency)
s.AccountValueCalculator = bbgo.NewAccountValueCalculator(s.session, priceSolver, s.Market.QuoteCurrency)
if err := s.AccountValueCalculator.UpdatePrices(ctx); err != nil {
return err
}
// For drawing
profitSlice := floats.Slice{1., 1.}

85
pkg/strategy/xmaker/strategy.go
View File

@ -187,6 +187,8 @@ type Strategy struct {
logger logrus.FieldLogger
metricsLabels prometheus.Labels
connectivityGroup *types.ConnectivityGroup
}
func (s *Strategy) ID() string {
@ -654,40 +656,37 @@ func (s *Strategy) updateQuote(ctx context.Context) error {
hedgeAccount.MarginLevel.String(),
s.MinMarginLevel.String())
netValueInUsd, calcErr := s.accountValueCalculator.NetValue(ctx)
if calcErr != nil {
s.logger.WithError(calcErr).Errorf("unable to calculate the net value")
} else {
// calculate credit buffer
s.logger.Infof("hedge account net value in usd: %f", netValueInUsd.Float64())
netValueInUsd := s.accountValueCalculator.NetValue()
maximumValueInUsd := netValueInUsd.Mul(s.MaxHedgeAccountLeverage)
// calculate credit buffer
s.logger.Infof("hedge account net value in usd: %f", netValueInUsd.Float64())
s.logger.Infof("hedge account maximum leveraged value in usd: %f (%f x)", maximumValueInUsd.Float64(), s.MaxHedgeAccountLeverage.Float64())
maximumValueInUsd := netValueInUsd.Mul(s.MaxHedgeAccountLeverage)
if quote, ok := hedgeAccount.Balance(s.sourceMarket.QuoteCurrency); ok {
debt := quote.Debt()
quota := maximumValueInUsd.Sub(debt)
s.logger.Infof("hedge account maximum leveraged value in usd: %f (%f x)", maximumValueInUsd.Float64(), s.MaxHedgeAccountLeverage.Float64())
s.logger.Infof("hedge account quote balance: %s, debt: %s, quota: %s",
quote.String(),
debt.String(),
quota.String())
if quote, ok := hedgeAccount.Balance(s.sourceMarket.QuoteCurrency); ok {
debt := quote.Debt()
quota := maximumValueInUsd.Sub(debt)
hedgeQuota.QuoteAsset.Add(quota)
}
s.logger.Infof("hedge account quote balance: %s, debt: %s, quota: %s",
quote.String(),
debt.String(),
quota.String())
if base, ok := hedgeAccount.Balance(s.sourceMarket.BaseCurrency); ok {
debt := base.Debt()
quota := maximumValueInUsd.Div(bestAsk.Price).Sub(debt)
hedgeQuota.QuoteAsset.Add(quota)
}
s.logger.Infof("hedge account base balance: %s, debt: %s, quota: %s",
base.String(),
debt.String(),
quota.String())
if base, ok := hedgeAccount.Balance(s.sourceMarket.BaseCurrency); ok {
debt := base.Debt()
quota := maximumValueInUsd.Div(bestAsk.Price).Sub(debt)
hedgeQuota.BaseAsset.Add(quota)
}
s.logger.Infof("hedge account base balance: %s, debt: %s, quota: %s",
base.String(),
debt.String(),
quota.String())
hedgeQuota.BaseAsset.Add(quota)
}
}
} else {
@ -1336,12 +1335,7 @@ func (s *Strategy) accountUpdater(ctx context.Context) {
return
}
netValue, err := s.accountValueCalculator.NetValue(ctx)
if err != nil {
log.WithError(err).Errorf("unable to update account")
return
}
netValue := s.accountValueCalculator.NetValue()
s.logger.Infof("hedge session net value ~= %f USD", netValue.Float64())
}
}
@ -1433,8 +1427,6 @@ func (s *Strategy) CrossRun(
return fmt.Errorf("maker session market %s is not defined", s.Symbol)
}
s.accountValueCalculator = bbgo.NewAccountValueCalculator(s.sourceSession, s.sourceMarket.QuoteCurrency)
indicators := s.sourceSession.Indicators(s.Symbol)
s.boll = indicators.BOLL(types.IntervalWindow{
@ -1494,6 +1486,11 @@ func (s *Strategy) CrossRun(
s.priceSolver = pricesolver.NewSimplePriceResolver(sourceMarkets)
s.priceSolver.BindStream(s.sourceSession.MarketDataStream)
s.accountValueCalculator = bbgo.NewAccountValueCalculator(s.sourceSession, s.priceSolver, s.sourceMarket.QuoteCurrency)
if err := s.accountValueCalculator.UpdatePrices(ctx); err != nil {
return err
}
s.sourceSession.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(k types.KLine) {
s.priceSolver.Update(k.Symbol, k.Close)
feeToken := s.sourceSession.Exchange.PlatformFeeCurrency()
@ -1636,13 +1633,27 @@ func (s *Strategy) CrossRun(
s.stopC = make(chan struct{})
sourceConnectivity := types.NewConnectivity()
sourceConnectivity.Bind(s.sourceSession.UserDataStream)
s.connectivityGroup = types.NewConnectivityGroup(sourceConnectivity)
if s.RecoverTrade {
go s.tradeRecover(ctx)
}
go s.accountUpdater(ctx)
go s.hedgeWorker(ctx)
go s.quoteWorker(ctx)
go func() {
select {
case <-ctx.Done():
case <-s.connectivityGroup.AllAuthedC(ctx, 15*time.Second):
}
s.logger.Infof("all user data streams are connected, starting workers...")
go s.accountUpdater(ctx)
go s.hedgeWorker(ctx)
go s.quoteWorker(ctx)
}()
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
// the ctx here is the shutdown context (not the strategy context)

43
pkg/testing/testhelper/balance.go Normal file
View File

@ -0,0 +1,43 @@
package testhelper
import (
"strings"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
func BalancesFromText(str string) types.BalanceMap {
balances := make(types.BalanceMap)
lines := strings.Split(str, "\n")
for _, line := range lines {
line = strings.TrimSpace(line)
if len(line) == 0 {
continue
}
cols := strings.SplitN(line, ",", 2)
if len(cols) < 2 {
panic("column length should be 2")
}
currency := strings.TrimSpace(cols[0])
available := fixedpoint.MustNewFromString(strings.TrimSpace(cols[1]))
balances[currency] = Balance(currency, available)
}
return balances
}
// Balance returns a balance object with the given currency and available amount
func Balance(currency string, available fixedpoint.Value) types.Balance {
return types.Balance{
Currency: currency,
Available: available,
Locked: fixedpoint.Zero,
Borrowed: fixedpoint.Zero,
Interest: fixedpoint.Zero,
NetAsset: fixedpoint.Zero,
MaxWithdrawAmount: fixedpoint.Zero,
}
}

40
pkg/testing/testhelper/market.go
View File

@ -7,36 +7,64 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
var markets = map[string]types.Market{
var _markets = types.MarketMap{
"BTCUSDT": {
Symbol: "BTCUSDT",
PricePrecision: 2,
VolumePrecision: 8,
QuoteCurrency: "USDT",
BaseCurrency: "BTC",
MinNotional: fixedpoint.MustNewFromString("0.001"),
MinNotional: fixedpoint.MustNewFromString("10.0"),
MinAmount: fixedpoint.MustNewFromString("10.0"),
MinQuantity: fixedpoint.MustNewFromString("0.001"),
TickSize: fixedpoint.MustNewFromString("0.01"),
},
"ETHUSDT": {
Symbol: "ETH",
Symbol: "ETHUSDT",
PricePrecision: 2,
VolumePrecision: 8,
QuoteCurrency: "USDT",
BaseCurrency: "ETH",
MinNotional: fixedpoint.MustNewFromString("0.005"),
MinNotional: fixedpoint.MustNewFromString("10.0"),
MinAmount: fixedpoint.MustNewFromString("10.0"),
MinQuantity: fixedpoint.MustNewFromString("0.001"),
TickSize: fixedpoint.MustNewFromString("0.01"),
},
"USDCUSDT": {
Symbol: "USDCUSDT",
PricePrecision: 5,
VolumePrecision: 2,
QuoteCurrency: "USDT",
BaseCurrency: "USDC",
MinNotional: fixedpoint.MustNewFromString("10.0"),
MinAmount: fixedpoint.MustNewFromString("10.0"),
MinQuantity: fixedpoint.MustNewFromString("10.0"),
TickSize: fixedpoint.MustNewFromString("0.0001"),
},
"USDTTWD": {
Symbol: "USDTTWD",
PricePrecision: 2,
VolumePrecision: 1,
QuoteCurrency: "TWD",
BaseCurrency: "USDT",
MinNotional: fixedpoint.MustNewFromString("10.0"),
MinAmount: fixedpoint.MustNewFromString("10.0"),
MinQuantity: fixedpoint.MustNewFromString("10.0"),
TickSize: fixedpoint.MustNewFromString("0.01"),
},
}
func AllMarkets() types.MarketMap {
return _markets
}
func Market(symbol string) types.Market {
market, ok := markets[symbol]
market, ok := _markets[symbol]
if !ok {
panic(fmt.Errorf("%s market not found, valid markets: %+v", symbol, markets))
panic(fmt.Errorf("%s test market not found, valid markets: %+v", symbol, _markets))
}
return market

53
pkg/testing/testhelper/ticker.go Normal file
View File

@ -0,0 +1,53 @@
package testhelper
import (
"fmt"
"time"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
var _tickers = map[string]types.Ticker{
"BTCUSDT": {
Time: time.Now(),
Volume: fixedpoint.Zero,
Last: fixedpoint.NewFromFloat(19000.0),
Open: fixedpoint.NewFromFloat(19500.0),
High: fixedpoint.NewFromFloat(19900.0),
Low: fixedpoint.NewFromFloat(18800.0),
Buy: fixedpoint.NewFromFloat(19500.0),
Sell: fixedpoint.NewFromFloat(18900.0),
},
"ETHUSDT": {
Time: time.Now(),
Volume: fixedpoint.Zero,
Open: fixedpoint.NewFromFloat(2510.0),
High: fixedpoint.NewFromFloat(2530.0),
Low: fixedpoint.NewFromFloat(2505.0),
Last: fixedpoint.NewFromFloat(2520.0),
Buy: fixedpoint.NewFromFloat(2519.0),
Sell: fixedpoint.NewFromFloat(2521.0),
},
"USDTTWD": {
Time: time.Now(),
Volume: fixedpoint.Zero,
Open: fixedpoint.NewFromFloat(32.1),
High: fixedpoint.NewFromFloat(32.31),
Low: fixedpoint.NewFromFloat(32.01),
Last: fixedpoint.NewFromFloat(32.0),
Buy: fixedpoint.NewFromFloat(32.0),
Sell: fixedpoint.NewFromFloat(32.01),
},
}
func Ticker(symbol string) types.Ticker {
ticker, ok := _tickers[symbol]
if !ok {
panic(fmt.Errorf("%s test ticker not found, valid tickers: %+v", symbol, []string{"BTCUSDT", "ETHUSDT", "USDTTWD"}))
}
return ticker
}