add position and its tests

pkg/bbgo/position.go

@@ -0,0 +1,41 @@
+package bbgo
+
+import (
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type Position struct {
+	Base        fixedpoint.Value
+	Quote       fixedpoint.Value
+	AverageCost fixedpoint.Value
+}
+
+func (p *Position) AddTrade(t types.Trade) (fixedpoint.Value, bool) {
+	price := fixedpoint.NewFromFloat(t.Price)
+	quantity := fixedpoint.NewFromFloat(t.Quantity)
+
+	switch t.Side {
+
+	case types.SideTypeBuy:
+
+		if p.AverageCost == 0 {
+			p.AverageCost = price
+		} else {
+			p.AverageCost = (p.AverageCost.Mul(p.Base) + price.Mul(quantity)).Div(p.Base + quantity)
+		}
+
+		p.Base += quantity
+		p.Quote -= fixedpoint.NewFromFloat(t.QuoteQuantity)
+
+		return 0, false
+
+	case types.SideTypeSell:
+		p.Base -= quantity
+		p.Quote += fixedpoint.NewFromFloat(t.QuoteQuantity)
+
+		return price - p.AverageCost, true
+	}
+
+	return 0, false
+}

pkg/bbgo/position_test.go

@@ -0,0 +1,33 @@
+package bbgo
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func TestPosition(t *testing.T) {
+	trades := []types.Trade{
+		{
+			Side:     types.SideTypeBuy,
+			Price:    1000.0,
+			Quantity: 0.01,
+		},
+		{
+			Side:     types.SideTypeBuy,
+			Price:    2000.0,
+			Quantity: 0.03,
+		},
+	}
+
+	pos := Position{}
+	for _, trade := range trades {
+		pos.AddTrade(trade)
+	}
+
+	assert.Equal(t, fixedpoint.NewFromFloat(0.04), pos.Base)
+	assert.Equal(t, fixedpoint.NewFromFloat((1000.0*0.01+2000.0*0.03)/0.04), pos.AverageCost)
+}