mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-21 00:31:10 +00:00
add position and its tests
This commit is contained in:
parent
42811e8157
commit
34148948ab
41
pkg/bbgo/position.go
Normal file
41
pkg/bbgo/position.go
Normal file
|
@ -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
|
||||
}
|
33
pkg/bbgo/position_test.go
Normal file
33
pkg/bbgo/position_test.go
Normal file
|
@ -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)
|
||||
}
|
Loading…
Reference in New Issue
Block a user