mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
refactor balance, asset and remove price cache check
This commit is contained in:
c9s
parent
f33e8a3de2
commit
36c764efa9
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@ -649,9 +649,10 @@ func (session *ExchangeSession) FormatOrder(order types.SubmitOrder) (types.Subm
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}
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}
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func (session *ExchangeSession) UpdatePrices(ctx context.Context, currencies []string, fiat string) (err error) {
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func (session *ExchangeSession) UpdatePrices(ctx context.Context, currencies []string, fiat string) (err error) {
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if session.lastPriceUpdatedAt.After(time.Now().Add(-time.Hour)) {
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// TODO: move this cache check to the http routes
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return nil
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// if session.lastPriceUpdatedAt.After(time.Now().Add(-time.Hour)) {
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}
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// return nil
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// }
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var symbols []string
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var symbols []string
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for _, c := range currencies {
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for _, c := range currencies {
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@ -78,7 +78,6 @@ var Ten = fixedpoint.NewFromInt(10)
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func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {}
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func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {}
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func (s *Strategy) recordNetAssetValue(ctx context.Context, sessions map[string]*bbgo.ExchangeSession) {
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func (s *Strategy) recordNetAssetValue(ctx context.Context, sessions map[string]*bbgo.ExchangeSession) {
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totalAssets := types.AssetMap{}
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totalBalances := types.BalanceMap{}
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totalBalances := types.BalanceMap{}
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allPrices := map[string]fixedpoint.Value{}
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allPrices := map[string]fixedpoint.Value{}
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sessionBalances := map[string]types.BalanceMap{}
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sessionBalances := map[string]types.BalanceMap{}
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@ -113,19 +112,20 @@ func (s *Strategy) recordNetAssetValue(ctx context.Context, sessions map[string]
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s.Environment.RecordAsset(priceTime, session, assets)
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s.Environment.RecordAsset(priceTime, session, assets)
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}
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}
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allAssets := totalBalances.Assets(allPrices, priceTime)
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displayAssets := types.AssetMap{}
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for currency, asset := range allAssets {
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totalAssets := totalBalances.Assets(allPrices, priceTime)
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s.Environment.RecordAsset(priceTime, &bbgo.ExchangeSession{Name: "ALL"}, totalAssets)
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for currency, asset := range totalAssets {
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// calculated if it's dust only when InUSD (usd value) is defined.
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// calculated if it's dust only when InUSD (usd value) is defined.
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if s.IgnoreDusts && !asset.InUSD.IsZero() && asset.InUSD.Compare(Ten) < 0 {
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if s.IgnoreDusts && !asset.InUSD.IsZero() && asset.InUSD.Compare(Ten) < 0 {
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continue
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continue
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}
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}
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totalAssets[currency] = asset
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displayAssets[currency] = asset
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}
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}
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s.Environment.RecordAsset(priceTime, &bbgo.ExchangeSession{Name: "ALL"}, totalAssets)
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s.Notifiability.Notify(displayAssets)
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s.Notifiability.Notify(totalAssets)
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if s.state != nil {
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if s.state != nil {
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if s.state.IsOver24Hours() {
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if s.state.IsOver24Hours() {
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@ -196,7 +196,7 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
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}
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}
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// TODO: if interval is supported, we can use kline as the ticker
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// TODO: if interval is supported, we can use kline as the ticker
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if _, ok := types.SupportedIntervals[s.Interval] ; ok {
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if _, ok := types.SupportedIntervals[s.Interval]; ok {
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}
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}
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@ -2,12 +2,7 @@ package types
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import (
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import (
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"fmt"
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"fmt"
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"sort"
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"strings"
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"sync"
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"sync"
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"time"
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"github.com/slack-go/slack"
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"github.com/sirupsen/logrus"
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"github.com/sirupsen/logrus"
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"github.com/spf13/viper"
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"github.com/spf13/viper"
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@ -21,253 +16,12 @@ func init() {
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debugBalance = viper.GetBool("debug-balance")
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debugBalance = viper.GetBool("debug-balance")
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}
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}
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type Balance struct {
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Currency string `json:"currency"`
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Available fixedpoint.Value `json:"available"`
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Locked fixedpoint.Value `json:"locked,omitempty"`
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// margin related fields
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Borrowed fixedpoint.Value `json:"borrowed,omitempty"`
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Interest fixedpoint.Value `json:"interest,omitempty"`
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// NetAsset = (Available + Locked) - Borrowed - Interest
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NetAsset fixedpoint.Value `json:"net,omitempty"`
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}
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func (b Balance) Total() fixedpoint.Value {
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return b.Available.Add(b.Locked)
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}
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func (b Balance) String() (o string) {
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o = fmt.Sprintf("%s: %s", b.Currency, b.Available.String())
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if b.Locked.Sign() > 0 {
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o += fmt.Sprintf(" (locked %v)", b.Locked)
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}
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if b.Borrowed.Sign() > 0 {
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o += fmt.Sprintf(" (borrowed: %v)", b.Borrowed)
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}
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return o
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}
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type Asset struct {
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Currency string `json:"currency" db:"currency"`
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Total fixedpoint.Value `json:"total" db:"total"`
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InUSD fixedpoint.Value `json:"inUSD" db:"in_usd"`
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InBTC fixedpoint.Value `json:"inBTC" db:"in_btc"`
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Time time.Time `json:"time" db:"time"`
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Locked fixedpoint.Value `json:"lock" db:"lock" `
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Available fixedpoint.Value `json:"available" db:"available"`
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Borrowed fixedpoint.Value `json:"borrowed" db:"borrowed"`
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NetAsset fixedpoint.Value `json:"netAsset" db:"net_asset"`
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PriceInUSD fixedpoint.Value `json:"priceInUSD" db:"price_in_usd"`
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}
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type AssetMap map[string]Asset
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func (m AssetMap) PlainText() (o string) {
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var assets = m.Slice()
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// sort assets
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sort.Slice(assets, func(i, j int) bool {
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return assets[i].InUSD.Compare(assets[j].InUSD) > 0
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})
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sumUsd := fixedpoint.Zero
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sumBTC := fixedpoint.Zero
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for _, a := range assets {
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usd := a.InUSD
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btc := a.InBTC
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if !a.InUSD.IsZero() {
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o += fmt.Sprintf(" %s: %s (≈ %s) (≈ %s)",
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a.Currency,
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a.Total.String(),
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USD.FormatMoney(usd),
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BTC.FormatMoney(btc),
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) + "\n"
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sumUsd = sumUsd.Add(usd)
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sumBTC = sumBTC.Add(btc)
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} else {
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o += fmt.Sprintf(" %s: %s",
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a.Currency,
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a.Total.String(),
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) + "\n"
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}
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}
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o += fmt.Sprintf(" Summary: (≈ %s) (≈ %s)",
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USD.FormatMoney(sumUsd),
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BTC.FormatMoney(sumBTC),
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) + "\n"
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return o
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}
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func (m AssetMap) Slice() (assets []Asset) {
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for _, a := range m {
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assets = append(assets, a)
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}
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return assets
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}
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func (m AssetMap) SlackAttachment() slack.Attachment {
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var fields []slack.AttachmentField
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var totalBTC, totalUSD fixedpoint.Value
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var assets = m.Slice()
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// sort assets
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sort.Slice(assets, func(i, j int) bool {
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return assets[i].InUSD.Compare(assets[j].InUSD) > 0
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})
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for _, a := range assets {
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totalUSD = totalUSD.Add(a.InUSD)
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totalBTC = totalBTC.Add(a.InBTC)
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}
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for _, a := range assets {
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if !a.InUSD.IsZero() {
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fields = append(fields, slack.AttachmentField{
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Title: a.Currency,
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Value: fmt.Sprintf("%s (≈ %s) (≈ %s) (%s)",
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a.Total.String(),
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USD.FormatMoney(a.InUSD),
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BTC.FormatMoney(a.InBTC),
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a.InUSD.Div(totalUSD).FormatPercentage(2),
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),
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Short: false,
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})
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} else {
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fields = append(fields, slack.AttachmentField{
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Title: a.Currency,
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Value: fmt.Sprintf("%s", a.Total.String()),
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Short: false,
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})
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}
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}
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return slack.Attachment{
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Title: fmt.Sprintf("Net Asset Value %s (≈ %s)",
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USD.FormatMoney(totalUSD),
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BTC.FormatMoney(totalBTC),
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),
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Fields: fields,
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}
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}
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type BalanceMap map[string]Balance
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type PositionMap map[string]Position
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type PositionMap map[string]Position
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type IsolatedMarginAssetMap map[string]IsolatedMarginAsset
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type IsolatedMarginAssetMap map[string]IsolatedMarginAsset
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type MarginAssetMap map[string]MarginUserAsset
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type MarginAssetMap map[string]MarginUserAsset
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type FuturesAssetMap map[string]FuturesUserAsset
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type FuturesAssetMap map[string]FuturesUserAsset
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type FuturesPositionMap map[string]FuturesPosition
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type FuturesPositionMap map[string]FuturesPosition
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func (m BalanceMap) Currencies() (currencies []string) {
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for _, b := range m {
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currencies = append(currencies, b.Currency)
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}
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return currencies
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}
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func (m BalanceMap) Add(bm BalanceMap) BalanceMap {
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var total = BalanceMap{}
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for _, b := range bm {
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tb := total[b.Currency]
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tb.Available = tb.Available.Add(b.Available)
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tb.Locked = tb.Locked.Add(b.Locked)
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tb.Borrowed = tb.Borrowed.Add(b.Borrowed)
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tb.NetAsset = tb.NetAsset.Add(b.NetAsset)
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tb.Interest = tb.Interest.Add(b.Interest)
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total[b.Currency] = tb
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}
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return total
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}
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func (m BalanceMap) String() string {
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var ss []string
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for _, b := range m {
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ss = append(ss, b.String())
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}
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return "BalanceMap[" + strings.Join(ss, ", ") + "]"
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}
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func (m BalanceMap) Copy() (d BalanceMap) {
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d = make(BalanceMap)
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for c, b := range m {
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d[c] = b
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}
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return d
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}
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// Assets converts balances into assets with the given prices
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func (m BalanceMap) Assets(prices map[string]fixedpoint.Value, priceTime time.Time) AssetMap {
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assets := make(AssetMap)
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btcusdt, hasBtcPrice := prices["BTCUSDT"]
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for currency, b := range m {
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if b.Locked.IsZero() && b.Available.IsZero() && b.Borrowed.IsZero() {
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continue
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}
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total := b.Available.Add(b.Locked)
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netAsset := b.NetAsset
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if netAsset.IsZero() {
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netAsset = total.Sub(b.Borrowed)
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}
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asset := Asset{
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Currency: currency,
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Total: total,
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Time: priceTime,
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Locked: b.Locked,
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Available: b.Available,
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Borrowed: b.Borrowed,
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NetAsset: netAsset,
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}
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usdMarkets := []string{currency + "USDT", currency + "USDC", currency + "USD", "USDT" + currency}
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for _, market := range usdMarkets {
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if usdPrice, ok := prices[market] ; ok {
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// this includes USDT, USD, USDC and so on
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if strings.HasPrefix(market, "USD") {
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if !asset.Total.IsZero() {
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asset.InUSD = asset.Total.Div(usdPrice)
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}
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asset.PriceInUSD = usdPrice
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} else {
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if !asset.Total.IsZero() {
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asset.InUSD = asset.Total.Mul(usdPrice)
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}
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asset.PriceInUSD = fixedpoint.One.Div(usdPrice)
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}
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if hasBtcPrice && !asset.InUSD.IsZero() {
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asset.InBTC = asset.InUSD.Div(btcusdt)
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}
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}
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assets[currency] = asset
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}
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}
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return assets
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}
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func (m BalanceMap) Print() {
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for _, balance := range m {
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if balance.Available.IsZero() && balance.Locked.IsZero() {
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continue
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}
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if balance.Locked.Sign() > 0 {
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logrus.Infof(" %s: %v (locked %v)", balance.Currency, balance.Available, balance.Locked)
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} else {
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logrus.Infof(" %s: %v", balance.Currency, balance.Available)
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}
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}
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}
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type AccountType string
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type AccountType string
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const (
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const (
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115
pkg/types/asset.go
Normal file
115
pkg/types/asset.go
Normal file
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@ -0,0 +1,115 @@
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package types
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|
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import (
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"fmt"
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"sort"
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"time"
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|
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"github.com/slack-go/slack"
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|
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"github.com/c9s/bbgo/pkg/fixedpoint"
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)
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type Asset struct {
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Currency string `json:"currency" db:"currency"`
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Total fixedpoint.Value `json:"total" db:"total"`
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InUSD fixedpoint.Value `json:"inUSD" db:"in_usd"`
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InBTC fixedpoint.Value `json:"inBTC" db:"in_btc"`
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Time time.Time `json:"time" db:"time"`
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Locked fixedpoint.Value `json:"lock" db:"lock" `
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Available fixedpoint.Value `json:"available" db:"available"`
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Borrowed fixedpoint.Value `json:"borrowed" db:"borrowed"`
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NetAsset fixedpoint.Value `json:"netAsset" db:"net_asset"`
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PriceInUSD fixedpoint.Value `json:"priceInUSD" db:"price_in_usd"`
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}
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type AssetMap map[string]Asset
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|
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func (m AssetMap) PlainText() (o string) {
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var assets = m.Slice()
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|
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// sort assets
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sort.Slice(assets, func(i, j int) bool {
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return assets[i].InUSD.Compare(assets[j].InUSD) > 0
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})
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sumUsd := fixedpoint.Zero
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sumBTC := fixedpoint.Zero
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for _, a := range assets {
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usd := a.InUSD
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btc := a.InBTC
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if !a.InUSD.IsZero() {
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o += fmt.Sprintf(" %s: %s (≈ %s) (≈ %s)",
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a.Currency,
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a.Total.String(),
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USD.FormatMoney(usd),
|
||||||
|
BTC.FormatMoney(btc),
|
||||||
|
) + "\n"
|
||||||
|
sumUsd = sumUsd.Add(usd)
|
||||||
|
sumBTC = sumBTC.Add(btc)
|
||||||
|
} else {
|
||||||
|
o += fmt.Sprintf(" %s: %s",
|
||||||
|
a.Currency,
|
||||||
|
a.Total.String(),
|
||||||
|
) + "\n"
|
||||||
|
}
|
||||||
|
}
|
||||||
|
o += fmt.Sprintf(" Summary: (≈ %s) (≈ %s)",
|
||||||
|
USD.FormatMoney(sumUsd),
|
||||||
|
BTC.FormatMoney(sumBTC),
|
||||||
|
) + "\n"
|
||||||
|
return o
|
||||||
|
}
|
||||||
|
|
||||||
|
func (m AssetMap) Slice() (assets []Asset) {
|
||||||
|
for _, a := range m {
|
||||||
|
assets = append(assets, a)
|
||||||
|
}
|
||||||
|
return assets
|
||||||
|
}
|
||||||
|
|
||||||
|
func (m AssetMap) SlackAttachment() slack.Attachment {
|
||||||
|
var fields []slack.AttachmentField
|
||||||
|
var totalBTC, totalUSD fixedpoint.Value
|
||||||
|
|
||||||
|
var assets = m.Slice()
|
||||||
|
|
||||||
|
// sort assets
|
||||||
|
sort.Slice(assets, func(i, j int) bool {
|
||||||
|
return assets[i].InUSD.Compare(assets[j].InUSD) > 0
|
||||||
|
})
|
||||||
|
|
||||||
|
for _, a := range assets {
|
||||||
|
totalUSD = totalUSD.Add(a.InUSD)
|
||||||
|
totalBTC = totalBTC.Add(a.InBTC)
|
||||||
|
}
|
||||||
|
|
||||||
|
for _, a := range assets {
|
||||||
|
if !a.InUSD.IsZero() {
|
||||||
|
fields = append(fields, slack.AttachmentField{
|
||||||
|
Title: a.Currency,
|
||||||
|
Value: fmt.Sprintf("%s (≈ %s) (≈ %s) (%s)",
|
||||||
|
a.Total.String(),
|
||||||
|
USD.FormatMoney(a.InUSD),
|
||||||
|
BTC.FormatMoney(a.InBTC),
|
||||||
|
a.InUSD.Div(totalUSD).FormatPercentage(2),
|
||||||
|
),
|
||||||
|
Short: false,
|
||||||
|
})
|
||||||
|
} else {
|
||||||
|
fields = append(fields, slack.AttachmentField{
|
||||||
|
Title: a.Currency,
|
||||||
|
Value: fmt.Sprintf("%s", a.Total.String()),
|
||||||
|
Short: false,
|
||||||
|
})
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
return slack.Attachment{
|
||||||
|
Title: fmt.Sprintf("Net Asset Value %s (≈ %s)",
|
||||||
|
USD.FormatMoney(totalUSD),
|
||||||
|
BTC.FormatMoney(totalBTC),
|
||||||
|
),
|
||||||
|
Fields: fields,
|
||||||
|
}
|
||||||
|
}
|
||||||
150
pkg/types/balance.go
Normal file
150
pkg/types/balance.go
Normal file
|
|
@ -0,0 +1,150 @@
|
||||||
|
package types
|
||||||
|
|
||||||
|
import (
|
||||||
|
"fmt"
|
||||||
|
"strings"
|
||||||
|
"time"
|
||||||
|
|
||||||
|
"github.com/sirupsen/logrus"
|
||||||
|
|
||||||
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||||
|
)
|
||||||
|
|
||||||
|
type Balance struct {
|
||||||
|
Currency string `json:"currency"`
|
||||||
|
Available fixedpoint.Value `json:"available"`
|
||||||
|
Locked fixedpoint.Value `json:"locked,omitempty"`
|
||||||
|
|
||||||
|
// margin related fields
|
||||||
|
Borrowed fixedpoint.Value `json:"borrowed,omitempty"`
|
||||||
|
Interest fixedpoint.Value `json:"interest,omitempty"`
|
||||||
|
|
||||||
|
// NetAsset = (Available + Locked) - Borrowed - Interest
|
||||||
|
NetAsset fixedpoint.Value `json:"net,omitempty"`
|
||||||
|
}
|
||||||
|
|
||||||
|
func (b Balance) Total() fixedpoint.Value {
|
||||||
|
return b.Available.Add(b.Locked)
|
||||||
|
}
|
||||||
|
|
||||||
|
func (b Balance) String() (o string) {
|
||||||
|
o = fmt.Sprintf("%s: %s", b.Currency, b.Available.String())
|
||||||
|
|
||||||
|
if b.Locked.Sign() > 0 {
|
||||||
|
o += fmt.Sprintf(" (locked %v)", b.Locked)
|
||||||
|
}
|
||||||
|
|
||||||
|
if b.Borrowed.Sign() > 0 {
|
||||||
|
o += fmt.Sprintf(" (borrowed: %v)", b.Borrowed)
|
||||||
|
}
|
||||||
|
|
||||||
|
return o
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
type BalanceMap map[string]Balance
|
||||||
|
|
||||||
|
func (m BalanceMap) Currencies() (currencies []string) {
|
||||||
|
for _, b := range m {
|
||||||
|
currencies = append(currencies, b.Currency)
|
||||||
|
}
|
||||||
|
return currencies
|
||||||
|
}
|
||||||
|
|
||||||
|
func (m BalanceMap) Add(bm BalanceMap) BalanceMap {
|
||||||
|
var total = BalanceMap{}
|
||||||
|
for _, b := range bm {
|
||||||
|
tb := total[b.Currency]
|
||||||
|
tb.Available = tb.Available.Add(b.Available)
|
||||||
|
tb.Locked = tb.Locked.Add(b.Locked)
|
||||||
|
tb.Borrowed = tb.Borrowed.Add(b.Borrowed)
|
||||||
|
tb.NetAsset = tb.NetAsset.Add(b.NetAsset)
|
||||||
|
tb.Interest = tb.Interest.Add(b.Interest)
|
||||||
|
total[b.Currency] = tb
|
||||||
|
}
|
||||||
|
return total
|
||||||
|
}
|
||||||
|
|
||||||
|
func (m BalanceMap) String() string {
|
||||||
|
var ss []string
|
||||||
|
for _, b := range m {
|
||||||
|
ss = append(ss, b.String())
|
||||||
|
}
|
||||||
|
|
||||||
|
return "BalanceMap[" + strings.Join(ss, ", ") + "]"
|
||||||
|
}
|
||||||
|
|
||||||
|
func (m BalanceMap) Copy() (d BalanceMap) {
|
||||||
|
d = make(BalanceMap)
|
||||||
|
for c, b := range m {
|
||||||
|
d[c] = b
|
||||||
|
}
|
||||||
|
return d
|
||||||
|
}
|
||||||
|
|
||||||
|
// Assets converts balances into assets with the given prices
|
||||||
|
func (m BalanceMap) Assets(prices map[string]fixedpoint.Value, priceTime time.Time) AssetMap {
|
||||||
|
assets := make(AssetMap)
|
||||||
|
btcusdt, hasBtcPrice := prices["BTCUSDT"]
|
||||||
|
for currency, b := range m {
|
||||||
|
if b.Locked.IsZero() && b.Available.IsZero() && b.Borrowed.IsZero() {
|
||||||
|
continue
|
||||||
|
}
|
||||||
|
|
||||||
|
total := b.Available.Add(b.Locked)
|
||||||
|
netAsset := b.NetAsset
|
||||||
|
if netAsset.IsZero() {
|
||||||
|
netAsset = total.Sub(b.Borrowed)
|
||||||
|
}
|
||||||
|
|
||||||
|
asset := Asset{
|
||||||
|
Currency: currency,
|
||||||
|
Total: total,
|
||||||
|
Time: priceTime,
|
||||||
|
Locked: b.Locked,
|
||||||
|
Available: b.Available,
|
||||||
|
Borrowed: b.Borrowed,
|
||||||
|
NetAsset: netAsset,
|
||||||
|
}
|
||||||
|
|
||||||
|
usdMarkets := []string{currency + "USDT", currency + "USDC", currency + "USD", "USDT" + currency}
|
||||||
|
for _, market := range usdMarkets {
|
||||||
|
if usdPrice, ok := prices[market]; ok {
|
||||||
|
// this includes USDT, USD, USDC and so on
|
||||||
|
if strings.HasPrefix(market, "USD") {
|
||||||
|
if !asset.Total.IsZero() {
|
||||||
|
asset.InUSD = asset.Total.Div(usdPrice)
|
||||||
|
}
|
||||||
|
asset.PriceInUSD = usdPrice
|
||||||
|
} else {
|
||||||
|
if !asset.Total.IsZero() {
|
||||||
|
asset.InUSD = asset.Total.Mul(usdPrice)
|
||||||
|
}
|
||||||
|
asset.PriceInUSD = fixedpoint.One.Div(usdPrice)
|
||||||
|
}
|
||||||
|
|
||||||
|
if hasBtcPrice && !asset.InUSD.IsZero() {
|
||||||
|
asset.InBTC = asset.InUSD.Div(btcusdt)
|
||||||
|
}
|
||||||
|
}
|
||||||
|
assets[currency] = asset
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
return assets
|
||||||
|
}
|
||||||
|
|
||||||
|
func (m BalanceMap) Print() {
|
||||||
|
for _, balance := range m {
|
||||||
|
if balance.Available.IsZero() && balance.Locked.IsZero() {
|
||||||
|
continue
|
||||||
|
}
|
||||||
|
|
||||||
|
if balance.Locked.Sign() > 0 {
|
||||||
|
logrus.Infof(" %s: %v (locked %v)", balance.Currency, balance.Available, balance.Locked)
|
||||||
|
} else {
|
||||||
|
logrus.Infof(" %s: %v", balance.Currency, balance.Available)
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
Loading…
Reference in New Issue
Block a user