mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
all: implement stats tracker
- rename Add() to AddProfit() or AddTrade() so that we can apply interface here
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parent
3dca9aaf98
commit
4a3b0bc368
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@ -170,7 +170,7 @@ func (e *GeneralOrderExecutor) BindTradeStats(tradeStats *types.TradeStats) {
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return
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return
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}
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}
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tradeStats.Add(profit)
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tradeStats.AddProfit(profit)
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})
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})
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}
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}
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@ -181,7 +181,7 @@ func (e *GeneralOrderExecutor) BindProfitStats(profitStats *types.ProfitStats) {
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return
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return
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}
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}
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profitStats.AddProfit(*profit)
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profitStats.AddProfit(profit)
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if !e.disableNotify {
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if !e.disableNotify {
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Notify(profit)
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Notify(profit)
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@ -338,7 +338,7 @@ var BacktestCmd = &cobra.Command{
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if profit == nil {
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if profit == nil {
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return
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return
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}
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}
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tradeStats.Add(profit)
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tradeStats.AddProfit(profit)
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})
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})
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tradeStatsMap[usedSymbol] = tradeStats
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tradeStatsMap[usedSymbol] = tradeStats
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@ -84,7 +84,7 @@ func (p *ProfitStatsTracker) Rotate() {
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}
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}
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func (p *ProfitStatsTracker) AddProfit(profit types.Profit) {
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func (p *ProfitStatsTracker) AddProfit(profit types.Profit) {
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(*p.CurrentProfitStats).AddProfit(profit)
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(*p.CurrentProfitStats).AddProfit(&profit)
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}
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}
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func (p *ProfitStatsTracker) AddTrade(trade types.Trade) {
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func (p *ProfitStatsTracker) AddTrade(trade types.Trade) {
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83
pkg/report/stats_collector.go
Normal file
83
pkg/report/stats_collector.go
Normal file
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@ -0,0 +1,83 @@
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package report
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import (
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/core"
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"github.com/c9s/bbgo/pkg/types"
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)
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type TradeAdder interface {
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AddTrade(trade *types.Trade)
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}
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type ProfitAdder interface {
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AddProfit(trade *types.Profit)
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}
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// StatsCollector is the v2 profit stats tracker
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type StatsCollector struct {
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Market types.Market `json:"market"`
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Interval types.Interval `json:"interval"`
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Window int `json:"window"`
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CurrentProfitStats *types.ProfitStats `json:"profitStats"`
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AccumulatedProfitStats *types.ProfitStats `json:"accumulatedProfitStats"`
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HistoryProfitStats []types.ProfitStats `json:"historyProfitStats"`
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CurrentTradeStats *types.TradeStats `json:"tradeStats"`
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AccumulatedTradeStats *types.TradeStats `json:"accumulatedTradeStats"`
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HistoryTradeStats []types.TradeStats `json:"historyTradeStats"`
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tradeCollector *core.TradeCollector
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}
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func NewStatsCollector(market types.Market, interval types.Interval, window int, tradeCollector *core.TradeCollector) *StatsCollector {
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return &StatsCollector{
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Market: market,
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Interval: interval,
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Window: window,
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CurrentProfitStats: types.NewProfitStats(market),
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CurrentTradeStats: types.NewTradeStats(market.Symbol),
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AccumulatedProfitStats: types.NewProfitStats(market),
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AccumulatedTradeStats: types.NewTradeStats(market.Symbol),
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tradeCollector: tradeCollector,
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}
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}
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func (c *StatsCollector) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, c.Market.Symbol, types.SubscribeOptions{Interval: c.Interval})
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}
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func (c *StatsCollector) Bind(session *bbgo.ExchangeSession) {
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c.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
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if profit != nil {
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c.CurrentProfitStats.AddProfit(profit)
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c.AccumulatedProfitStats.AddProfit(profit)
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}
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c.CurrentProfitStats.AddTrade(trade)
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c.AccumulatedProfitStats.AddTrade(trade)
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c.CurrentTradeStats.AddProfit(profit)
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c.AccumulatedTradeStats.AddProfit(profit)
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})
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// Rotate profitStats slice
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session.MarketDataStream.OnKLineClosed(types.KLineWith(c.Market.Symbol, c.Interval, func(k types.KLine) {
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// p.Rotate()
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}))
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}
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// Rotate the tracker to make a new ProfitStats to record the profits
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func (c *StatsCollector) Rotate() {
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c.HistoryProfitStats = append(c.HistoryProfitStats, *c.CurrentProfitStats)
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c.HistoryTradeStats = append(c.HistoryTradeStats, *c.CurrentTradeStats)
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/*
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*p.CurrentProfitStats = types.NewProfitStats(p.Market)
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p.ProfitStatsSlice = append(p.ProfitStatsSlice, *p.CurrentProfitStats)
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// Truncate
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if len(p.ProfitStatsSlice) > p.Window {
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p.ProfitStatsSlice = p.ProfitStatsSlice[len(p.ProfitStatsSlice)-p.Window:]
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}
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*/
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}
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@ -831,9 +831,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if madeProfit {
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if madeProfit {
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p := s.Position.NewProfit(trade, profit, netProfit)
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p := s.Position.NewProfit(trade, profit, netProfit)
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s.Environment.RecordPosition(s.Position, trade, &p)
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s.Environment.RecordPosition(s.Position, trade, &p)
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s.TradeStats.Add(&p)
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s.TradeStats.AddProfit(&p)
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s.ProfitStats.AddTrade(trade)
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s.ProfitStats.AddTrade(trade)
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s.ProfitStats.AddProfit(p)
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s.ProfitStats.AddProfit(&p)
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bbgo.Notify(&p)
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bbgo.Notify(&p)
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bbgo.Notify(s.ProfitStats)
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bbgo.Notify(s.ProfitStats)
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}
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}
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@ -193,7 +193,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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p.StrategyInstanceID = instanceID
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p.StrategyInstanceID = instanceID
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bbgo.Notify(&p)
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bbgo.Notify(&p)
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s.ProfitStats.AddProfit(p)
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s.ProfitStats.AddProfit(&p)
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bbgo.Notify(&s.ProfitStats)
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bbgo.Notify(&s.ProfitStats)
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s.Environment.RecordPosition(s.Position, trade, &p)
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s.Environment.RecordPosition(s.Position, trade, &p)
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@ -1096,7 +1096,7 @@ func (s *Strategy) allocateOrderExecutor(ctx context.Context, session *bbgo.Exch
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if profit, netProfit, madeProfit := s.NeutralPosition.AddTrade(trade); madeProfit {
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if profit, netProfit, madeProfit := s.NeutralPosition.AddTrade(trade); madeProfit {
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p := s.NeutralPosition.NewProfit(trade, profit, netProfit)
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p := s.NeutralPosition.NewProfit(trade, profit, netProfit)
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s.ProfitStats.AddProfit(p)
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s.ProfitStats.AddProfit(&p)
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}
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}
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})
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})
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return orderExecutor
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return orderExecutor
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@ -809,7 +809,7 @@ func (s *Strategy) CrossRun(
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p.Strategy = ID
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p.Strategy = ID
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p.StrategyInstanceID = instanceID
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p.StrategyInstanceID = instanceID
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bbgo.Notify(&p)
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bbgo.Notify(&p)
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s.ProfitStats.AddProfit(p)
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s.ProfitStats.AddProfit(&p)
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s.Environment.RecordPosition(s.Position, trade, &p)
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s.Environment.RecordPosition(s.Position, trade, &p)
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}
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}
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@ -216,7 +216,7 @@ func (s *ProfitStats) Init(market Market) {
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}
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}
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}
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}
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func (s *ProfitStats) AddProfit(profit Profit) {
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func (s *ProfitStats) AddProfit(profit *Profit) {
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if s.IsOver24Hours() {
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if s.IsOver24Hours() {
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s.ResetToday(profit.TradedAt)
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s.ResetToday(profit.TradedAt)
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}
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}
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@ -240,7 +240,7 @@ func (s *TradeStats) CsvRecords() [][]string {
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}
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}
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}
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}
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func (s *TradeStats) Add(profit *Profit) {
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func (s *TradeStats) AddProfit(profit *Profit) {
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if s.Symbol != "" && profit.Symbol != s.Symbol {
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if s.Symbol != "" && profit.Symbol != s.Symbol {
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return
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return
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}
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}
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