mirror of
https://github.com/c9s/bbgo.git
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Merge pull request #944 from c9s/fix/net-asset-calc
fix: fix net asset calculation
This commit is contained in:
Yo-An Lin
GitHub
commit
53059824a6
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@ -115,32 +115,36 @@ func (c *AccountValueCalculator) MarketValue(ctx context.Context) (fixedpoint.Va
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}
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func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value, error) {
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accountValue := fixedpoint.Zero
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if len(c.prices) == 0 {
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if err := c.UpdatePrices(ctx); err != nil {
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return accountValue, err
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return fixedpoint.Zero, err
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}
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}
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balances := c.session.Account.Balances()
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accountValue := calculateNetValueInQuote(balances, c.prices, c.quoteCurrency)
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return accountValue, nil
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}
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func calculateNetValueInQuote(balances types.BalanceMap, prices types.PriceMap, quoteCurrency string) (accountValue fixedpoint.Value) {
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accountValue = fixedpoint.Zero
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for _, b := range balances {
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if b.Currency == c.quoteCurrency {
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if b.Currency == quoteCurrency {
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accountValue = accountValue.Add(b.Net())
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continue
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}
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symbol := b.Currency + c.quoteCurrency // for BTC/USDT, ETH/USDT pairs
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symbolReverse := c.quoteCurrency + b.Currency // for USDT/USDC or USDT/TWD pairs
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if price, ok := c.prices[symbol]; ok {
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symbol := b.Currency + quoteCurrency // for BTC/USDT, ETH/USDT pairs
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symbolReverse := quoteCurrency + b.Currency // for USDT/USDC or USDT/TWD pairs
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if price, ok := prices[symbol]; ok {
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accountValue = accountValue.Add(b.Net().Mul(price))
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} else if priceReverse, ok2 := c.prices[symbolReverse]; ok2 {
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price2 := one.Div(priceReverse)
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accountValue = accountValue.Add(b.Net().Mul(price2))
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} else if priceReverse, ok2 := prices[symbolReverse]; ok2 {
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accountValue = accountValue.Add(b.Net().Div(priceReverse))
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}
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}
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return accountValue, nil
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return accountValue
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}
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func (c *AccountValueCalculator) AvailableQuote(ctx context.Context) (fixedpoint.Value, error) {
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@ -189,7 +193,7 @@ func (c *AccountValueCalculator) MarginLevel(ctx context.Context) (fixedpoint.Va
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return marginLevel, nil
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}
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func aggregateUsdValue(balances types.BalanceMap) fixedpoint.Value {
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func aggregateUsdNetValue(balances types.BalanceMap) fixedpoint.Value {
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totalUsdValue := fixedpoint.Zero
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// get all usd value if any
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for currency, balance := range balances {
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@ -247,7 +251,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
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// for isolated margin we can calculate from these two pair
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totalUsdValue := fixedpoint.Zero
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if len(restBalances) == 1 && types.IsUSDFiatCurrency(market.QuoteCurrency) {
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totalUsdValue = aggregateUsdValue(balances)
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totalUsdValue = aggregateUsdNetValue(balances)
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} else if len(restBalances) > 1 {
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accountValue := NewAccountValueCalculator(session, "USDT")
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netValue, err := accountValue.NetValue(context.Background())
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@ -258,7 +262,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
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totalUsdValue = netValue
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} else {
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// TODO: translate quote currency like BTC of ETH/BTC to usd value
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totalUsdValue = aggregateUsdValue(usdBalances)
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totalUsdValue = aggregateUsdNetValue(usdBalances)
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}
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if !quantity.IsZero() {
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@ -270,7 +274,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
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}
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// using leverage -- starts from here
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log.Infof("calculating available leveraged base quantity: base balance = %+v, quote balance = %+v", baseBalance, quoteBalance)
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log.Infof("calculating available leveraged base quantity: base balance = %+v, total usd value %f", baseBalance, totalUsdValue.Float64())
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// calculate the quantity automatically
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if session.Margin || session.IsolatedMargin {
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@ -184,7 +184,7 @@ func Test_aggregateUsdValue(t *testing.T) {
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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assert.Equalf(t, tt.want, aggregateUsdValue(tt.args.balances), "aggregateUsdValue(%v)", tt.args.balances)
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assert.Equalf(t, tt.want, aggregateUsdNetValue(tt.args.balances), "aggregateUsdNetValue(%v)", tt.args.balances)
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})
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}
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}
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@ -226,3 +226,98 @@ func Test_usdFiatBalances(t *testing.T) {
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})
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}
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}
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func Test_calculateNetValueInQuote(t *testing.T) {
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type args struct {
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balances types.BalanceMap
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prices types.PriceMap
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quoteCurrency string
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}
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tests := []struct {
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name string
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args args
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wantAccountValue fixedpoint.Value
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}{
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{
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name: "positive asset",
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args: args{
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balances: types.BalanceMap{
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"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
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"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
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"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
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"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
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},
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prices: types.PriceMap{
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"USDCUSDT": number(1.0),
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"BUSDUSDT": number(1.0),
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"BTCUSDT": number(19000.0),
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},
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quoteCurrency: "USDT",
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},
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wantAccountValue: number(19000.0*0.01 + 100.0 + 80.0 + 70.0),
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},
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{
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name: "reversed usdt price",
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args: args{
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balances: types.BalanceMap{
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"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
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"TWD": types.Balance{Currency: "TWD", Available: number(3000.0)},
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"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
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"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
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"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
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},
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prices: types.PriceMap{
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"USDTTWD": number(30.0),
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"USDCUSDT": number(1.0),
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"BUSDUSDT": number(1.0),
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"BTCUSDT": number(19000.0),
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},
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quoteCurrency: "USDT",
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},
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wantAccountValue: number(19000.0*0.01 + 100.0 + 80.0 + 70.0 + (3000.0 / 30.0)),
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},
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{
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name: "borrow base asset",
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args: args{
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balances: types.BalanceMap{
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"USDT": types.Balance{Currency: "USDT", Available: number(20000.0 * 2)},
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"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
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"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
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"BTC": types.Balance{Currency: "BTC", Available: number(0), Borrowed: number(2.0)},
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},
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prices: types.PriceMap{
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"USDCUSDT": number(1.0),
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"BUSDUSDT": number(1.0),
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"BTCUSDT": number(19000.0),
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},
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quoteCurrency: "USDT",
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},
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wantAccountValue: number(19000.0*-2.0 + 20000.0*2 + 80.0 + 70.0),
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},
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{
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name: "multi base asset",
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args: args{
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balances: types.BalanceMap{
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"USDT": types.Balance{Currency: "USDT", Available: number(20000.0 * 2)},
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"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
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"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
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"ETH": types.Balance{Currency: "ETH", Available: number(10.0)},
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"BTC": types.Balance{Currency: "BTC", Available: number(0), Borrowed: number(2.0)},
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},
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prices: types.PriceMap{
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"USDCUSDT": number(1.0),
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"BUSDUSDT": number(1.0),
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"ETHUSDT": number(1700.0),
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"BTCUSDT": number(19000.0),
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},
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quoteCurrency: "USDT",
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},
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wantAccountValue: number(19000.0*-2.0 + 1700.0*10.0 + 20000.0*2 + 80.0 + 70.0),
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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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)
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})
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}
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}
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@ -29,6 +29,10 @@ type FailedBreakHigh struct {
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// Ratio is a number less than 1.0, price * ratio will be the price triggers the short order.
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Ratio fixedpoint.Value `json:"ratio"`
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// EarlyStopRatio adjusts the break high price with the given ratio
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// this is for stop loss earlier if the price goes above the previous price
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EarlyStopRatio fixedpoint.Value `json:"earlyStopRatio"`
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VWMA *types.IntervalWindow `json:"vwma"`
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StopEMA *bbgo.StopEMA `json:"stopEMA"`
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@ -123,7 +127,7 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
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return
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}
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bbgo.Notify("%s new pivot low: %f", s.Symbol, s.pivotHigh.Last())
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bbgo.Notify("%s new pivot high: %f", s.Symbol, s.pivotHigh.Last())
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}
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}))
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@ -149,9 +153,16 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
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return
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}
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lastHigh := s.lastFastHigh
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if !s.EarlyStopRatio.IsZero() {
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lastHigh = lastHigh.Mul(one.Add(s.EarlyStopRatio))
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}
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// the kline opened below the last break low, and closed above the last break low
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if k.Open.Compare(s.lastFailedBreakHigh) < 0 && k.Close.Compare(s.lastFailedBreakHigh) > 0 {
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bbgo.Notify("kLine closed above the last break high, triggering stop earlier")
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if k.Open.Compare(lastHigh) < 0 && k.Close.Compare(lastHigh) > 0 && k.Open.Compare(k.Close) > 0 {
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bbgo.Notify("kLine closed %f above the last break high %f (ratio %f), triggering stop earlier", k.Close.Float64(), lastHigh.Float64(), s.EarlyStopRatio.Float64())
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if err := s.orderExecutor.ClosePosition(context.Background(), one, "failedBreakHighStop"); err != nil {
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log.WithError(err).Error("position close error")
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}
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@ -182,13 +193,13 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
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// we need few conditions:
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// 1) kline.High is higher than the previous high
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// 2) kline.Close is lower than the previous high
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// 3) kline.Close is lower than kline.Open
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if kline.High.Compare(breakPrice) < 0 || closePrice.Compare(breakPrice) >= 0 {
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return
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}
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// 3) kline.Close is lower than kline.Open
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if closePrice.Compare(openPrice) > 0 {
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bbgo.Notify("the closed price is higher than the open price, skip failed break high short")
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bbgo.Notify("the %s closed price %f is higher than the open price %f, skip failed break high short", s.Symbol, closePrice.Float64(), openPrice.Float64())
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return
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}
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@ -117,7 +117,7 @@ func (s *Strategy) recordNetAssetValue(ctx context.Context, sessions map[string]
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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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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 && asset.InUSD.Compare(Ten.Neg()) > 0 {
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continue
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}
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@ -12,6 +12,8 @@ import (
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"github.com/c9s/bbgo/pkg/fixedpoint"
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)
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type PriceMap map[string]fixedpoint.Value
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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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@ -50,7 +52,7 @@ func (b Balance) Debt() fixedpoint.Value {
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}
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func (b Balance) ValueString() (o string) {
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o = b.Available.String()
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o = b.Net().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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@ -64,7 +66,7 @@ func (b Balance) ValueString() (o string) {
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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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o = fmt.Sprintf("%s: %s", b.Currency, b.Net().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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@ -74,6 +76,10 @@ func (b Balance) String() (o string) {
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o += fmt.Sprintf(" (borrowed: %v)", b.Borrowed)
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}
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if b.Interest.Sign() > 0 {
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o += fmt.Sprintf(" (interest: %v)", b.Interest)
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}
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return o
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}
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@ -155,7 +161,7 @@ func (m BalanceMap) Copy() (d BalanceMap) {
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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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func (m BalanceMap) Assets(prices PriceMap, priceTime time.Time) AssetMap {
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assets := make(AssetMap)
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_, btcInUSD, hasBtcPrice := findUSDMarketPrice("BTC", prices)
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@ -163,6 +169,7 @@ func (m BalanceMap) Assets(prices map[string]fixedpoint.Value, priceTime time.Ti
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for currency, b := range m {
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total := b.Total()
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netAsset := b.Net()
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if total.IsZero() && netAsset.IsZero() {
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continue
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}
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@ -178,7 +185,7 @@ func (m BalanceMap) Assets(prices map[string]fixedpoint.Value, priceTime time.Ti
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NetAsset: netAsset,
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}
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if strings.HasPrefix(currency, "USD") { // for usd
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if IsUSDFiatCurrency(currency) { // for usd
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asset.InUSD = netAsset
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asset.PriceInUSD = fixedpoint.One
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if hasBtcPrice && !asset.InUSD.IsZero() {
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@ -187,7 +194,7 @@ func (m BalanceMap) Assets(prices map[string]fixedpoint.Value, priceTime time.Ti
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} else { // for crypto
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if market, usdPrice, ok := findUSDMarketPrice(currency, prices); ok {
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// this includes USDT, USD, USDC and so on
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if strings.HasPrefix(market, "USD") { // for prices like USDT/TWD
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if strings.HasPrefix(market, "USD") || strings.HasPrefix(market, "BUSD") { // for prices like USDT/TWD, BUSD/USDT
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if !asset.NetAsset.IsZero() {
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asset.InUSD = asset.NetAsset.Div(usdPrice)
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}
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@ -2,6 +2,7 @@ package types
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import (
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"testing"
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"time"
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"github.com/stretchr/testify/assert"
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@ -37,3 +38,61 @@ func TestBalanceMap_Add(t *testing.T) {
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assert.Len(t, bm3, 2)
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assert.Equal(t, fixedpoint.MustNewFromString("11.0"), bm3["BTC"].Available)
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}
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func TestBalanceMap_Assets(t *testing.T) {
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type args struct {
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prices PriceMap
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priceTime time.Time
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}
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tests := []struct {
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name string
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m BalanceMap
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args args
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want AssetMap
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}{
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{
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m: BalanceMap{
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"USDT": Balance{Currency: "USDT", Available: number(100.0)},
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"BTC": Balance{Currency: "BTC", Borrowed: number(2.0)},
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},
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args: args{
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prices: PriceMap{
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"BTCUSDT": number(19000.0),
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},
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},
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want: AssetMap{
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"USDT": {
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Currency: "USDT",
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Total: number(100),
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NetAsset: number(100.0),
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Interest: number(0),
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InUSD: number(100.0),
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InBTC: number(100.0 / 19000.0),
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Time: time.Time{},
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Locked: number(0),
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Available: number(100.0),
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Borrowed: number(0),
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PriceInUSD: number(1.0),
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},
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"BTC": {
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Currency: "BTC",
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Total: number(0),
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NetAsset: number(-2),
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Interest: number(0),
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InUSD: number(-2 * 19000.0),
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InBTC: number(-2),
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Time: time.Time{},
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Locked: number(0),
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Available: number(0),
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Borrowed: number(2),
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PriceInUSD: number(19000.0),
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},
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},
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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assert.Equalf(t, tt.want, tt.m.Assets(tt.args.prices, tt.args.priceTime), "Assets(%v, %v)", tt.args.prices, tt.args.priceTime)
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})
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}
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}
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