Merge pull request #944 from c9s/fix/net-asset-calc

fix: fix net asset calculation

pkg/bbgo/risk.go

@@ -115,32 +115,36 @@ func (c *AccountValueCalculator) MarketValue(ctx context.Context) (fixedpoint.Va
 }
 
 func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value, error) {
-	accountValue := fixedpoint.Zero
-
 	if len(c.prices) == 0 {
 		if err := c.UpdatePrices(ctx); err != nil {
-			return accountValue, err
+			return fixedpoint.Zero, err
 		}
 	}
 
 	balances := c.session.Account.Balances()
+	accountValue := calculateNetValueInQuote(balances, c.prices, c.quoteCurrency)
+	return accountValue, nil
+}
+
+func calculateNetValueInQuote(balances types.BalanceMap, prices types.PriceMap, quoteCurrency string) (accountValue fixedpoint.Value) {
+	accountValue = fixedpoint.Zero
+
 	for _, b := range balances {
-		if b.Currency == c.quoteCurrency {
+		if b.Currency == quoteCurrency {
 			accountValue = accountValue.Add(b.Net())
 			continue
 		}
 
-		symbol := b.Currency + c.quoteCurrency        // for BTC/USDT, ETH/USDT pairs
+		symbol := b.Currency + quoteCurrency        // for BTC/USDT, ETH/USDT pairs
-		symbolReverse := c.quoteCurrency + b.Currency // for USDT/USDC or USDT/TWD pairs
+		symbolReverse := quoteCurrency + b.Currency // for USDT/USDC or USDT/TWD pairs
-		if price, ok := c.prices[symbol]; ok {
+		if price, ok := prices[symbol]; ok {
 			accountValue = accountValue.Add(b.Net().Mul(price))
-		} else if priceReverse, ok2 := c.prices[symbolReverse]; ok2 {
+		} else if priceReverse, ok2 := prices[symbolReverse]; ok2 {
-			price2 := one.Div(priceReverse)
+			accountValue = accountValue.Add(b.Net().Div(priceReverse))
-			accountValue = accountValue.Add(b.Net().Mul(price2))
 		}
 	}
 
-	return accountValue, nil
+	return accountValue
 }
 
 func (c *AccountValueCalculator) AvailableQuote(ctx context.Context) (fixedpoint.Value, error) {
@@ -189,7 +193,7 @@ func (c *AccountValueCalculator) MarginLevel(ctx context.Context) (fixedpoint.Va
 	return marginLevel, nil
 }
 
-func aggregateUsdValue(balances types.BalanceMap) fixedpoint.Value {
+func aggregateUsdNetValue(balances types.BalanceMap) fixedpoint.Value {
 	totalUsdValue := fixedpoint.Zero
 	// get all usd value if any
 	for currency, balance := range balances {
@@ -247,7 +251,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
 	// for isolated margin we can calculate from these two pair
 	totalUsdValue := fixedpoint.Zero
 	if len(restBalances) == 1 && types.IsUSDFiatCurrency(market.QuoteCurrency) {
-		totalUsdValue = aggregateUsdValue(balances)
+		totalUsdValue = aggregateUsdNetValue(balances)
 	} else if len(restBalances) > 1 {
 		accountValue := NewAccountValueCalculator(session, "USDT")
 		netValue, err := accountValue.NetValue(context.Background())
@@ -258,7 +262,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
 		totalUsdValue = netValue
 	} else {
 		// TODO: translate quote currency like BTC of ETH/BTC to usd value
-		totalUsdValue = aggregateUsdValue(usdBalances)
+		totalUsdValue = aggregateUsdNetValue(usdBalances)
 	}
 
 	if !quantity.IsZero() {
@@ -270,7 +274,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
 	}
 
 	// using leverage -- starts from here
-	log.Infof("calculating available leveraged base quantity: base balance = %+v, quote balance = %+v", baseBalance, quoteBalance)
+	log.Infof("calculating available leveraged base quantity: base balance = %+v, total usd value %f", baseBalance, totalUsdValue.Float64())
 
 	// calculate the quantity automatically
 	if session.Margin || session.IsolatedMargin {

pkg/bbgo/risk_test.go

@@ -184,7 +184,7 @@ func Test_aggregateUsdValue(t *testing.T) {
 	}
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
-			assert.Equalf(t, tt.want, aggregateUsdValue(tt.args.balances), "aggregateUsdValue(%v)", tt.args.balances)
+			assert.Equalf(t, tt.want, aggregateUsdNetValue(tt.args.balances), "aggregateUsdNetValue(%v)", tt.args.balances)
 		})
 	}
 }
@@ -226,3 +226,98 @@ func Test_usdFiatBalances(t *testing.T) {
 		})
 	}
 }
+
+func Test_calculateNetValueInQuote(t *testing.T) {
+	type args struct {
+		balances      types.BalanceMap
+		prices        types.PriceMap
+		quoteCurrency string
+	}
+	tests := []struct {
+		name             string
+		args             args
+		wantAccountValue fixedpoint.Value
+	}{
+		{
+			name: "positive asset",
+			args: args{
+				balances: types.BalanceMap{
+					"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
+					"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
+					"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
+					"BTC":  types.Balance{Currency: "BTC", Available: number(0.01)},
+				},
+				prices: types.PriceMap{
+					"USDCUSDT": number(1.0),
+					"BUSDUSDT": number(1.0),
+					"BTCUSDT":  number(19000.0),
+				},
+				quoteCurrency: "USDT",
+			},
+			wantAccountValue: number(19000.0*0.01 + 100.0 + 80.0 + 70.0),
+		},
+		{
+			name: "reversed usdt price",
+			args: args{
+				balances: types.BalanceMap{
+					"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
+					"TWD":  types.Balance{Currency: "TWD", Available: number(3000.0)},
+					"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
+					"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
+					"BTC":  types.Balance{Currency: "BTC", Available: number(0.01)},
+				},
+				prices: types.PriceMap{
+					"USDTTWD":  number(30.0),
+					"USDCUSDT": number(1.0),
+					"BUSDUSDT": number(1.0),
+					"BTCUSDT":  number(19000.0),
+				},
+				quoteCurrency: "USDT",
+			},
+			wantAccountValue: number(19000.0*0.01 + 100.0 + 80.0 + 70.0 + (3000.0 / 30.0)),
+		},
+		{
+			name: "borrow base asset",
+			args: args{
+				balances: types.BalanceMap{
+					"USDT": types.Balance{Currency: "USDT", Available: number(20000.0 * 2)},
+					"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
+					"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
+					"BTC":  types.Balance{Currency: "BTC", Available: number(0), Borrowed: number(2.0)},
+				},
+				prices: types.PriceMap{
+					"USDCUSDT": number(1.0),
+					"BUSDUSDT": number(1.0),
+					"BTCUSDT":  number(19000.0),
+				},
+				quoteCurrency: "USDT",
+			},
+			wantAccountValue: number(19000.0*-2.0 + 20000.0*2 + 80.0 + 70.0),
+		},
+		{
+			name: "multi base asset",
+			args: args{
+				balances: types.BalanceMap{
+					"USDT": types.Balance{Currency: "USDT", Available: number(20000.0 * 2)},
+					"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
+					"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
+					"ETH":  types.Balance{Currency: "ETH", Available: number(10.0)},
+					"BTC":  types.Balance{Currency: "BTC", Available: number(0), Borrowed: number(2.0)},
+				},
+				prices: types.PriceMap{
+					"USDCUSDT": number(1.0),
+					"BUSDUSDT": number(1.0),
+					"ETHUSDT":  number(1700.0),
+					"BTCUSDT":  number(19000.0),
+				},
+				quoteCurrency: "USDT",
+			},
+			wantAccountValue: number(19000.0*-2.0 + 1700.0*10.0 + 20000.0*2 + 80.0 + 70.0),
+		},
+	}
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			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)
+		})
+	}
+}

pkg/strategy/pivotshort/failedbreakhigh.go

@@ -29,6 +29,10 @@ type FailedBreakHigh struct {
 	// Ratio is a number less than 1.0, price * ratio will be the price triggers the short order.
 	Ratio fixedpoint.Value `json:"ratio"`
 
+	// EarlyStopRatio adjusts the break high price with the given ratio
+	// this is for stop loss earlier if the price goes above the previous price
+	EarlyStopRatio fixedpoint.Value `json:"earlyStopRatio"`
+
 	VWMA *types.IntervalWindow `json:"vwma"`
 
 	StopEMA *bbgo.StopEMA `json:"stopEMA"`
@@ -123,7 +127,7 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
 				return
 			}
 
-			bbgo.Notify("%s new pivot low: %f", s.Symbol, s.pivotHigh.Last())
+			bbgo.Notify("%s new pivot high: %f", s.Symbol, s.pivotHigh.Last())
 		}
 	}))
 
@@ -149,9 +153,16 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
 			return
 		}
 
+		lastHigh := s.lastFastHigh
+
+		if !s.EarlyStopRatio.IsZero() {
+			lastHigh = lastHigh.Mul(one.Add(s.EarlyStopRatio))
+		}
+
 		// the kline opened below the last break low, and closed above the last break low
-		if k.Open.Compare(s.lastFailedBreakHigh) < 0 && k.Close.Compare(s.lastFailedBreakHigh) > 0 {
+		if k.Open.Compare(lastHigh) < 0 && k.Close.Compare(lastHigh) > 0 && k.Open.Compare(k.Close) > 0 {
-			bbgo.Notify("kLine closed above the last break high, triggering stop earlier")
+			bbgo.Notify("kLine closed %f above the last break high %f (ratio %f), triggering stop earlier", k.Close.Float64(), lastHigh.Float64(), s.EarlyStopRatio.Float64())
+
 			if err := s.orderExecutor.ClosePosition(context.Background(), one, "failedBreakHighStop"); err != nil {
 				log.WithError(err).Error("position close error")
 			}
@@ -182,13 +193,13 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
 		// we need few conditions:
 		// 1) kline.High is higher than the previous high
 		// 2) kline.Close is lower than the previous high
-		// 3) kline.Close is lower than kline.Open
 		if kline.High.Compare(breakPrice) < 0 || closePrice.Compare(breakPrice) >= 0 {
 			return
 		}
 
+		// 3) kline.Close is lower than kline.Open
 		if closePrice.Compare(openPrice) > 0 {
-			bbgo.Notify("the closed price is higher than the open price, skip failed break high short")
+			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())
 			return
 		}
 

pkg/strategy/xnav/strategy.go

@@ -117,7 +117,7 @@ func (s *Strategy) recordNetAssetValue(ctx context.Context, sessions map[string]
 
 	for currency, asset := range totalAssets {
 		// calculated if it's dust only when InUSD (usd value) is defined.
-		if s.IgnoreDusts && !asset.InUSD.IsZero() && asset.InUSD.Compare(Ten) < 0 {
+		if s.IgnoreDusts && !asset.InUSD.IsZero() && asset.InUSD.Compare(Ten) < 0 && asset.InUSD.Compare(Ten.Neg()) > 0 {
 			continue
 		}
 

pkg/types/balance.go

@@ -12,6 +12,8 @@ import (
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 )
 
+type PriceMap map[string]fixedpoint.Value
+
 type Balance struct {
 	Currency  string           `json:"currency"`
 	Available fixedpoint.Value `json:"available"`
@@ -50,7 +52,7 @@ func (b Balance) Debt() fixedpoint.Value {
 }
 
 func (b Balance) ValueString() (o string) {
-	o = b.Available.String()
+	o = b.Net().String()
 
 	if b.Locked.Sign() > 0 {
 		o += fmt.Sprintf(" (locked %v)", b.Locked)
@@ -64,7 +66,7 @@ func (b Balance) ValueString() (o string) {
 }
 
 func (b Balance) String() (o string) {
-	o = fmt.Sprintf("%s: %s", b.Currency, b.Available.String())
+	o = fmt.Sprintf("%s: %s", b.Currency, b.Net().String())
 
 	if b.Locked.Sign() > 0 {
 		o += fmt.Sprintf(" (locked %v)", b.Locked)
@@ -74,6 +76,10 @@ func (b Balance) String() (o string) {
 		o += fmt.Sprintf(" (borrowed: %v)", b.Borrowed)
 	}
 
+	if b.Interest.Sign() > 0 {
+		o += fmt.Sprintf(" (interest: %v)", b.Interest)
+	}
+
 	return o
 }
 
@@ -155,7 +161,7 @@ func (m BalanceMap) Copy() (d BalanceMap) {
 }
 
 // Assets converts balances into assets with the given prices
-func (m BalanceMap) Assets(prices map[string]fixedpoint.Value, priceTime time.Time) AssetMap {
+func (m BalanceMap) Assets(prices PriceMap, priceTime time.Time) AssetMap {
 	assets := make(AssetMap)
 
 	_, btcInUSD, hasBtcPrice := findUSDMarketPrice("BTC", prices)
@@ -163,6 +169,7 @@ func (m BalanceMap) Assets(prices map[string]fixedpoint.Value, priceTime time.Ti
 	for currency, b := range m {
 		total := b.Total()
 		netAsset := b.Net()
+
 		if total.IsZero() && netAsset.IsZero() {
 			continue
 		}
@@ -178,7 +185,7 @@ func (m BalanceMap) Assets(prices map[string]fixedpoint.Value, priceTime time.Ti
 			NetAsset:  netAsset,
 		}
 
-		if strings.HasPrefix(currency, "USD") { // for usd
+		if IsUSDFiatCurrency(currency) { // for usd
 			asset.InUSD = netAsset
 			asset.PriceInUSD = fixedpoint.One
 			if hasBtcPrice && !asset.InUSD.IsZero() {
@@ -187,7 +194,7 @@ func (m BalanceMap) Assets(prices map[string]fixedpoint.Value, priceTime time.Ti
 		} else { // for crypto
 			if market, usdPrice, ok := findUSDMarketPrice(currency, prices); ok {
 				// this includes USDT, USD, USDC and so on
-				if strings.HasPrefix(market, "USD") { // for prices like USDT/TWD
+				if strings.HasPrefix(market, "USD") || strings.HasPrefix(market, "BUSD") { // for prices like USDT/TWD, BUSD/USDT
 					if !asset.NetAsset.IsZero() {
 						asset.InUSD = asset.NetAsset.Div(usdPrice)
 					}

pkg/types/balance_test.go

@@ -2,6 +2,7 @@ package types
 
 import (
 	"testing"
+	"time"
 
 	"github.com/stretchr/testify/assert"
 
@@ -37,3 +38,61 @@ func TestBalanceMap_Add(t *testing.T) {
 	assert.Len(t, bm3, 2)
 	assert.Equal(t, fixedpoint.MustNewFromString("11.0"), bm3["BTC"].Available)
 }
+
+func TestBalanceMap_Assets(t *testing.T) {
+	type args struct {
+		prices    PriceMap
+		priceTime time.Time
+	}
+	tests := []struct {
+		name string
+		m    BalanceMap
+		args args
+		want AssetMap
+	}{
+		{
+			m: BalanceMap{
+				"USDT": Balance{Currency: "USDT", Available: number(100.0)},
+				"BTC":  Balance{Currency: "BTC", Borrowed: number(2.0)},
+			},
+			args: args{
+				prices: PriceMap{
+					"BTCUSDT": number(19000.0),
+				},
+			},
+			want: AssetMap{
+				"USDT": {
+					Currency:   "USDT",
+					Total:      number(100),
+					NetAsset:   number(100.0),
+					Interest:   number(0),
+					InUSD:      number(100.0),
+					InBTC:      number(100.0 / 19000.0),
+					Time:       time.Time{},
+					Locked:     number(0),
+					Available:  number(100.0),
+					Borrowed:   number(0),
+					PriceInUSD: number(1.0),
+				},
+				"BTC": {
+					Currency:   "BTC",
+					Total:      number(0),
+					NetAsset:   number(-2),
+					Interest:   number(0),
+					InUSD:      number(-2 * 19000.0),
+					InBTC:      number(-2),
+					Time:       time.Time{},
+					Locked:     number(0),
+					Available:  number(0),
+					Borrowed:   number(2),
+					PriceInUSD: number(19000.0),
+				},
+			},
+		},
+	}
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			assert.Equalf(t, tt.want, tt.m.Assets(tt.args.prices, tt.args.priceTime), "Assets(%v, %v)", tt.args.prices, tt.args.priceTime)
+		})
+	}
+}