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

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fix: fix net asset calculation
This commit is contained in:
Yo-An Lin 2022-09-14 02:39:13 +08:00 committed by GitHub
commit 53059824a6
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6 changed files with 203 additions and 27 deletions
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34
pkg/bbgo/risk.go
View File

@ -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
symbolReverse := c.quoteCurrency + b.Currency // for USDT/USDC or USDT/TWD pairs
if price, ok := c.prices[symbol]; ok {
symbol := b.Currency + quoteCurrency // for BTC/USDT, ETH/USDT pairs
symbolReverse := quoteCurrency + b.Currency // for USDT/USDC or USDT/TWD pairs
if price, ok := prices[symbol]; ok {
accountValue = accountValue.Add(b.Net().Mul(price))
} else if priceReverse, ok2 := c.prices[symbolReverse]; ok2 {
price2 := one.Div(priceReverse)
accountValue = accountValue.Add(b.Net().Mul(price2))
} else if priceReverse, ok2 := prices[symbolReverse]; ok2 {
accountValue = accountValue.Add(b.Net().Div(priceReverse))
}
}
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 {

97
pkg/bbgo/risk_test.go
View File

@ -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)
})
}
}

21
pkg/strategy/pivotshort/failedbreakhigh.go
View File

@ -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 {
bbgo.Notify("kLine closed above the last break high, triggering stop earlier")
if k.Open.Compare(lastHigh) < 0 && k.Close.Compare(lastHigh) > 0 && k.Open.Compare(k.Close) > 0 {
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
}

2
pkg/strategy/xnav/strategy.go
View File

@ -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
}

17
pkg/types/balance.go
View File

@ -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)
}

59
pkg/types/balance_test.go
View File

@ -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)
})
}
}