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add simple price resolver
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c9s
parent
22fa8d5acb
commit
600d81049e
119
pkg/priceresolver/simple.go
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119
pkg/priceresolver/simple.go
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package priceresolver
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import (
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"sync"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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// SimplePriceResolver implements a map-structure-based price index
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type SimplePriceResolver struct {
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// symbolPrices stores the latest trade price by mapping symbol to price
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symbolPrices map[string]fixedpoint.Value
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markets types.MarketMap
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// pricesByBase stores the prices by currency names as a 2-level map
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// BTC -> USDT -> 48000.0
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// BTC -> TWD -> 1536000
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pricesByBase map[string]map[string]fixedpoint.Value
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// pricesByQuote is for reversed pairs, like USDT/TWD or BNB/BTC
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// the reason that we don't store the reverse pricing in the same map is:
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// expression like (1/price) could produce precision issue since the data type is fixed-point, only 8 fraction numbers are supported.
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pricesByQuote map[string]map[string]fixedpoint.Value
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mu sync.Mutex
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}
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func NewPriceMap(markets types.MarketMap) *SimplePriceResolver {
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return &SimplePriceResolver{
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markets: markets,
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symbolPrices: make(map[string]fixedpoint.Value),
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pricesByBase: make(map[string]map[string]fixedpoint.Value),
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pricesByQuote: make(map[string]map[string]fixedpoint.Value),
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}
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}
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func (m *SimplePriceResolver) Update(symbol string, price fixedpoint.Value) {
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m.mu.Lock()
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defer m.mu.Unlock()
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m.symbolPrices[symbol] = price
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market, ok := m.markets[symbol]
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if !ok {
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log.Warnf("market info %s not found, unable to update price", symbol)
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return
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}
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quoteMap, ok2 := m.pricesByBase[market.BaseCurrency]
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if !ok2 {
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quoteMap = make(map[string]fixedpoint.Value)
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m.pricesByBase[market.BaseCurrency] = quoteMap
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}
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quoteMap[market.QuoteCurrency] = price
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baseMap, ok3 := m.pricesByQuote[market.QuoteCurrency]
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if !ok3 {
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baseMap = make(map[string]fixedpoint.Value)
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m.pricesByQuote[market.QuoteCurrency] = baseMap
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}
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baseMap[market.BaseCurrency] = price
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}
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func (m *SimplePriceResolver) UpdateFromTrade(trade types.Trade) {
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m.Update(trade.Symbol, trade.Price)
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}
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func (m *SimplePriceResolver) inferencePrice(asset string, assetPrice fixedpoint.Value, preferredFiats ...string) (fixedpoint.Value, bool) {
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// log.Infof("inferencePrice %s = %f", asset, assetPrice.Float64())
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quotePrices, ok := m.pricesByBase[asset]
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if ok {
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for quote, price := range quotePrices {
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for _, fiat := range preferredFiats {
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if quote == fiat {
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return price.Mul(assetPrice), true
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}
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}
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}
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for quote, price := range quotePrices {
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if infPrice, ok := m.inferencePrice(quote, price.Mul(assetPrice), preferredFiats...); ok {
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return infPrice, true
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}
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}
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}
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// for example, quote = TWD here, we can get a price map with:
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// USDT: 32.0 (for USDT/TWD at 32.0)
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basePrices, ok := m.pricesByQuote[asset]
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if ok {
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for base, basePrice := range basePrices {
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// log.Infof("base %s @ %s", base, basePrice.String())
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for _, fiat := range preferredFiats {
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if base == fiat {
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// log.Infof("ret %f / %f = %f", assetPrice.Float64(), basePrice.Float64(), assetPrice.Div(basePrice).Float64())
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return assetPrice.Div(basePrice), true
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}
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}
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}
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for base, basePrice := range basePrices {
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if infPrice, ok2 := m.inferencePrice(base, assetPrice.Div(basePrice), preferredFiats...); ok2 {
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return infPrice, true
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}
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}
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}
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return fixedpoint.Zero, false
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}
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func (m *SimplePriceResolver) ResolvePrice(asset string, preferredFiats ...string) (fixedpoint.Value, bool) {
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m.mu.Lock()
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defer m.mu.Unlock()
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return m.inferencePrice(asset, fixedpoint.One, preferredFiats...)
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}
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146
pkg/priceresolver/simple_test.go
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146
pkg/priceresolver/simple_test.go
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@ -0,0 +1,146 @@
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package priceresolver
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import (
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"testing"
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. "github.com/c9s/bbgo/pkg/testing/testhelper"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/stretchr/testify/assert"
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)
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func TestSimplePriceResolver(t *testing.T) {
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markets := types.MarketMap{
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"BTCUSDT": types.Market{
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BaseCurrency: "BTC",
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QuoteCurrency: "USDT",
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},
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"ETHUSDT": types.Market{
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BaseCurrency: "ETH",
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QuoteCurrency: "USDT",
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},
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"BTCTWD": types.Market{
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BaseCurrency: "BTC",
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QuoteCurrency: "TWD",
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},
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"ETHTWD": types.Market{
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BaseCurrency: "ETH",
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QuoteCurrency: "TWD",
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},
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"USDTTWD": types.Market{
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BaseCurrency: "USDT",
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QuoteCurrency: "TWD",
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},
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"ETHBTC": types.Market{
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BaseCurrency: "ETH",
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QuoteCurrency: "BTC",
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},
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}
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t.Run("direct reference", func(t *testing.T) {
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pm := NewPriceMap(markets)
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pm.UpdateFromTrade(types.Trade{
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Symbol: "BTCUSDT",
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Price: Number(48000.0),
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})
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pm.UpdateFromTrade(types.Trade{
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Symbol: "ETHUSDT",
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Price: Number(2800.0),
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})
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pm.UpdateFromTrade(types.Trade{
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Symbol: "USDTTWD",
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Price: Number(32.0),
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})
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finalPrice, ok := pm.ResolvePrice("BTC", "USDT")
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if assert.True(t, ok) {
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assert.Equal(t, "48000", finalPrice.String())
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}
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finalPrice, ok = pm.ResolvePrice("ETH", "USDT")
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if assert.True(t, ok) {
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assert.Equal(t, "2800", finalPrice.String())
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}
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finalPrice, ok = pm.ResolvePrice("USDT", "TWD")
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if assert.True(t, ok) {
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assert.Equal(t, "32", finalPrice.String())
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}
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})
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t.Run("simple reference", func(t *testing.T) {
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pm := NewPriceMap(markets)
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pm.UpdateFromTrade(types.Trade{
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Symbol: "BTCUSDT",
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Price: Number(48000.0),
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})
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pm.UpdateFromTrade(types.Trade{
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Symbol: "ETHUSDT",
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Price: Number(2800.0),
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})
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pm.UpdateFromTrade(types.Trade{
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Symbol: "USDTTWD",
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Price: Number(32.0),
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})
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finalPrice, ok := pm.ResolvePrice("BTC", "TWD")
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if assert.True(t, ok) {
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assert.Equal(t, "1536000", finalPrice.String())
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}
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})
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t.Run("crypto reference", func(t *testing.T) {
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pm := NewPriceMap(markets)
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pm.UpdateFromTrade(types.Trade{
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Symbol: "BTCUSDT",
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Price: Number(52000.0),
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})
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pm.UpdateFromTrade(types.Trade{
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Symbol: "ETHBTC",
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Price: Number(0.055),
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})
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pm.UpdateFromTrade(types.Trade{
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Symbol: "USDTTWD",
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Price: Number(32.0),
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})
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finalPrice, ok := pm.ResolvePrice("ETH", "USDT")
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if assert.True(t, ok) {
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assert.Equal(t, "2860", finalPrice.String())
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}
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})
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t.Run("inverse reference", func(t *testing.T) {
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pm := NewPriceMap(markets)
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pm.UpdateFromTrade(types.Trade{
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Symbol: "BTCTWD",
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Price: Number(1536000.0),
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})
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pm.UpdateFromTrade(types.Trade{
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Symbol: "USDTTWD",
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Price: Number(32.0),
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})
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finalPrice, ok := pm.ResolvePrice("BTC", "USDT")
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if assert.True(t, ok) {
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assert.Equal(t, "48000", finalPrice.String())
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}
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})
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t.Run("inverse reference", func(t *testing.T) {
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pm := NewPriceMap(markets)
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pm.UpdateFromTrade(types.Trade{
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Symbol: "BTCTWD",
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Price: Number(1536000.0),
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})
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pm.UpdateFromTrade(types.Trade{
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Symbol: "USDTTWD",
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Price: Number(32.0),
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})
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finalPrice, ok := pm.ResolvePrice("TWD", "USDT")
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if assert.True(t, ok) {
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assert.InDelta(t, 0.03125, finalPrice.Float64(), 0.0001)
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}
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})
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}
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