Merge pull request #1702 from c9s/c9s/core/improve-metrics

IMPROVE: improve balance related metrics
2024-09-20 00:01:09 +00:00 · 2024-08-22 10:02:51 +08:00 · 2024-08-22 10:02:51 +08:00 · 6718087cb1
commit 6718087cb1
parent 055cfbb3ff c063df6467
4 changed files with 228 additions and 133 deletions
--- a/pkg/bbgo/metrics.go
+++ b/pkg/bbgo/metrics.go
@ -9,35 +9,94 @@ var (
 			Help: "bbgo exchange session connection status",
 		},
 		[]string{
-			"exchange", // exchange name
-			"channel",  // channel: user or market
-			"margin",   // margin type: none, margin or isolated
-			"symbol",   // margin symbol of the connection.
+			"session",
+			"exchange",    // exchange name
+			"channel",     // channel: user or market
+			"margin_type", // margin type: none, margin or isolated
+			"symbol",      // margin symbol of the connection.
 		},
 	)

-	metricsLockedBalances = prometheus.NewGaugeVec(
+	metricsBalanceLockedMetrics = prometheus.NewGaugeVec(
 		prometheus.GaugeOpts{
 			Name: "bbgo_balances_locked",
 			Help: "bbgo exchange locked balances",
 		},
 		[]string{
-			"exchange", // exchange name
-			"margin",   // margin of connection. 1 or 0
-			"symbol",   // margin symbol of the connection.
+			"session",
+			"exchange",    // exchange name
+			"margin_type", // margin of connection. 1 or 0
+			"symbol",      // margin symbol of the connection.
 			"currency",
 		},
 	)

-	metricsAvailableBalances = prometheus.NewGaugeVec(
+	metricsBalanceAvailableMetrics = prometheus.NewGaugeVec(
 		prometheus.GaugeOpts{
 			Name: "bbgo_balances_available",
 			Help: "bbgo exchange available balances",
 		},
 		[]string{
-			"exchange", // exchange name
-			"margin",   // margin of connection. none, margin or isolated
-			"symbol",   // margin symbol of the connection.
+			"session",
+			"exchange",    // exchange name
+			"margin_type", // margin of connection. none, margin or isolated
+			"symbol",      // margin symbol of the connection.
+			"currency",
+		},
+	)
+
+	metricsBalanceDebtMetrics = prometheus.NewGaugeVec(
+		prometheus.GaugeOpts{
+			Name: "bbgo_balances_debt",
+			Help: "bbgo exchange balance debt",
+		},
+		[]string{
+			"session",
+			"exchange",    // exchange name
+			"margin_type", // margin of connection. none, margin or isolated
+			"symbol",      // margin symbol of the connection.
+			"currency",
+		},
+	)
+
+	metricsBalanceBorrowedMetrics = prometheus.NewGaugeVec(
+		prometheus.GaugeOpts{
+			Name: "bbgo_balances_borrowed",
+			Help: "bbgo exchange balance borrowed",
+		},
+		[]string{
+			"session",
+			"exchange",    // exchange name
+			"margin_type", // margin of connection. none, margin or isolated
+			"symbol",      // margin symbol of the connection.
+			"currency",
+		},
+	)
+
+	metricsBalanceInterestMetrics = prometheus.NewGaugeVec(
+		prometheus.GaugeOpts{
+			Name: "bbgo_balances_interest",
+			Help: "bbgo exchange balance interest",
+		},
+		[]string{
+			"session",
+			"exchange",    // exchange name
+			"margin_type", // margin of connection. none, margin or isolated
+			"symbol",      // margin symbol of the connection.
+			"currency",
+		},
+	)
+
+	metricsBalanceNetMetrics = prometheus.NewGaugeVec(
+		prometheus.GaugeOpts{
+			Name: "bbgo_balances_net",
+			Help: "bbgo exchange session total net balances",
+		},
+		[]string{
+			"session",
+			"exchange",    // exchange name
+			"margin_type", // margin of connection. none, margin or isolated
+			"symbol",      // margin symbol of the connection.
 			"currency",
 		},
 	)
@ -48,9 +107,10 @@ var (
 			Help: "bbgo exchange session total balances",
 		},
 		[]string{
-			"exchange", // exchange name
-			"margin",   // margin of connection. none, margin or isolated
-			"symbol",   // margin symbol of the connection.
+			"session",
+			"exchange",    // exchange name
+			"margin_type", // margin of connection. none, margin or isolated
+			"symbol",      // margin symbol of the connection.
 			"currency",
 		},
 	)
@ -61,11 +121,12 @@ var (
 			Help: "bbgo exchange session trades",
 		},
 		[]string{
-			"exchange",  // exchange name
-			"margin",    // margin of connection. none, margin or isolated
-			"symbol",    // margin symbol of the connection.
-			"side",      // side: buy or sell
-			"liquidity", // maker or taker
+			"session",
+			"exchange",    // exchange name
+			"margin_type", // margin of connection. none, margin or isolated
+			"symbol",      // margin symbol of the connection.
+			"side",        // side: buy or sell
+			"liquidity",   // maker or taker
 		},
 	)

@ -75,26 +136,28 @@ var (
 			Help: "bbgo trading volume",
 		},
 		[]string{
-			"exchange",  // exchange name
-			"margin",    // margin of connection. none, margin or isolated
-			"symbol",    // margin symbol of the connection.
-			"side",      // side: buy or sell
-			"liquidity", // maker or taker
+			"session",
+			"exchange",    // exchange name
+			"margin_type", // margin of connection. none, margin or isolated
+			"symbol",      // margin symbol of the connection.
+			"side",        // side: buy or sell
+			"liquidity",   // maker or taker
 		},
 	)

-	metricsLastUpdateTimeBalance = prometheus.NewGaugeVec(
+	metricsLastUpdateTimeMetrics = prometheus.NewGaugeVec(
 		prometheus.GaugeOpts{
 			Name: "bbgo_last_update_time",
 			Help: "bbgo last update time of different channel",
 		},
 		[]string{
-			"exchange",  // exchange name
-			"margin",    // margin of connection. none, margin or isolated
-			"channel",   // channel: user, market
-			"data_type", // type: balance, ticker, kline, orderbook, trade, order
-			"symbol",    // for market data, trade and order
-			"currency",  // for balance
+			"session",
+			"exchange",    // exchange name
+			"margin_type", // margin of connection. none, margin or isolated
+			"channel",     // channel: user, market
+			"data_type",   // type: balance, ticker, kline, orderbook, trade, order
+			"symbol",      // for market data, trade and order
+			"currency",    // for balance
 		},
 	)
 )
@ -103,10 +166,14 @@ func init() {
 	prometheus.MustRegister(
 		metricsConnectionStatus,
 		metricsTotalBalances,
-		metricsLockedBalances,
-		metricsAvailableBalances,
+		metricsBalanceNetMetrics,
+		metricsBalanceLockedMetrics,
+		metricsBalanceAvailableMetrics,
+		metricsBalanceDebtMetrics,
+		metricsBalanceBorrowedMetrics,
+		metricsBalanceInterestMetrics,
 		metricsTradesTotal,
 		metricsTradingVolume,
-		metricsLastUpdateTimeBalance,
+		metricsLastUpdateTimeMetrics,
 	)
 }
--- a/pkg/bbgo/session.go
+++ b/pkg/bbgo/session.go
@ -54,11 +54,11 @@ type ExchangeSession struct {
 	PublicOnly bool `json:"publicOnly,omitempty" yaml:"publicOnly"`

 	// PrivateChannels is used for filtering the private user data channel, .e.g, orders, trades, balances.. etc
-	// This option is exchange specific
+	// This option is exchange-specific, currently only MAX exchange reads this option
 	PrivateChannels []string `json:"privateChannels,omitempty" yaml:"privateChannels,omitempty"`

 	// PrivateChannelSymbols is used for filtering the private user data channel, .e.g, order symbol subscription.
-	// This option is exchange specific
+	// This option is exchange-specific, currently only Bitget exchange reads this option
 	PrivateChannelSymbols []string `json:"privateChannelSymbols,omitempty" yaml:"privateChannelSymbols,omitempty"`

 	Margin               bool   `json:"margin,omitempty" yaml:"margin"`
@ -886,91 +886,106 @@ func (session *ExchangeSession) InitExchange(name string, ex types.Exchange) err
 	return nil
 }

-func (session *ExchangeSession) MarginType() string {
-	margin := "none"
+func (session *ExchangeSession) MarginType() types.MarginType {
 	if session.Margin {
-		margin = "margin"
 		if session.IsolatedMargin {
-			margin = "isolated"
+			return types.MarginTypeIsolatedMargin
+		} else {
+			return types.MarginTypeCrossMargin
 		}
 	}
-	return margin
+
+	return types.MarginTypeSpot
 }

 func (session *ExchangeSession) metricsBalancesUpdater(balances types.BalanceMap) {
 	for currency, balance := range balances {
 		labels := prometheus.Labels{
-			"exchange": session.ExchangeName.String(),
-			"margin":   session.MarginType(),
-			"symbol":   session.IsolatedMarginSymbol,
-			"currency": currency,
+			"session":     session.Name,
+			"exchange":    session.ExchangeName.String(),
+			"margin_type": string(session.MarginType()),
+			"symbol":      session.IsolatedMarginSymbol,
+			"currency":    currency,
 		}

 		metricsTotalBalances.With(labels).Set(balance.Total().Float64())
-		metricsLockedBalances.With(labels).Set(balance.Locked.Float64())
-		metricsAvailableBalances.With(labels).Set(balance.Available.Float64())
-		metricsLastUpdateTimeBalance.With(prometheus.Labels{
-			"exchange":  session.ExchangeName.String(),
-			"margin":    session.MarginType(),
-			"channel":   "user",
-			"data_type": "balance",
-			"symbol":    "",
-			"currency":  currency,
+		metricsBalanceNetMetrics.With(labels).Set(balance.Net().Float64())
+		metricsBalanceAvailableMetrics.With(labels).Set(balance.Available.Float64())
+		metricsBalanceLockedMetrics.With(labels).Set(balance.Locked.Float64())
+
+		// margin metrics
+		metricsBalanceDebtMetrics.With(labels).Set(balance.Debt().Float64())
+		metricsBalanceBorrowedMetrics.With(labels).Set(balance.Borrowed.Float64())
+		metricsBalanceInterestMetrics.With(labels).Set(balance.Interest.Float64())
+
+		metricsLastUpdateTimeMetrics.With(prometheus.Labels{
+			"session":     session.Name,
+			"exchange":    session.ExchangeName.String(),
+			"margin_type": string(session.MarginType()),
+			"channel":     "user",
+			"data_type":   "balance",
+			"symbol":      "",
+			"currency":    currency,
 		}).SetToCurrentTime()
 	}

 }

 func (session *ExchangeSession) metricsOrderUpdater(order types.Order) {
-	metricsLastUpdateTimeBalance.With(prometheus.Labels{
-		"exchange":  session.ExchangeName.String(),
-		"margin":    session.MarginType(),
-		"channel":   "user",
-		"data_type": "order",
-		"symbol":    order.Symbol,
-		"currency":  "",
+	metricsLastUpdateTimeMetrics.With(prometheus.Labels{
+		"session":     session.Name,
+		"exchange":    session.ExchangeName.String(),
+		"margin_type": string(session.MarginType()),
+		"channel":     "user",
+		"data_type":   "order",
+		"symbol":      order.Symbol,
+		"currency":    "",
 	}).SetToCurrentTime()
 }

 func (session *ExchangeSession) metricsTradeUpdater(trade types.Trade) {
 	labels := prometheus.Labels{
-		"exchange":  session.ExchangeName.String(),
-		"margin":    session.MarginType(),
-		"side":      trade.Side.String(),
-		"symbol":    trade.Symbol,
-		"liquidity": trade.Liquidity(),
+		"session":     session.Name,
+		"exchange":    session.ExchangeName.String(),
+		"margin_type": string(session.MarginType()),
+		"side":        trade.Side.String(),
+		"symbol":      trade.Symbol,
+		"liquidity":   trade.Liquidity(),
 	}
 	metricsTradingVolume.With(labels).Add(trade.Quantity.Mul(trade.Price).Float64())
 	metricsTradesTotal.With(labels).Inc()
-	metricsLastUpdateTimeBalance.With(prometheus.Labels{
-		"exchange":  session.ExchangeName.String(),
-		"margin":    session.MarginType(),
-		"channel":   "user",
-		"data_type": "trade",
-		"symbol":    trade.Symbol,
-		"currency":  "",
+	metricsLastUpdateTimeMetrics.With(prometheus.Labels{
+		"session":     session.Name,
+		"exchange":    session.ExchangeName.String(),
+		"margin_type": string(session.MarginType()),
+		"channel":     "user",
+		"data_type":   "trade",
+		"symbol":      trade.Symbol,
+		"currency":    "",
 	}).SetToCurrentTime()
 }

 func (session *ExchangeSession) bindMarketDataStreamMetrics(stream types.Stream) {
 	stream.OnBookUpdate(func(book types.SliceOrderBook) {
-		metricsLastUpdateTimeBalance.With(prometheus.Labels{
-			"exchange":  session.ExchangeName.String(),
-			"margin":    session.MarginType(),
-			"channel":   "market",
-			"data_type": "book",
-			"symbol":    book.Symbol,
-			"currency":  "",
+		metricsLastUpdateTimeMetrics.With(prometheus.Labels{
+			"session":     session.Name,
+			"exchange":    session.ExchangeName.String(),
+			"margin_type": string(session.MarginType()),
+			"channel":     "market",
+			"data_type":   "book",
+			"symbol":      book.Symbol,
+			"currency":    "",
 		}).SetToCurrentTime()
 	})
 	stream.OnKLineClosed(func(kline types.KLine) {
-		metricsLastUpdateTimeBalance.With(prometheus.Labels{
-			"exchange":  session.ExchangeName.String(),
-			"margin":    session.MarginType(),
-			"channel":   "market",
-			"data_type": "kline",
-			"symbol":    kline.Symbol,
-			"currency":  "",
+		metricsLastUpdateTimeMetrics.With(prometheus.Labels{
+			"session":     session.Name,
+			"exchange":    session.ExchangeName.String(),
+			"margin_type": string(session.MarginType()),
+			"channel":     "market",
+			"data_type":   "kline",
+			"symbol":      kline.Symbol,
+			"currency":    "",
 		}).SetToCurrentTime()
 	})
 }
@ -982,18 +997,20 @@ func (session *ExchangeSession) bindUserDataStreamMetrics(stream types.Stream) {
 	stream.OnOrderUpdate(session.metricsOrderUpdater)
 	stream.OnDisconnect(func() {
 		metricsConnectionStatus.With(prometheus.Labels{
-			"channel":  "user",
-			"exchange": session.ExchangeName.String(),
-			"margin":   session.MarginType(),
-			"symbol":   session.IsolatedMarginSymbol,
+			"channel":     "user",
+			"session":     session.Name,
+			"exchange":    session.ExchangeName.String(),
+			"margin_type": string(session.MarginType()),
+			"symbol":      session.IsolatedMarginSymbol,
 		}).Set(0.0)
 	})
 	stream.OnConnect(func() {
 		metricsConnectionStatus.With(prometheus.Labels{
-			"channel":  "user",
-			"exchange": session.ExchangeName.String(),
-			"margin":   session.MarginType(),
-			"symbol":   session.IsolatedMarginSymbol,
+			"channel":     "user",
+			"session":     session.Name,
+			"exchange":    session.ExchangeName.String(),
+			"margin_type": string(session.MarginType()),
+			"symbol":      session.IsolatedMarginSymbol,
 		}).Set(1.0)
 	})
 }
--- a/pkg/types/futures.go
+++ b/pkg/types/futures.go
@ -0,0 +1,42 @@
+package types
+
+import "github.com/c9s/bbgo/pkg/fixedpoint"
+
+type FuturesExchange interface {
+	UseFutures()
+	UseIsolatedFutures(symbol string)
+	GetFuturesSettings() FuturesSettings
+}
+
+type FuturesSettings struct {
+	IsFutures             bool
+	IsIsolatedFutures     bool
+	IsolatedFuturesSymbol string
+}
+
+func (s FuturesSettings) GetFuturesSettings() FuturesSettings {
+	return s
+}
+
+func (s *FuturesSettings) UseFutures() {
+	s.IsFutures = true
+}
+
+func (s *FuturesSettings) UseIsolatedFutures(symbol string) {
+	s.IsFutures = true
+	s.IsIsolatedFutures = true
+	s.IsolatedFuturesSymbol = symbol
+}
+
+// FuturesUserAsset define cross/isolated futures account asset
+type FuturesUserAsset struct {
+	Asset                  string           `json:"asset"`
+	InitialMargin          fixedpoint.Value `json:"initialMargin"`
+	MaintMargin            fixedpoint.Value `json:"maintMargin"`
+	MarginBalance          fixedpoint.Value `json:"marginBalance"`
+	MaxWithdrawAmount      fixedpoint.Value `json:"maxWithdrawAmount"`
+	OpenOrderInitialMargin fixedpoint.Value `json:"openOrderInitialMargin"`
+	PositionInitialMargin  fixedpoint.Value `json:"positionInitialMargin"`
+	UnrealizedProfit       fixedpoint.Value `json:"unrealizedProfit"`
+	WalletBalance          fixedpoint.Value `json:"walletBalance"`
+}
--- a/pkg/types/margin.go
+++ b/pkg/types/margin.go
@ -7,44 +7,13 @@ import (
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 )

-type FuturesExchange interface {
-	UseFutures()
-	UseIsolatedFutures(symbol string)
-	GetFuturesSettings() FuturesSettings
-}
+type MarginType string

-type FuturesSettings struct {
-	IsFutures             bool
-	IsIsolatedFutures     bool
-	IsolatedFuturesSymbol string
-}
-
-func (s FuturesSettings) GetFuturesSettings() FuturesSettings {
-	return s
-}
-
-func (s *FuturesSettings) UseFutures() {
-	s.IsFutures = true
-}
-
-func (s *FuturesSettings) UseIsolatedFutures(symbol string) {
-	s.IsFutures = true
-	s.IsIsolatedFutures = true
-	s.IsolatedFuturesSymbol = symbol
-}
-
-// FuturesUserAsset define cross/isolated futures account asset
-type FuturesUserAsset struct {
-	Asset                  string           `json:"asset"`
-	InitialMargin          fixedpoint.Value `json:"initialMargin"`
-	MaintMargin            fixedpoint.Value `json:"maintMargin"`
-	MarginBalance          fixedpoint.Value `json:"marginBalance"`
-	MaxWithdrawAmount      fixedpoint.Value `json:"maxWithdrawAmount"`
-	OpenOrderInitialMargin fixedpoint.Value `json:"openOrderInitialMargin"`
-	PositionInitialMargin  fixedpoint.Value `json:"positionInitialMargin"`
-	UnrealizedProfit       fixedpoint.Value `json:"unrealizedProfit"`
-	WalletBalance          fixedpoint.Value `json:"walletBalance"`
-}
+const (
+	MarginTypeSpot           MarginType = "spot"
+	MarginTypeCrossMargin    MarginType = "cross_margin"
+	MarginTypeIsolatedMargin MarginType = "isolated_margin"
+)

 type MarginExchange interface {
 	UseMargin()