Merge pull request #758 from c9s/improve/pnl-cmd

improve: add pnl cmd options and fix trade query
This commit is contained in:
Yo-An Lin 2022-06-22 18:38:02 +08:00 committed by GitHub
commit 7398afbde7
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6 changed files with 173 additions and 66 deletions

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@ -18,10 +18,12 @@ import (
)
func init() {
PnLCmd.Flags().String("session", "", "target exchange")
PnLCmd.Flags().StringArray("session", []string{}, "target exchange sessions")
PnLCmd.Flags().String("symbol", "", "trading symbol")
PnLCmd.Flags().Bool("include-transfer", false, "convert transfer records into trades")
PnLCmd.Flags().Int("limit", 0, "number of trades")
PnLCmd.Flags().Bool("sync", false, "sync before loading trades")
PnLCmd.Flags().String("since", "", "query trades from a time point")
PnLCmd.Flags().Uint64("limit", 0, "number of trades")
RootCmd.AddCommand(PnLCmd)
}
@ -33,7 +35,16 @@ var PnLCmd = &cobra.Command{
RunE: func(cmd *cobra.Command, args []string) error {
ctx := context.Background()
sessionName, err := cmd.Flags().GetString("session")
sessionNames, err := cmd.Flags().GetStringArray("session")
if err != nil {
return err
}
if len(sessionNames) == 0 {
return errors.New("--session [SESSION] is required")
}
wantSync, err := cmd.Flags().GetBool("sync")
if err != nil {
return err
}
@ -47,7 +58,30 @@ var PnLCmd = &cobra.Command{
return errors.New("--symbol [SYMBOL] is required")
}
limit, err := cmd.Flags().GetInt("limit")
// this is the default since
since := time.Now().AddDate(-1, 0, 0)
sinceOpt, err := cmd.Flags().GetString("since")
if err != nil {
return err
}
if sinceOpt != "" {
lt, err := types.ParseLooseFormatTime(sinceOpt)
if err != nil {
return err
}
since = lt.Time()
}
until := time.Now()
includeTransfer, err := cmd.Flags().GetBool("include-transfer")
if err != nil {
return err
}
limit, err := cmd.Flags().GetUint64("limit")
if err != nil {
return err
}
@ -62,35 +96,21 @@ var PnLCmd = &cobra.Command{
return err
}
for _, sessionName := range sessionNames {
session, ok := environ.Session(sessionName)
if !ok {
return fmt.Errorf("session %s not found", sessionName)
}
if err := environ.SyncSession(ctx, session); err != nil {
if wantSync {
if err := environ.SyncSession(ctx, session, symbol); err != nil {
return err
}
if err = environ.Init(ctx); err != nil {
return err
}
exchange := session.Exchange
market, ok := session.Market(symbol)
if !ok {
return fmt.Errorf("market config %s not found", symbol)
}
since := time.Now().AddDate(-1, 0, 0)
until := time.Now()
includeTransfer, err := cmd.Flags().GetBool("include-transfer")
if err != nil {
return err
}
if includeTransfer {
exchange := session.Exchange
market, _ := session.Market(symbol)
transferService, ok := exchange.(types.ExchangeTransferService)
if !ok {
return fmt.Errorf("session exchange %s does not implement transfer service", sessionName)
@ -119,6 +139,14 @@ var PnLCmd = &cobra.Command{
return err
}
}
}
if err = environ.Init(ctx); err != nil {
return err
}
session, _ := environ.Session(sessionNames[0])
exchange := session.Exchange
var trades []types.Trade
tradingFeeCurrency := exchange.PlatformFeeCurrency()
@ -129,6 +157,8 @@ var PnLCmd = &cobra.Command{
trades, err = environ.TradeService.Query(service.QueryTradesOptions{
Symbol: symbol,
Limit: limit,
Sessions: sessionNames,
Since: &since,
})
}

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@ -20,12 +20,14 @@ var ErrTradeNotFound = errors.New("trade not found")
type QueryTradesOptions struct {
Exchange types.ExchangeName
Sessions []string
Symbol string
LastGID int64
Since *time.Time
// ASC or DESC
Ordering string
Limit int
Limit uint64
}
type TradingVolume struct {
@ -295,13 +297,43 @@ func (s *TradeService) QueryForTradingFeeCurrency(ex types.ExchangeName, symbol
}
func (s *TradeService) Query(options QueryTradesOptions) ([]types.Trade, error) {
sql := queryTradesSQL(options)
args := map[string]interface{}{
"exchange": options.Exchange,
"symbol": options.Symbol,
sel := sq.Select("*").
From("trades")
if options.Since != nil {
sel = sel.Where(sq.GtOrEq{"traded_at": options.Since})
}
rows, err := s.DB.NamedQuery(sql, args)
sel = sel.Where(sq.Eq{"symbol": options.Symbol})
if options.Exchange != "" {
sel = sel.Where(sq.Eq{"exchange": options.Exchange})
}
if len(options.Sessions) > 0 {
// FIXME: right now we only have the exchange field in the db, we might need to add the session field too.
sel = sel.Where(sq.Eq{"exchange": options.Sessions})
}
if options.Ordering != "" {
sel = sel.OrderBy("traded_at " + options.Ordering)
} else {
sel = sel.OrderBy("traded_at ASC")
}
if options.Limit > 0 {
sel = sel.Limit(options.Limit)
}
sql, args, err := sel.ToSql()
if err != nil {
return nil, err
}
log.Debug(sql)
log.Debug(args)
rows, err := s.DB.Queryx(sql, args...)
if err != nil {
return nil, err
}
@ -408,7 +440,7 @@ func queryTradesSQL(options QueryTradesOptions) string {
sql += ` ORDER BY gid ` + ordering
if options.Limit > 0 {
sql += ` LIMIT ` + strconv.Itoa(options.Limit)
sql += ` LIMIT ` + strconv.FormatUint(options.Limit, 10)
}
return sql

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@ -92,7 +92,7 @@ func (s *Strategy) InstanceID() string {
return fmt.Sprintf("%s:%s", ID, s.Symbol)
}
func (s *Strategy) Run(ctx context.Context, session *bbgo.ExchangeSession) error {
func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
if s.BudgetQuota.IsZero() {
s.BudgetQuota = s.Budget
}

View File

@ -402,7 +402,7 @@ func (s *Strategy) adjustOrderQuantity(submitOrder types.SubmitOrder) types.Subm
return submitOrder
}
func (s *Strategy) Run(ctx context.Context, session *bbgo.ExchangeSession) error {
func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol)
s.status = types.StrategyStatusRunning

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@ -239,18 +239,47 @@ var looseTimeFormats = []string{
// LooseFormatTime parses date time string with a wide range of formats.
type LooseFormatTime time.Time
func ParseLooseFormatTime(s string) (LooseFormatTime, error) {
var t time.Time
switch s {
case "now":
t = time.Now()
return LooseFormatTime(t), nil
case "yesterday":
t = time.Now().AddDate(0, 0, -1)
return LooseFormatTime(t), nil
case "last month":
t = time.Now().AddDate(0, -1, 0)
return LooseFormatTime(t), nil
case "last year":
t = time.Now().AddDate(-1, 0, 0)
return LooseFormatTime(t), nil
}
tv, err := util.ParseTimeWithFormats(s, looseTimeFormats)
if err != nil {
return LooseFormatTime{}, err
}
return LooseFormatTime(tv), nil
}
func (t *LooseFormatTime) UnmarshalYAML(unmarshal func(interface{}) error) error {
var str string
if err := unmarshal(&str); err != nil {
return err
}
tv, err := util.ParseTimeWithFormats(str, looseTimeFormats)
lt, err := ParseLooseFormatTime(str)
if err != nil {
return err
}
*t = LooseFormatTime(tv)
*t = lt
return nil
}

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@ -7,6 +7,22 @@ import (
"github.com/stretchr/testify/assert"
)
func TestParseLooseFormatTime_alias_now(t *testing.T) {
lt, err := ParseLooseFormatTime("now")
assert.NoError(t, err)
now := time.Now()
assert.True(t, now.Sub(lt.Time()) < 10*time.Millisecond)
}
func TestParseLooseFormatTime_alias_yesterday(t *testing.T) {
lt, err := ParseLooseFormatTime("yesterday")
assert.NoError(t, err)
tt := time.Now().AddDate(0, 0, -1)
assert.True(t, tt.Sub(lt.Time()) < 10*time.Millisecond)
}
func TestLooseFormatTime_UnmarshalJSON(t *testing.T) {
tests := []struct {
name string