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Merge pull request #758 from c9s/improve/pnl-cmd
improve: add pnl cmd options and fix trade query
This commit is contained in:
commit
7398afbde7
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@ -18,10 +18,12 @@ import (
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)
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func init() {
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PnLCmd.Flags().String("session", "", "target exchange")
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PnLCmd.Flags().StringArray("session", []string{}, "target exchange sessions")
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PnLCmd.Flags().String("symbol", "", "trading symbol")
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PnLCmd.Flags().Bool("include-transfer", false, "convert transfer records into trades")
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PnLCmd.Flags().Int("limit", 0, "number of trades")
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PnLCmd.Flags().Bool("sync", false, "sync before loading trades")
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PnLCmd.Flags().String("since", "", "query trades from a time point")
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PnLCmd.Flags().Uint64("limit", 0, "number of trades")
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RootCmd.AddCommand(PnLCmd)
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}
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@ -33,7 +35,16 @@ var PnLCmd = &cobra.Command{
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RunE: func(cmd *cobra.Command, args []string) error {
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ctx := context.Background()
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sessionName, err := cmd.Flags().GetString("session")
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sessionNames, err := cmd.Flags().GetStringArray("session")
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if err != nil {
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return err
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}
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if len(sessionNames) == 0 {
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return errors.New("--session [SESSION] is required")
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}
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wantSync, err := cmd.Flags().GetBool("sync")
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if err != nil {
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return err
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}
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@ -47,7 +58,30 @@ var PnLCmd = &cobra.Command{
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return errors.New("--symbol [SYMBOL] is required")
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}
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limit, err := cmd.Flags().GetInt("limit")
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// this is the default since
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since := time.Now().AddDate(-1, 0, 0)
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sinceOpt, err := cmd.Flags().GetString("since")
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if err != nil {
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return err
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}
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if sinceOpt != "" {
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lt, err := types.ParseLooseFormatTime(sinceOpt)
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if err != nil {
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return err
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}
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since = lt.Time()
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}
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until := time.Now()
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includeTransfer, err := cmd.Flags().GetBool("include-transfer")
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if err != nil {
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return err
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}
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limit, err := cmd.Flags().GetUint64("limit")
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if err != nil {
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return err
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}
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@ -62,35 +96,21 @@ var PnLCmd = &cobra.Command{
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return err
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}
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for _, sessionName := range sessionNames {
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session, ok := environ.Session(sessionName)
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if !ok {
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return fmt.Errorf("session %s not found", sessionName)
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}
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if err := environ.SyncSession(ctx, session); err != nil {
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if wantSync {
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if err := environ.SyncSession(ctx, session, symbol); err != nil {
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return err
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}
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if err = environ.Init(ctx); err != nil {
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return err
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}
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exchange := session.Exchange
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market, ok := session.Market(symbol)
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if !ok {
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return fmt.Errorf("market config %s not found", symbol)
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}
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since := time.Now().AddDate(-1, 0, 0)
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until := time.Now()
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includeTransfer, err := cmd.Flags().GetBool("include-transfer")
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if err != nil {
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return err
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}
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if includeTransfer {
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exchange := session.Exchange
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market, _ := session.Market(symbol)
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transferService, ok := exchange.(types.ExchangeTransferService)
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if !ok {
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return fmt.Errorf("session exchange %s does not implement transfer service", sessionName)
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@ -119,6 +139,14 @@ var PnLCmd = &cobra.Command{
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return err
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}
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}
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}
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if err = environ.Init(ctx); err != nil {
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return err
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}
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session, _ := environ.Session(sessionNames[0])
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exchange := session.Exchange
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var trades []types.Trade
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tradingFeeCurrency := exchange.PlatformFeeCurrency()
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@ -129,6 +157,8 @@ var PnLCmd = &cobra.Command{
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trades, err = environ.TradeService.Query(service.QueryTradesOptions{
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Symbol: symbol,
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Limit: limit,
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Sessions: sessionNames,
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Since: &since,
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})
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}
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@ -20,12 +20,14 @@ var ErrTradeNotFound = errors.New("trade not found")
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type QueryTradesOptions struct {
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Exchange types.ExchangeName
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Sessions []string
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Symbol string
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LastGID int64
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Since *time.Time
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// ASC or DESC
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Ordering string
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Limit int
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Limit uint64
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}
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type TradingVolume struct {
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@ -295,13 +297,43 @@ func (s *TradeService) QueryForTradingFeeCurrency(ex types.ExchangeName, symbol
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}
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func (s *TradeService) Query(options QueryTradesOptions) ([]types.Trade, error) {
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sql := queryTradesSQL(options)
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args := map[string]interface{}{
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"exchange": options.Exchange,
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"symbol": options.Symbol,
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sel := sq.Select("*").
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From("trades")
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if options.Since != nil {
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sel = sel.Where(sq.GtOrEq{"traded_at": options.Since})
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}
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rows, err := s.DB.NamedQuery(sql, args)
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sel = sel.Where(sq.Eq{"symbol": options.Symbol})
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if options.Exchange != "" {
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sel = sel.Where(sq.Eq{"exchange": options.Exchange})
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}
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if len(options.Sessions) > 0 {
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// FIXME: right now we only have the exchange field in the db, we might need to add the session field too.
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sel = sel.Where(sq.Eq{"exchange": options.Sessions})
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}
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if options.Ordering != "" {
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sel = sel.OrderBy("traded_at " + options.Ordering)
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} else {
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sel = sel.OrderBy("traded_at ASC")
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}
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if options.Limit > 0 {
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sel = sel.Limit(options.Limit)
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}
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sql, args, err := sel.ToSql()
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if err != nil {
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return nil, err
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}
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log.Debug(sql)
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log.Debug(args)
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rows, err := s.DB.Queryx(sql, args...)
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if err != nil {
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return nil, err
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}
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@ -408,7 +440,7 @@ func queryTradesSQL(options QueryTradesOptions) string {
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sql += ` ORDER BY gid ` + ordering
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if options.Limit > 0 {
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sql += ` LIMIT ` + strconv.Itoa(options.Limit)
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sql += ` LIMIT ` + strconv.FormatUint(options.Limit, 10)
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}
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return sql
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@ -92,7 +92,7 @@ func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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func (s *Strategy) Run(ctx context.Context, session *bbgo.ExchangeSession) error {
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func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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if s.BudgetQuota.IsZero() {
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s.BudgetQuota = s.Budget
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}
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@ -402,7 +402,7 @@ func (s *Strategy) adjustOrderQuantity(submitOrder types.SubmitOrder) types.Subm
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return submitOrder
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}
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func (s *Strategy) Run(ctx context.Context, session *bbgo.ExchangeSession) error {
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func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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instanceID := fmt.Sprintf("%s-%s", ID, s.Symbol)
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s.status = types.StrategyStatusRunning
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@ -239,18 +239,47 @@ var looseTimeFormats = []string{
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// LooseFormatTime parses date time string with a wide range of formats.
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type LooseFormatTime time.Time
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func ParseLooseFormatTime(s string) (LooseFormatTime, error) {
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var t time.Time
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switch s {
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case "now":
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t = time.Now()
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return LooseFormatTime(t), nil
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case "yesterday":
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t = time.Now().AddDate(0, 0, -1)
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return LooseFormatTime(t), nil
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case "last month":
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t = time.Now().AddDate(0, -1, 0)
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return LooseFormatTime(t), nil
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case "last year":
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t = time.Now().AddDate(-1, 0, 0)
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return LooseFormatTime(t), nil
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}
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tv, err := util.ParseTimeWithFormats(s, looseTimeFormats)
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if err != nil {
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return LooseFormatTime{}, err
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}
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return LooseFormatTime(tv), nil
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}
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func (t *LooseFormatTime) UnmarshalYAML(unmarshal func(interface{}) error) error {
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var str string
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if err := unmarshal(&str); err != nil {
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return err
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}
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tv, err := util.ParseTimeWithFormats(str, looseTimeFormats)
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lt, err := ParseLooseFormatTime(str)
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if err != nil {
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return err
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}
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*t = LooseFormatTime(tv)
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*t = lt
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return nil
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}
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@ -7,6 +7,22 @@ import (
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"github.com/stretchr/testify/assert"
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)
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func TestParseLooseFormatTime_alias_now(t *testing.T) {
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lt, err := ParseLooseFormatTime("now")
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assert.NoError(t, err)
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now := time.Now()
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assert.True(t, now.Sub(lt.Time()) < 10*time.Millisecond)
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}
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func TestParseLooseFormatTime_alias_yesterday(t *testing.T) {
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lt, err := ParseLooseFormatTime("yesterday")
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assert.NoError(t, err)
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tt := time.Now().AddDate(0, 0, -1)
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assert.True(t, tt.Sub(lt.Time()) < 10*time.Millisecond)
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}
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func TestLooseFormatTime_UnmarshalJSON(t *testing.T) {
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tests := []struct {
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name string
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