From 74cc36121b8a2ebab817f0dc2b646ac69920f348 Mon Sep 17 00:00:00 2001
From: c9s <yoanlin93@gmail.com>
Date: Mon, 28 Oct 2024 15:08:09 +0800
Subject: [PATCH] liqmaker: sum exposure in quote quantity (usd)

---
 pkg/strategy/liquiditymaker/metrics.go  | 22 +++++++++++++++++
 pkg/strategy/liquiditymaker/strategy.go | 33 ++++++++++++++++++++++---
 2 files changed, 52 insertions(+), 3 deletions(-)
 create mode 100644 pkg/strategy/liquiditymaker/metrics.go

diff --git a/pkg/strategy/liquiditymaker/metrics.go b/pkg/strategy/liquiditymaker/metrics.go
new file mode 100644
index 000000000..7dfccf3a2
--- /dev/null
+++ b/pkg/strategy/liquiditymaker/metrics.go
@@ -0,0 +1,22 @@
+package liquiditymaker
+
+import "github.com/prometheus/client_golang/prometheus"
+
+var openOrderBidExposureInUsdMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "liqmaker_open_order_bid_exposure_in_usd",
+		Help: "",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
+var openOrderAskExposureInUsdMetrics = prometheus.NewGaugeVec(
+	prometheus.GaugeOpts{
+		Name: "liqmaker_open_order_ask_exposure_in_usd",
+		Help: "",
+	}, []string{"strategy_type", "strategy_id", "exchange", "symbol"})
+
+func init() {
+	prometheus.MustRegister(
+		openOrderBidExposureInUsdMetrics,
+		openOrderAskExposureInUsdMetrics,
+	)
+}
diff --git a/pkg/strategy/liquiditymaker/strategy.go b/pkg/strategy/liquiditymaker/strategy.go
index 817596409..2921e3dd2 100644
--- a/pkg/strategy/liquiditymaker/strategy.go
+++ b/pkg/strategy/liquiditymaker/strategy.go
@@ -5,6 +5,7 @@ import (
 	"fmt"
 	"sync"
 
+	"github.com/prometheus/client_golang/prometheus"
 	log "github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
@@ -80,7 +81,8 @@ type Strategy struct {
 
 	orderGenerator *LiquidityOrderGenerator
 
-	logger log.FieldLogger
+	logger        log.FieldLogger
+	metricsLabels prometheus.Labels
 }
 
 func (s *Strategy) Initialize() error {
@@ -88,9 +90,19 @@ func (s *Strategy) Initialize() error {
 		s.Strategy = &common.Strategy{}
 	}
 
-	s.logger = log.WithField("strategy", ID).WithFields(log.Fields{
-		"symbol": s.Symbol,
+	s.logger = log.WithFields(log.Fields{
+		"symbol":      s.Symbol,
+		"strategy":    ID,
+		"strategy_id": s.InstanceID(),
 	})
+
+	s.metricsLabels = prometheus.Labels{
+		"strategy_type": ID,
+		"strategy_id":   s.InstanceID(),
+		"exchange":      string(s.Session.Exchange.Name()),
+		"symbol":        s.Symbol,
+	}
+
 	return nil
 }
 
@@ -407,6 +419,8 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
 		}
 	}
 
+	var bidExposureInUsd = fixedpoint.Zero
+	var askExposureInUsd = fixedpoint.Zero
 	var orderForms []types.SubmitOrder
 	if placeBid {
 		bidOrders := s.orderGenerator.Generate(types.SideTypeBuy,
@@ -416,6 +430,7 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
 			s.NumOfLiquidityLayers,
 			s.liquidityScale)
 
+		bidExposureInUsd = sumOrderQuoteQuantity(bidOrders)
 		orderForms = append(orderForms, bidOrders...)
 	}
 
@@ -428,6 +443,7 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
 			s.liquidityScale)
 
 		askOrders = filterAskOrders(askOrders, baseBal.Available)
+		askExposureInUsd = sumOrderQuoteQuantity(askOrders)
 		orderForms = append(orderForms, askOrders...)
 	}
 
@@ -440,6 +456,9 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
 
 	s.liquidityOrderBook.Add(createdOrders...)
 
+	openOrderBidExposureInUsdMetrics.With(s.metricsLabels).Set(bidExposureInUsd.Float64())
+	openOrderAskExposureInUsdMetrics.With(s.metricsLabels).Set(askExposureInUsd.Float64())
+
 	s.logger.Infof("%d liq orders are placed successfully", len(orderForms))
 	for _, o := range createdOrders {
 		s.logger.Infof("liq order: %+v", o)
@@ -464,6 +483,14 @@ func profitProtectedPrice(
 	return price
 }
 
+func sumOrderQuoteQuantity(orders []types.SubmitOrder) fixedpoint.Value {
+	sum := fixedpoint.Zero
+	for _, order := range orders {
+		sum = sum.Add(order.Price.Mul(order.Quantity))
+	}
+	return sum
+}
+
 func filterAskOrders(askOrders []types.SubmitOrder, available fixedpoint.Value) (out []types.SubmitOrder) {
 	usedBase := fixedpoint.Zero
 	for _, askOrder := range askOrders {