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https://github.com/c9s/bbgo.git
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fix fee calculation
This commit is contained in:
parent
c8849e76a1
commit
78be592fee
69
bbgo/pnl.go
69
bbgo/pnl.go
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@ -31,10 +31,11 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
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var trades = c.Trades
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var bidVolume = 0.0
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var bidAmount = 0.0
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var bidFee = 0.0
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var askVolume = 0.0
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var askFee = 0.0
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var feeUSD = 0.0
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var bidFeeUSD = 0.0
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var feeRate = 0.0015
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var currencyFees = map[string]float64{}
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@ -49,13 +50,21 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
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// since we use USDT as the quote currency, we simply check if it matches the currency symbol
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if strings.HasPrefix(trade.Symbol, trade.FeeCurrency) {
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bidVolume -= trade.Fee
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bidFee += trade.Price * trade.Fee
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feeUSD += trade.Price * trade.Fee
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if trade.IsBuyer {
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bidFeeUSD += trade.Price * trade.Fee
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}
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} else if trade.FeeCurrency == "USDT" {
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bidFee += trade.Fee
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feeUSD += trade.Fee
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if trade.IsBuyer {
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bidFeeUSD += trade.Fee
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}
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}
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} else if trade.FeeCurrency == c.TradingFeeCurrency {
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bidVolume -= trade.Fee
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} else {
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if trade.FeeCurrency == c.TradingFeeCurrency {
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bidVolume -= trade.Fee
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}
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}
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if _, ok := currencyFees[trade.FeeCurrency]; !ok {
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@ -64,9 +73,9 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
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currencyFees[trade.FeeCurrency] += trade.Fee
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}
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log.Infof("average bid price = (total amount %f + total fee %f) / volume %f", bidAmount, bidFee, bidVolume)
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log.Infof("average bid price = (total amount %f + total feeUSD %f) / volume %f", bidAmount, bidFeeUSD, bidVolume)
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profit := 0.0
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averageBidPrice := (bidAmount + bidFee) / bidVolume
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averageBidPrice := (bidAmount + bidFeeUSD) / bidVolume
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for _, t := range trades {
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if t.Symbol != c.Symbol {
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@ -79,19 +88,11 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
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profit += (t.Price - averageBidPrice) * t.Quantity
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askVolume += t.Quantity
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// since we use USDT as the quote currency, we simply check if it matches the currency symbol
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if strings.HasPrefix(t.Symbol, t.FeeCurrency) {
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askFee += t.Price * t.Fee
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} else if t.FeeCurrency == "USDT" {
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askFee += t.Fee
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}
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}
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profit -= askFee
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profit -= feeUSD
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stock := bidVolume - askVolume
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futureFee := 0.0
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if stock > 0 {
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_ = feeRate
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// stockFee := c.CurrentPrice * feeRate * stock
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@ -99,8 +100,6 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
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// futureFee += stockFee
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}
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fee := bidFee + askFee + futureFee
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return &ProfitAndLossReport{
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Symbol: c.Symbol,
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StartTime: c.StartTime,
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@ -110,11 +109,11 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
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BidVolume: bidVolume,
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AskVolume: askVolume,
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Stock: stock,
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Profit: profit,
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AverageBidPrice: averageBidPrice,
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FeeUSD: fee,
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CurrencyFees: currencyFees,
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Stock: stock,
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Profit: profit,
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AverageBidCost: averageBidPrice,
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FeeUSD: feeUSD,
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CurrencyFees: currencyFees,
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}
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}
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@ -123,22 +122,23 @@ type ProfitAndLossReport struct {
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StartTime time.Time
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Symbol string
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NumTrades int
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Profit float64
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AverageBidPrice float64
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BidVolume float64
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AskVolume float64
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FeeUSD float64
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Stock float64
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CurrencyFees map[string]float64
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NumTrades int
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Profit float64
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AverageBidCost float64
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BidVolume float64
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AskVolume float64
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FeeUSD float64
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Stock float64
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CurrencyFees map[string]float64
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}
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func (report ProfitAndLossReport) Print() {
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log.Infof("trades since: %v", report.StartTime)
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log.Infof("average bid price: %s", USD.FormatMoneyFloat64(report.AverageBidPrice))
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log.Infof("average bid cost: %s", USD.FormatMoneyFloat64(report.AverageBidCost))
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log.Infof("total bid volume: %f", report.BidVolume)
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log.Infof("total ask volume: %f", report.AskVolume)
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log.Infof("stock: %f", report.Stock)
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log.Infof("fee (USD): %f", report.FeeUSD)
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log.Infof("current price: %s", USD.FormatMoneyFloat64(report.CurrentPrice))
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log.Infof("profit: %s", USD.FormatMoneyFloat64(report.Profit))
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log.Infof("currency fees:")
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@ -170,8 +170,9 @@ func (report ProfitAndLossReport) SlackAttachment() slack.Attachment {
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Fields: []slack.AttachmentField{
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{Title: "Symbol", Value: report.Symbol, Short: true},
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{Title: "Profit", Value: USD.FormatMoney(report.Profit), Short: true},
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{Title: "Fee (USD)", Value: USD.FormatMoney(report.FeeUSD), Short: true},
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{Title: "Current Price", Value: USD.FormatMoney(report.CurrentPrice), Short: true},
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{Title: "Average Bid Price", Value: USD.FormatMoney(report.AverageBidPrice), Short: true},
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{Title: "Average Bid Cost", Value: USD.FormatMoney(report.AverageBidCost), Short: true},
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{Title: "Number of Trades", Value: strconv.Itoa(report.NumTrades), Short: true},
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{Title: "Stock", Value: strconv.FormatFloat(report.Stock, 'f', 8, 64), Short: true},
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},
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