fix fee calculation

bbgo/pnl.go

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