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fix fee calculation

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This commit is contained in:
c9s 2020-08-05 18:49:32 +08:00
parent c8849e76a1
commit 78be592fee
1 changed files with 35 additions and 34 deletions
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47
bbgo/pnl.go
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@ -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{}
@ -49,14 +50,22 @@ 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 {
if trade.FeeCurrency == c.TradingFeeCurrency {
bidVolume -= trade.Fee
}
}
if _, ok := currencyFees[trade.FeeCurrency]; !ok {
currencyFees[trade.FeeCurrency] = 0.0
@ -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,
@ -112,8 +111,8 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
Stock: stock,
Profit: profit,
AverageBidPrice: averageBidPrice,
FeeUSD: fee,
AverageBidCost: averageBidPrice,
FeeUSD: feeUSD,
CurrencyFees: currencyFees,
}
}
@ -125,7 +124,7 @@ type ProfitAndLossReport struct {
NumTrades int
Profit float64
AverageBidPrice float64
AverageBidCost float64
BidVolume float64
AskVolume float64
FeeUSD float64
@ -135,10 +134,11 @@ type ProfitAndLossReport struct {
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},
},