Merge pull request #1795 from c9s/c9s/liqmaker/metrics-and-tests

IMPROVE: add test helper for price side quantity assertion

pkg/dbg/orders.go

@@ -0,0 +1,21 @@
+package dbg
+
+import (
+	"fmt"
+	"strings"
+
+	"github.com/sirupsen/logrus"
+
+	types2 "github.com/c9s/bbgo/pkg/types"
+)
+
+func DebugSubmitOrders(logger logrus.FieldLogger, submitOrders []types2.SubmitOrder) {
+	var sb strings.Builder
+	sb.WriteString("SubmitOrders[\n")
+	for i, order := range submitOrders {
+		sb.WriteString(fmt.Sprintf("%3d) ", i+1) + order.String() + "\n")
+	}
+	sb.WriteString("] End of SubmitOrders")
+
+	logger.Info(sb.String())
+}

pkg/strategy/dca2/recover.go

@@ -6,10 +6,11 @@ import (
 	"strconv"
 	"time"
 
+	"github.com/pkg/errors"
+
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/exchange/retry"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/pkg/errors"
 )
 
 var recoverSinceLimit = time.Date(2024, time.January, 29, 12, 0, 0, 0, time.Local)
@@ -65,7 +66,7 @@ func recoverState(ctx context.Context, maxOrderCount int, currentRound Round, or
 
 	// dca stop at take-profit order stage
 	if len(currentRound.TakeProfitOrders) > 0 {
-		openedOrders, cancelledOrders, filledOrders, unexpectedOrders := classifyOrders(currentRound.TakeProfitOrders)
+		openedOrders, cancelledOrders, filledOrders, unexpectedOrders := types.ClassifyOrdersByStatus(currentRound.TakeProfitOrders)
 
 		if len(unexpectedOrders) > 0 {
 			return None, fmt.Errorf("there is unexpected status in orders %+v", unexpectedOrders)
@@ -96,7 +97,7 @@ func recoverState(ctx context.Context, maxOrderCount int, currentRound Round, or
 	}
 
 	// collect open-position orders' status
-	openedOrders, cancelledOrders, filledOrders, unexpectedOrders := classifyOrders(currentRound.OpenPositionOrders)
+	openedOrders, cancelledOrders, filledOrders, unexpectedOrders := types.ClassifyOrdersByStatus(currentRound.OpenPositionOrders)
 	if len(unexpectedOrders) > 0 {
 		return None, fmt.Errorf("there is unexpected status of orders %+v", unexpectedOrders)
 	}
@@ -124,7 +125,9 @@ func recoverState(ctx context.Context, maxOrderCount int, currentRound Round, or
 	return OpenPositionOrdersCancelling, nil
 }
 
-func recoverPosition(ctx context.Context, position *types.Position, currentRound Round, queryService types.ExchangeOrderQueryService) error {
+func recoverPosition(
+	ctx context.Context, position *types.Position, currentRound Round, queryService types.ExchangeOrderQueryService,
+) error {
 	if position == nil {
 		return fmt.Errorf("position is nil, please check it")
 	}
@@ -191,20 +194,3 @@ func recoverStartTimeOfNextRound(ctx context.Context, currentRound Round, coolDo
 
 	return startTimeOfNextRound
 }
-
-func classifyOrders(orders []types.Order) (opened, cancelled, filled, unexpected []types.Order) {
-	for _, order := range orders {
-		switch order.Status {
-		case types.OrderStatusNew, types.OrderStatusPartiallyFilled:
-			opened = append(opened, order)
-		case types.OrderStatusFilled:
-			filled = append(filled, order)
-		case types.OrderStatusCanceled:
-			cancelled = append(cancelled, order)
-		default:
-			unexpected = append(unexpected, order)
-		}
-	}
-
-	return opened, cancelled, filled, unexpected
-}

pkg/strategy/dca2/recover_test.go

@@ -165,7 +165,7 @@ func Test_classifyOrders(t *testing.T) {
 		types.Order{Status: types.OrderStatusCanceled},
 	}
 
-	opened, cancelled, filled, unexpected := classifyOrders(orders)
+	opened, cancelled, filled, unexpected := types.ClassifyOrdersByStatus(orders)
 	assert.Equal(t, 3, len(opened))
 	assert.Equal(t, 4, len(cancelled))
 	assert.Equal(t, 2, len(filled))

pkg/strategy/liquiditymaker/generator.go

@@ -46,6 +46,14 @@ func (g *LiquidityOrderGenerator) Generate(
 		g.logger = logger
 	}
 
+	g.logger.Infof("generating %s orders with total amount %s from price %s to price %s with %d layers",
+		side,
+		totalAmount.String(),
+		startPrice.String(),
+		endPrice.String(),
+		numLayers,
+	)
+
 	layerSpread := endPrice.Sub(startPrice).Div(fixedpoint.NewFromInt(int64(numLayers - 1)))
 	switch side {
 	case types.SideTypeSell:
@@ -59,6 +67,8 @@ func (g *LiquidityOrderGenerator) Generate(
 		}
 	}
 
+	g.logger.Infof("side %s layer spread: %s", side, layerSpread.String())
+
 	quantityBase := 0.0
 	var layerPrices []fixedpoint.Value
 	var layerScales []float64

pkg/strategy/liquiditymaker/generator_test.go

@@ -111,4 +111,48 @@ func TestLiquidityOrderGenerator(t *testing.T) {
 			{Side: types.SideTypeBuy, Price: Number("1.9600"), Quantity: Number("620.54")},
 		}, orders[28:30])
 	})
+
+	t.Run("bid orders 2", func(t *testing.T) {
+		orders := g.Generate(types.SideTypeBuy, Number(1000.0), Number(0.29), Number(0.20), 30, scale)
+		assert.Len(t, orders, 30)
+
+		totalQuoteQuantity := fixedpoint.NewFromInt(0)
+		for _, o := range orders {
+			totalQuoteQuantity = totalQuoteQuantity.Add(o.Quantity.Mul(o.Price))
+		}
+		assert.InDelta(t, 1000.0, totalQuoteQuantity.Float64(), 1.0)
+
+		AssertOrdersPriceSideQuantityFromText(t, `
+  		BUY,0.2899,65.41
+        BUY,0.2868,68.61
+        BUY,0.2837,71.97
+        BUY,0.2806,75.5
+        BUY,0.2775,79.2
+        BUY,0.2744,83.07
+        BUY,0.2713,87.14
+        BUY,0.2682,91.41
+        BUY,0.2651,95.88
+        BUY,0.262,100.58
+        BUY,0.2589,105.5
+        BUY,0.2558,110.67
+        BUY,0.2527,116.09
+        BUY,0.2496,121.77
+        BUY,0.2465,127.74
+        BUY,0.2434,133.99
+        BUY,0.2403,140.55
+        BUY,0.2372,147.44
+        BUY,0.2341,154.65
+        BUY,0.231,162.23
+        BUY,0.2279,170.17
+        BUY,0.2248,178.5
+        BUY,0.2217,187.24
+        BUY,0.2186,196.41
+        BUY,0.2155,206.03
+        BUY,0.2124,216.12
+        BUY,0.2093,226.7
+        BUY,0.2062,237.8
+        BUY,0.2031,249.44
+        BUY,0.2,261.66
+		`, orders)
+	})
 }

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,
+	)
+}

pkg/strategy/liquiditymaker/strategy.go

@@ -5,9 +5,11 @@ import (
 	"fmt"
 	"sync"
 
+	"github.com/prometheus/client_golang/prometheus"
 	log "github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/dbg"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
 	"github.com/c9s/bbgo/pkg/strategy/common"
@@ -79,7 +81,8 @@ type Strategy struct {
 
 	orderGenerator *LiquidityOrderGenerator
 
-	logger log.FieldLogger
+	logger        log.FieldLogger
+	metricsLabels prometheus.Labels
 }
 
 func (s *Strategy) Initialize() error {
@@ -87,9 +90,19 @@ func (s *Strategy) Initialize() error {
 		s.Strategy = &common.Strategy{}
 	}
 
-	s.logger = log.WithField("strategy", ID).WithFields(log.Fields{
+	s.logger = log.WithFields(log.Fields{
-		"symbol": s.Symbol,
+		"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
 }
 
@@ -406,6 +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,
@@ -415,6 +430,7 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
 			s.NumOfLiquidityLayers,
 			s.liquidityScale)
 
+		bidExposureInUsd = sumOrderQuoteQuantity(bidOrders)
 		orderForms = append(orderForms, bidOrders...)
 	}
 
@@ -427,9 +443,12 @@ func (s *Strategy) placeLiquidityOrders(ctx context.Context) {
 			s.liquidityScale)
 
 		askOrders = filterAskOrders(askOrders, baseBal.Available)
+		askExposureInUsd = sumOrderQuoteQuantity(askOrders)
 		orderForms = append(orderForms, askOrders...)
 	}
 
+	dbg.DebugSubmitOrders(s.logger, orderForms)
+
 	createdOrders, err := s.OrderExecutor.SubmitOrders(ctx, orderForms...)
 	if util.LogErr(err, "unable to place liquidity orders") {
 		return
@@ -437,6 +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)
@@ -461,6 +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 {

pkg/testing/testhelper/assert_priceside.go

@@ -1,6 +1,8 @@
 package testhelper
 
 import (
+	"fmt"
+	"strings"
 	"testing"
 
 	"github.com/stretchr/testify/assert"
@@ -28,6 +30,55 @@ type PriceSideQuantityAssert struct {
 	Quantity fixedpoint.Value
 }
 
+func ParsePriceSideQuantityAssertions(text string) []PriceSideQuantityAssert {
+	var asserts []PriceSideQuantityAssert
+	lines := strings.Split(text, "\n")
+	for _, line := range lines {
+		line = strings.TrimSpace(line)
+		if line == "" {
+			continue
+		}
+
+		cols := strings.SplitN(line, ",", 3)
+		if len(cols) < 3 {
+			panic(fmt.Errorf("column length should be 3, got %d", len(cols)))
+		}
+
+		side := strings.TrimSpace(cols[0])
+		price := fixedpoint.MustNewFromString(strings.TrimSpace(cols[1]))
+		quantity := fixedpoint.MustNewFromString(strings.TrimSpace(cols[2]))
+		asserts = append(asserts, PriceSideQuantityAssert{
+			Price:    price,
+			Side:     types.SideType(side),
+			Quantity: quantity,
+		})
+	}
+
+	return asserts
+}
+
+func AssertOrdersPriceSideQuantityFromText(
+	t *testing.T, text string, orders []types.SubmitOrder,
+) {
+	asserts := ParsePriceSideQuantityAssertions(text)
+	assert.Equalf(t, len(asserts), len(orders), "expecting %d orders", len(asserts))
+	for i, a := range asserts {
+		order := orders[i]
+		assert.Equalf(t, a.Price.Float64(), order.Price.Float64(), "order #%d price should be %f", i+1, a.Price.Float64())
+		assert.Equalf(t, a.Quantity.Float64(), order.Quantity.Float64(), "order #%d quantity should be %f", i+1, a.Quantity.Float64())
+		assert.Equalf(t, a.Side, orders[i].Side, "order at price %f should be %s", a.Price.Float64(), a.Side)
+
+	}
+
+	if t.Failed() {
+		actualInText := "Actual Orders:\n"
+		for _, order := range orders {
+			actualInText += fmt.Sprintf("%s,%s,%s\n", order.Side, order.Price.String(), order.Quantity.String())
+		}
+		t.Log(actualInText)
+	}
+}
+
 // AssertOrdersPriceSide asserts the orders with the given price and side (slice)
 func AssertOrdersPriceSideQuantity(
 	t *testing.T, asserts []PriceSideQuantityAssert, orders []types.SubmitOrder,

pkg/types/orders.go

@@ -0,0 +1,18 @@
+package types
+
+func ClassifyOrdersByStatus(orders []Order) (opened, cancelled, filled, unexpected []Order) {
+	for _, order := range orders {
+		switch order.Status {
+		case OrderStatusNew, OrderStatusPartiallyFilled:
+			opened = append(opened, order)
+		case OrderStatusFilled:
+			filled = append(filled, order)
+		case OrderStatusCanceled:
+			cancelled = append(cancelled, order)
+		default:
+			unexpected = append(unexpected, order)
+		}
+	}
+
+	return opened, cancelled, filled, unexpected
+}