bbgo: add test case for calculateNetValueInQuote

pkg/bbgo/risk.go

@@ -115,32 +115,37 @@ func (c *AccountValueCalculator) MarketValue(ctx context.Context) (fixedpoint.Va
 }
 
 func (c *AccountValueCalculator) NetValue(ctx context.Context) (fixedpoint.Value, error) {
-	accountValue := fixedpoint.Zero
-
 	if len(c.prices) == 0 {
 		if err := c.UpdatePrices(ctx); err != nil {
-			return accountValue, err
+			return fixedpoint.Zero, err
 		}
 	}
 
 	balances := c.session.Account.Balances()
+	accountValue := calculateNetValueInQuote(balances, c.prices, c.quoteCurrency)
+	return accountValue, nil
+}
+
+func calculateNetValueInQuote(balances types.BalanceMap, prices map[string]fixedpoint.Value, quoteCurrency string) (accountValue fixedpoint.Value) {
+	accountValue = fixedpoint.Zero
+
 	for _, b := range balances {
-		if b.Currency == c.quoteCurrency {
+		if b.Currency == quoteCurrency {
 			accountValue = accountValue.Add(b.Net())
 			continue
 		}
 
-		symbol := b.Currency + c.quoteCurrency        // for BTC/USDT, ETH/USDT pairs
+		symbol := b.Currency + quoteCurrency        // for BTC/USDT, ETH/USDT pairs
-		symbolReverse := c.quoteCurrency + b.Currency // for USDT/USDC or USDT/TWD pairs
+		symbolReverse := quoteCurrency + b.Currency // for USDT/USDC or USDT/TWD pairs
-		if price, ok := c.prices[symbol]; ok {
+		if price, ok := prices[symbol]; ok {
 			accountValue = accountValue.Add(b.Net().Mul(price))
-		} else if priceReverse, ok2 := c.prices[symbolReverse]; ok2 {
+		} else if priceReverse, ok2 := prices[symbolReverse]; ok2 {
 			price2 := one.Div(priceReverse)
 			accountValue = accountValue.Add(b.Net().Mul(price2))
 		}
 	}
 
-	return accountValue, nil
+	return accountValue
 }
 
 func (c *AccountValueCalculator) AvailableQuote(ctx context.Context) (fixedpoint.Value, error) {
@@ -189,7 +194,7 @@ func (c *AccountValueCalculator) MarginLevel(ctx context.Context) (fixedpoint.Va
 	return marginLevel, nil
 }
 
-func aggregateUsdValue(balances types.BalanceMap) fixedpoint.Value {
+func aggregateUsdNetValue(balances types.BalanceMap) fixedpoint.Value {
 	totalUsdValue := fixedpoint.Zero
 	// get all usd value if any
 	for currency, balance := range balances {
@@ -247,7 +252,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
 	// for isolated margin we can calculate from these two pair
 	totalUsdValue := fixedpoint.Zero
 	if len(restBalances) == 1 && types.IsUSDFiatCurrency(market.QuoteCurrency) {
-		totalUsdValue = aggregateUsdValue(balances)
+		totalUsdValue = aggregateUsdNetValue(balances)
 	} else if len(restBalances) > 1 {
 		accountValue := NewAccountValueCalculator(session, "USDT")
 		netValue, err := accountValue.NetValue(context.Background())
@@ -258,7 +263,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
 		totalUsdValue = netValue
 	} else {
 		// TODO: translate quote currency like BTC of ETH/BTC to usd value
-		totalUsdValue = aggregateUsdValue(usdBalances)
+		totalUsdValue = aggregateUsdNetValue(usdBalances)
 	}
 
 	if !quantity.IsZero() {
@@ -270,7 +275,7 @@ func CalculateBaseQuantity(session *ExchangeSession, market types.Market, price,
 	}
 
 	// using leverage -- starts from here
-	log.Infof("calculating available leveraged base quantity: base balance = %+v, quote balance = %+v", baseBalance, quoteBalance)
+	log.Infof("calculating available leveraged base quantity: base balance = %+v, total usd value %f", baseBalance, totalUsdValue.Float64())
 
 	// calculate the quantity automatically
 	if session.Margin || session.IsolatedMargin {

pkg/bbgo/risk_test.go

@@ -184,7 +184,7 @@ func Test_aggregateUsdValue(t *testing.T) {
 	}
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
-			assert.Equalf(t, tt.want, aggregateUsdValue(tt.args.balances), "aggregateUsdValue(%v)", tt.args.balances)
+			assert.Equalf(t, tt.want, aggregateUsdNetValue(tt.args.balances), "aggregateUsdNetValue(%v)", tt.args.balances)
 		})
 	}
 }
@@ -226,3 +226,78 @@ func Test_usdFiatBalances(t *testing.T) {
 		})
 	}
 }
+
+func Test_calculateNetValueInQuote(t *testing.T) {
+	type args struct {
+		balances      types.BalanceMap
+		prices        map[string]fixedpoint.Value
+		quoteCurrency string
+	}
+	tests := []struct {
+		name             string
+		args             args
+		wantAccountValue fixedpoint.Value
+	}{
+		{
+			name: "positive asset",
+			args: args{
+				balances: types.BalanceMap{
+					"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
+					"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
+					"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
+					"BTC":  types.Balance{Currency: "BTC", Available: number(0.01)},
+				},
+				prices: map[string]fixedpoint.Value{
+					"USDCUSDT": number(1.0),
+					"BUSDUSDT": number(1.0),
+					"BTCUSDT":  number(19000.0),
+				},
+				quoteCurrency: "USDT",
+			},
+			wantAccountValue: number(19000.0*0.01 + 100.0 + 80.0 + 70.0),
+		},
+		{
+			name: "borrow base asset",
+			args: args{
+				balances: types.BalanceMap{
+					"USDT": types.Balance{Currency: "USDT", Available: number(20000.0 * 2)},
+					"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
+					"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
+					"BTC":  types.Balance{Currency: "BTC", Available: number(0), Borrowed: number(2.0)},
+				},
+				prices: map[string]fixedpoint.Value{
+					"USDCUSDT": number(1.0),
+					"BUSDUSDT": number(1.0),
+					"BTCUSDT":  number(19000.0),
+				},
+				quoteCurrency: "USDT",
+			},
+			wantAccountValue: number(19000.0*-2.0 + 20000.0*2 + 80.0 + 70.0),
+		},
+		{
+			name: "multi base asset",
+			args: args{
+				balances: types.BalanceMap{
+					"USDT": types.Balance{Currency: "USDT", Available: number(20000.0 * 2)},
+					"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
+					"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
+					"ETH":  types.Balance{Currency: "ETH", Available: number(10.0)},
+					"BTC":  types.Balance{Currency: "BTC", Available: number(0), Borrowed: number(2.0)},
+				},
+				prices: map[string]fixedpoint.Value{
+					"USDCUSDT": number(1.0),
+					"BUSDUSDT": number(1.0),
+					"ETHUSDT":  number(1700.0),
+					"BTCUSDT":  number(19000.0),
+				},
+				quoteCurrency: "USDT",
+			},
+			wantAccountValue: number(19000.0*-2.0 + 1700.0*10.0 + 20000.0*2 + 80.0 + 70.0),
+		},
+	}
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			assert.Equalf(t, tt.wantAccountValue, calculateNetValueInQuote(tt.args.balances, tt.args.prices, tt.args.quoteCurrency), "calculateNetValueInQuote(%v, %v, %v)", tt.args.balances, tt.args.prices, tt.args.quoteCurrency)
+		})
+	}
+}

pkg/types/balance.go

@@ -50,7 +50,7 @@ func (b Balance) Debt() fixedpoint.Value {
 }
 
 func (b Balance) ValueString() (o string) {
-	o = b.Available.String()
+	o = b.Net().String()
 
 	if b.Locked.Sign() > 0 {
 		o += fmt.Sprintf(" (locked %v)", b.Locked)
@@ -64,7 +64,7 @@ func (b Balance) ValueString() (o string) {
 }
 
 func (b Balance) String() (o string) {
-	o = fmt.Sprintf("%s: %s", b.Currency, b.Available.String())
+	o = fmt.Sprintf("%s: %s", b.Currency, b.Net().String())
 
 	if b.Locked.Sign() > 0 {
 		o += fmt.Sprintf(" (locked %v)", b.Locked)
@@ -74,6 +74,10 @@ func (b Balance) String() (o string) {
 		o += fmt.Sprintf(" (borrowed: %v)", b.Borrowed)
 	}
 
+	if b.Interest.Sign() > 0 {
+		o += fmt.Sprintf(" (interest: %v)", b.Interest)
+	}
+
 	return o
 }