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https://github.com/c9s/bbgo.git
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cmd: fix pnl cmd
This commit is contained in:
parent
e023d0be5b
commit
8c6331073d
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@ -92,7 +92,7 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
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BuyVolume: bidVolume,
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BuyVolume: bidVolume,
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SellVolume: askVolume,
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SellVolume: askVolume,
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Stock: position.GetBase(),
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BaseAssetPosition: position.GetBase(),
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Profit: totalProfit,
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Profit: totalProfit,
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NetProfit: totalNetProfit,
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NetProfit: totalNetProfit,
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UnrealizedProfit: unrealizedProfit,
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UnrealizedProfit: unrealizedProfit,
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@ -28,7 +28,7 @@ type AverageCostPnlReport struct {
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BuyVolume fixedpoint.Value `json:"buyVolume,omitempty"`
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BuyVolume fixedpoint.Value `json:"buyVolume,omitempty"`
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SellVolume fixedpoint.Value `json:"sellVolume,omitempty"`
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SellVolume fixedpoint.Value `json:"sellVolume,omitempty"`
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FeeInUSD fixedpoint.Value `json:"feeInUSD"`
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FeeInUSD fixedpoint.Value `json:"feeInUSD"`
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Stock fixedpoint.Value `json:"stock"`
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BaseAssetPosition fixedpoint.Value `json:"baseAssetPosition"`
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CurrencyFees map[string]fixedpoint.Value `json:"currencyFees"`
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CurrencyFees map[string]fixedpoint.Value `json:"currencyFees"`
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}
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}
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@ -39,7 +39,10 @@ func (report *AverageCostPnlReport) JSON() ([]byte, error) {
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func (report AverageCostPnlReport) Print() {
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func (report AverageCostPnlReport) Print() {
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color.Green("TRADES SINCE: %v", report.StartTime)
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color.Green("TRADES SINCE: %v", report.StartTime)
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color.Green("NUMBER OF TRADES: %d", report.NumTrades)
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color.Green("NUMBER OF TRADES: %d", report.NumTrades)
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color.Green("AVERAGE COST: %s", types.USD.FormatMoney(report.AverageCost))
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color.Green("AVERAGE COST: %s", types.USD.FormatMoney(report.AverageCost))
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color.Green("BASE ASSET POSITION: %s", report.BaseAssetPosition.String())
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color.Green("TOTAL BUY VOLUME: %v", report.BuyVolume)
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color.Green("TOTAL BUY VOLUME: %v", report.BuyVolume)
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color.Green("TOTAL SELL VOLUME: %v", report.SellVolume)
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color.Green("TOTAL SELL VOLUME: %v", report.SellVolume)
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@ -83,7 +86,7 @@ func (report AverageCostPnlReport) SlackAttachment() slack.Attachment {
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// FIXME:
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// FIXME:
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// {Title: "Fee (USD)", Value: types.USD.FormatMoney(report.FeeInUSD), Short: true},
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// {Title: "Fee (USD)", Value: types.USD.FormatMoney(report.FeeInUSD), Short: true},
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{Title: "Stock", Value: report.Stock.String(), Short: true},
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{Title: "Base Asset Position", Value: report.BaseAssetPosition.String(), Short: true},
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{Title: "Number of Trades", Value: strconv.Itoa(report.NumTrades), Short: true},
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{Title: "Number of Trades", Value: strconv.Itoa(report.NumTrades), Short: true},
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},
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},
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Footer: report.StartTime.Format(time.RFC822),
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Footer: report.StartTime.Format(time.RFC822),
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@ -3,10 +3,8 @@ package cmd
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import (
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import (
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"context"
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"context"
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"fmt"
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"fmt"
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"os"
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"time"
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"time"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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log "github.com/sirupsen/logrus"
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"github.com/spf13/cobra"
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"github.com/spf13/cobra"
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@ -29,34 +27,7 @@ var depositsCmd = &cobra.Command{
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RunE: func(cmd *cobra.Command, args []string) error {
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RunE: func(cmd *cobra.Command, args []string) error {
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ctx := context.Background()
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ctx := context.Background()
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configFile, err := cmd.Flags().GetString("config")
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if err != nil {
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return err
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}
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if len(configFile) == 0 {
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return errors.New("--config option is required")
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}
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// if config file exists, use the config loaded from the config file.
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// otherwise, use a empty config object
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var userConfig *bbgo.Config
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if _, err := os.Stat(configFile); err == nil {
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// load successfully
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userConfig, err = bbgo.Load(configFile, false)
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if err != nil {
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return err
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}
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} else if os.IsNotExist(err) {
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// config file doesn't exist
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userConfig = &bbgo.Config{}
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} else {
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// other error
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return err
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}
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environ := bbgo.NewEnvironment()
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environ := bbgo.NewEnvironment()
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if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
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if err := environ.ConfigureExchangeSessions(userConfig); err != nil {
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return err
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return err
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}
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}
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@ -2,16 +2,14 @@ package cmd
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import (
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import (
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"context"
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"context"
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"errors"
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"fmt"
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"fmt"
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"os"
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"strings"
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"strings"
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"time"
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"time"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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log "github.com/sirupsen/logrus"
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"github.com/spf13/cobra"
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"github.com/spf13/cobra"
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"github.com/c9s/bbgo/pkg/accounting"
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"github.com/c9s/bbgo/pkg/accounting/pnl"
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"github.com/c9s/bbgo/pkg/accounting/pnl"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/service"
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@ -22,35 +20,18 @@ func init() {
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PnLCmd.Flags().String("session", "", "target exchange")
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PnLCmd.Flags().String("session", "", "target exchange")
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PnLCmd.Flags().String("symbol", "", "trading symbol")
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PnLCmd.Flags().String("symbol", "", "trading symbol")
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PnLCmd.Flags().Bool("include-transfer", false, "convert transfer records into trades")
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PnLCmd.Flags().Bool("include-transfer", false, "convert transfer records into trades")
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PnLCmd.Flags().Int("limit", 500, "number of trades")
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PnLCmd.Flags().Int("limit", 0, "number of trades")
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RootCmd.AddCommand(PnLCmd)
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RootCmd.AddCommand(PnLCmd)
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}
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}
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var PnLCmd = &cobra.Command{
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var PnLCmd = &cobra.Command{
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Use: "pnl",
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Use: "pnl",
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Short: "pnl calculator",
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Short: "Average Cost Based PnL Calculator",
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Long: "This command calculates the average cost-based profit from your total trades",
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SilenceUsage: true,
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SilenceUsage: true,
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RunE: func(cmd *cobra.Command, args []string) error {
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RunE: func(cmd *cobra.Command, args []string) error {
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ctx := context.Background()
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ctx := context.Background()
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configFile, err := cmd.Flags().GetString("config")
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if err != nil {
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return err
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}
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if len(configFile) == 0 {
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return errors.New("--config option is required")
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}
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if _, err := os.Stat(configFile); os.IsNotExist(err) {
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return err
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}
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userConfig, err := bbgo.Load(configFile, false)
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if err != nil {
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return err
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}
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sessionName, err := cmd.Flags().GetString("session")
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sessionName, err := cmd.Flags().GetString("session")
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if err != nil {
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if err != nil {
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return err
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return err
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@ -128,7 +109,7 @@ var PnLCmd = &cobra.Command{
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// we need the backtest klines for the daily prices
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// we need the backtest klines for the daily prices
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backtestService := &service.BacktestService{DB: environ.DatabaseService.DB}
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backtestService := &service.BacktestService{DB: environ.DatabaseService.DB}
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if err := backtestService.SyncKLineByInterval(ctx, exchange, symbol, types.Interval1d, since, until); err != nil {
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if err := backtestService.Sync(ctx, exchange, symbol, types.Interval1d, since, until); err != nil {
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return err
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return err
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}
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}
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}
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}
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@ -140,7 +121,6 @@ var PnLCmd = &cobra.Command{
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trades, err = environ.TradeService.QueryForTradingFeeCurrency(exchange.Name(), symbol, tradingFeeCurrency)
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trades, err = environ.TradeService.QueryForTradingFeeCurrency(exchange.Name(), symbol, tradingFeeCurrency)
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} else {
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} else {
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trades, err = environ.TradeService.Query(service.QueryTradesOptions{
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trades, err = environ.TradeService.Query(service.QueryTradesOptions{
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Exchange: exchange.Name(),
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Symbol: symbol,
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Symbol: symbol,
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Limit: limit,
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Limit: limit,
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})
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})
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@ -150,35 +130,25 @@ var PnLCmd = &cobra.Command{
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return err
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return err
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}
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}
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if len(trades) == 0 {
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return errors.New("empty trades, you need to run sync command to sync the trades from the exchange first")
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}
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trades = types.SortTradesAscending(trades)
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log.Infof("%d trades loaded", len(trades))
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log.Infof("%d trades loaded", len(trades))
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stockManager := &accounting.StockDistribution{
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Symbol: symbol,
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TradingFeeCurrency: tradingFeeCurrency,
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}
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checkpoints, err := stockManager.AddTrades(trades)
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if err != nil {
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return err
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}
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log.Infof("found checkpoints: %+v", checkpoints)
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log.Infof("stock: %v", stockManager.Stocks.Quantity())
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tickers, err := exchange.QueryTickers(ctx, symbol)
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tickers, err := exchange.QueryTickers(ctx, symbol)
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if err != nil {
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if err != nil {
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return err
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return err
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}
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}
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currentTick, ok := tickers[symbol]
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currentTick, ok := tickers[symbol]
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if !ok {
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if !ok {
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return errors.New("no ticker data for current price")
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return errors.New("no ticker data for current price")
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}
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}
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currentPrice := currentTick.Last
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currentPrice := currentTick.Last
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calculator := &pnl.AverageCostCalculator{
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calculator := &pnl.AverageCostCalculator{
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TradingFeeCurrency: tradingFeeCurrency,
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TradingFeeCurrency: tradingFeeCurrency,
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}
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}
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@ -146,7 +146,7 @@ func trimTrailingZero(a float64) string {
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// String is for console output
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// String is for console output
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func (trade Trade) String() string {
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func (trade Trade) String() string {
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return fmt.Sprintf("TRADE %s %s %4s %s @ %s amount %s fee %s %s orderID %d %s",
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return fmt.Sprintf("TRADE %s %s %4s %-4s @ %6s | amount %s | fee %s %s | orderID %d | %s",
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trade.Exchange.String(),
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trade.Exchange.String(),
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trade.Symbol,
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trade.Symbol,
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trade.Side,
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trade.Side,
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