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remove trade filtering

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This commit is contained in:
c9s 2020-07-13 13:41:51 +08:00
parent 63dc2e8d55
commit 923022e87b
1 changed files with 20 additions and 17 deletions
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37
bbgo/pnl.go
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@ -38,22 +38,25 @@ func (c *ProfitAndLossCalculator) SetCurrentPrice(price float64) {
func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport { func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
// copy trades, so that we can truncate it. // copy trades, so that we can truncate it.
var trades = c.Trades var trades = c.Trades
var bidVolume = 0.0 var bidVolume = 0.0
var bidAmount = 0.0 var bidAmount = 0.0
var bidFee = 0.0 var bidFee = 0.0
var askVolume = 0.0
var feeRate = 0.001
var askFee = 0.0
// find the first buy trade // find the first buy trade
var firstBidIndex = -1 //var firstBidIndex = -1
for idx, t := range trades { //for idx, t := range trades {
if t.IsBuyer { // if t.IsBuyer {
firstBidIndex = idx // firstBidIndex = idx
break // break
} // }
} //}
if firstBidIndex > 0 { //if firstBidIndex > 0 {
trades = trades[firstBidIndex:] // trades = trades[firstBidIndex:]
} //}
for _, t := range trades { for _, t := range trades {
if t.IsBuyer { if t.IsBuyer {
@ -73,15 +76,15 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
profit := 0.0 profit := 0.0
averageBidPrice := (bidAmount + bidFee) / bidVolume averageBidPrice := (bidAmount + bidFee) / bidVolume
var feeRate = 0.001
var askVolume = 0.0
var askFee = 0.0
for _, t := range trades { for _, t := range trades {
if !t.IsBuyer { if !t.IsBuyer {
profit += (t.Price - averageBidPrice) * t.Volume profit += (t.Price - averageBidPrice) * t.Volume
askVolume += t.Volume askVolume += t.Volume
switch t.FeeCurrency {
case "USDT": // 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 askFee += t.Fee
} }
} }
@ -155,7 +158,7 @@ func (report ProfitAndLossReport) SlackAttachment() slack.Attachment {
{Title: "Profit", Value: USD.FormatMoney(report.Profit), Short: true,}, {Title: "Profit", Value: USD.FormatMoney(report.Profit), Short: true,},
{Title: "Current Price", Value: USD.FormatMoney(report.CurrentPrice), 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 Price", Value: USD.FormatMoney(report.AverageBidPrice), Short: true,},
{Title: "Current Stock", Value: market.FormatVolume(report.Stock), Short: true,}, {Title: "Inventory", Value: market.FormatVolume(report.Stock), Short: true,},
{Title: "Number of Trades", Value: strconv.Itoa(report.NumTrades), Short: true,}, {Title: "Number of Trades", Value: strconv.Itoa(report.NumTrades), Short: true,},
}, },
Footer: report.StartTime.Format(time.RFC822), Footer: report.StartTime.Format(time.RFC822),