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add binance buyer, maker label
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parent
ea33db5aa1
commit
9288b6801f
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@ -251,8 +251,27 @@ func (e *BinanceExchange) QueryTrades(ctx context.Context, symbol string, startT
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break
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break
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}
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}
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buyerOrSellerLabel := func(trade *binance.TradeV3) (o string) {
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if trade.IsBuyer {
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o = "BUYER"
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} else {
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o = "SELLER"
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}
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return o
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}
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makerOrTakerLabel := func(trade *binance.TradeV3) (o string) {
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if trade.IsMaker {
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o += "MAKER"
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} else {
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o += "TAKER"
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}
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return o
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}
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for _, t := range bnTrades {
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for _, t := range bnTrades {
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// skip trade ID that is the same
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// skip trade ID that is the same. however this should not happen
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if t.ID == lastTradeID {
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if t.ID == lastTradeID {
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continue
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continue
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}
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}
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@ -267,7 +286,7 @@ func (e *BinanceExchange) QueryTrades(ctx context.Context, symbol string, startT
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// trade time
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// trade time
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tt := time.Unix(0, t.Time*1000000)
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tt := time.Unix(0, t.Time*1000000)
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log.Infof("trade: %d %4s Price: % 13s Volume: % 13s %s", t.ID, side, t.Price, t.Quantity, tt)
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log.Infof("[binance] trade: %d %s % 4s price: % 13s volume: % 11s %6s % 5s %s", t.ID, t.Symbol, side, t.Price, t.Quantity, buyerOrSellerLabel(t), makerOrTakerLabel(t), tt)
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price, err := strconv.ParseFloat(t.Price, 64)
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price, err := strconv.ParseFloat(t.Price, 64)
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if err != nil {
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if err != nil {
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@ -288,6 +307,7 @@ func (e *BinanceExchange) QueryTrades(ctx context.Context, symbol string, startT
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ID: t.ID,
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ID: t.ID,
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Price: price,
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Price: price,
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Volume: quantity,
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Volume: quantity,
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Side: side,
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IsBuyer: t.IsBuyer,
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IsBuyer: t.IsBuyer,
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IsMaker: t.IsMaker,
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IsMaker: t.IsMaker,
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Fee: fee,
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Fee: fee,
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18
bbgo/pnl.go
18
bbgo/pnl.go
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@ -2,6 +2,7 @@ package bbgo
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import (
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import (
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log "github.com/sirupsen/logrus"
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log "github.com/sirupsen/logrus"
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"strings"
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"time"
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"time"
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)
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)
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@ -27,12 +28,22 @@ type ProfitAndLossCalculator struct {
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StartTime time.Time
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StartTime time.Time
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CurrentPrice float64
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CurrentPrice float64
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Trades []Trade
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Trades []Trade
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CurrencyPrice map[string]float64
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}
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}
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func (c *ProfitAndLossCalculator) AddTrade(trade Trade) {
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func (c *ProfitAndLossCalculator) AddTrade(trade Trade) {
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c.Trades = append(c.Trades, trade)
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c.Trades = append(c.Trades, trade)
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}
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}
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func (c *ProfitAndLossCalculator) SetCurrencyPrice(symbol string, price float64) {
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if c.CurrencyPrice == nil {
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c.CurrencyPrice = map[string]float64{}
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}
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c.CurrencyPrice[symbol] = price
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}
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func (c *ProfitAndLossCalculator) SetCurrentPrice(price float64) {
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func (c *ProfitAndLossCalculator) SetCurrentPrice(price float64) {
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c.CurrentPrice = price
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c.CurrentPrice = price
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}
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}
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@ -61,9 +72,12 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
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if t.IsBuyer {
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if t.IsBuyer {
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bidVolume += t.Volume
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bidVolume += t.Volume
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bidAmount += t.Price * t.Volume
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bidAmount += t.Price * t.Volume
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switch t.FeeCurrency {
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case "BTC":
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// since we use USDT as the quote currency, we simply check if it matches the currency symbol
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if strings.HasPrefix(t.Symbol, t.FeeCurrency) {
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bidFee += t.Price * t.Fee
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bidFee += t.Price * t.Fee
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} else if t.FeeCurrency == "USDT" {
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bidFee += t.Fee
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}
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}
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}
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}
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}
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}
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@ -8,6 +8,7 @@ type Trade struct {
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ID int64
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ID int64
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Price float64
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Price float64
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Volume float64
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Volume float64
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Side string
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IsBuyer bool
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IsBuyer bool
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IsMaker bool
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IsMaker bool
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Time time.Time
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Time time.Time
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