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save average cost with feeInQuote in the ApproximateAverageCost
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@ -25,6 +25,10 @@ type Position struct {
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Quote fixedpoint.Value `json:"quote"`
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AverageCost fixedpoint.Value `json:"averageCost"`
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// ApproximateAverageCost adds the computed fee in quote in the average cost
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// This is used for calculating net profit
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ApproximateAverageCost fixedpoint.Value `json:"approximateAverageCost"`
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ExchangeFeeRates map[types.ExchangeName]ExchangeFee `json:"exchangeFeeRates"`
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sync.Mutex
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@ -126,7 +130,7 @@ func (p *Position) AddTrade(t types.Trade) (profit fixedpoint.Value, netProfit f
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fee := fixedpoint.NewFromFloat(t.Fee)
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// calculated fee in quote (some exchange accounts may enable platform currency fee discount, like BNB)
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var quoteFee fixedpoint.Value = 0
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var feeInQuote fixedpoint.Value = 0
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switch t.FeeCurrency {
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@ -140,9 +144,9 @@ func (p *Position) AddTrade(t types.Trade) (profit fixedpoint.Value, netProfit f
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if p.ExchangeFeeRates != nil {
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if exchangeFee, ok := p.ExchangeFeeRates[t.Exchange]; ok {
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if t.IsMaker {
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quoteFee += exchangeFee.MakerFeeRate.Mul(quoteQuantity)
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feeInQuote += exchangeFee.MakerFeeRate.Mul(quoteQuantity)
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} else {
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quoteFee += exchangeFee.TakerFeeRate.Mul(quoteQuantity)
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feeInQuote += exchangeFee.TakerFeeRate.Mul(quoteQuantity)
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}
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}
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}
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@ -160,22 +164,24 @@ func (p *Position) AddTrade(t types.Trade) (profit fixedpoint.Value, netProfit f
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// convert short position to long position
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if p.Base+quantity > 0 {
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profit = (p.AverageCost - price).Mul(-p.Base)
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netProfit = profit - quoteFee
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netProfit = (p.ApproximateAverageCost - price).Mul(-p.Base) - feeInQuote
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p.Base += quantity
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p.Quote -= quoteQuantity
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p.AverageCost = price
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p.ApproximateAverageCost = price
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return profit, netProfit, true
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} else {
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// covering short position
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p.Base += quantity
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p.Quote -= quoteQuantity
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profit = (p.AverageCost - price).Mul(quantity)
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netProfit = profit - quoteFee
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netProfit = (p.ApproximateAverageCost - price).Mul(quantity) - feeInQuote
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return profit, netProfit, true
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}
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}
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p.AverageCost = (p.AverageCost.Mul(p.Base) + quoteQuantity + quoteFee).Div(p.Base + quantity)
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p.ApproximateAverageCost = (p.ApproximateAverageCost.Mul(p.Base) + quoteQuantity + feeInQuote).Div(p.Base + quantity)
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p.AverageCost = (p.AverageCost.Mul(p.Base) + quoteQuantity).Div(p.Base + quantity)
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p.Base += quantity
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p.Quote -= quoteQuantity
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@ -186,22 +192,24 @@ func (p *Position) AddTrade(t types.Trade) (profit fixedpoint.Value, netProfit f
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// convert long position to short position
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if p.Base-quantity < 0 {
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profit = (price - p.AverageCost).Mul(p.Base)
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netProfit = profit - quoteFee
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netProfit = (price - p.ApproximateAverageCost).Mul(p.Base) - feeInQuote
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p.Base -= quantity
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p.Quote += quoteQuantity
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p.AverageCost = price
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p.ApproximateAverageCost = price
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return profit, netProfit, true
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} else {
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p.Base -= quantity
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p.Quote += quoteQuantity
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profit = (price - p.AverageCost).Mul(quantity)
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netProfit = profit - quoteFee
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netProfit = (price - p.ApproximateAverageCost).Mul(quantity) - feeInQuote
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return profit, netProfit, true
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}
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}
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// handling short position, since Base here is negative we need to reverse the sign
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p.AverageCost = (p.AverageCost.Mul(-p.Base) + quoteQuantity - quoteFee).Div(-p.Base + quantity)
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p.ApproximateAverageCost = (p.ApproximateAverageCost.Mul(-p.Base) + quoteQuantity - feeInQuote).Div(-p.Base + quantity)
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p.AverageCost = (p.AverageCost.Mul(-p.Base) + quoteQuantity).Div(-p.Base + quantity)
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p.Base -= quantity
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p.Quote += quoteQuantity
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