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save average cost with feeInQuote in the ApproximateAverageCost

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c9s 2021-05-23 01:05:11 +08:00
parent d2e299a68a
commit 9c70e36e1b
1 changed files with 17 additions and 9 deletions
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26
pkg/bbgo/position.go
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@ -25,6 +25,10 @@ type Position struct {
Quote fixedpoint.Value `json:"quote"`
AverageCost fixedpoint.Value `json:"averageCost"`
// ApproximateAverageCost adds the computed fee in quote in the average cost
// This is used for calculating net profit
ApproximateAverageCost fixedpoint.Value `json:"approximateAverageCost"`
ExchangeFeeRates map[types.ExchangeName]ExchangeFee `json:"exchangeFeeRates"`
sync.Mutex
@ -126,7 +130,7 @@ func (p *Position) AddTrade(t types.Trade) (profit fixedpoint.Value, netProfit f
fee := fixedpoint.NewFromFloat(t.Fee)
// calculated fee in quote (some exchange accounts may enable platform currency fee discount, like BNB)
var quoteFee fixedpoint.Value = 0
var feeInQuote fixedpoint.Value = 0
switch t.FeeCurrency {
@ -140,9 +144,9 @@ func (p *Position) AddTrade(t types.Trade) (profit fixedpoint.Value, netProfit f
if p.ExchangeFeeRates != nil {
if exchangeFee, ok := p.ExchangeFeeRates[t.Exchange]; ok {
if t.IsMaker {
quoteFee += exchangeFee.MakerFeeRate.Mul(quoteQuantity)
feeInQuote += exchangeFee.MakerFeeRate.Mul(quoteQuantity)
} else {
quoteFee += exchangeFee.TakerFeeRate.Mul(quoteQuantity)
feeInQuote += exchangeFee.TakerFeeRate.Mul(quoteQuantity)
}
}
}
@ -160,22 +164,24 @@ func (p *Position) AddTrade(t types.Trade) (profit fixedpoint.Value, netProfit f
// convert short position to long position
if p.Base+quantity > 0 {
profit = (p.AverageCost - price).Mul(-p.Base)
netProfit = profit - quoteFee
netProfit = (p.ApproximateAverageCost - price).Mul(-p.Base) - feeInQuote
p.Base += quantity
p.Quote -= quoteQuantity
p.AverageCost = price
p.ApproximateAverageCost = price
return profit, netProfit, true
} else {
// covering short position
p.Base += quantity
p.Quote -= quoteQuantity
profit = (p.AverageCost - price).Mul(quantity)
netProfit = profit - quoteFee
netProfit = (p.ApproximateAverageCost - price).Mul(quantity) - feeInQuote
return profit, netProfit, true
}
}
p.AverageCost = (p.AverageCost.Mul(p.Base) + quoteQuantity + quoteFee).Div(p.Base + quantity)
p.ApproximateAverageCost = (p.ApproximateAverageCost.Mul(p.Base) + quoteQuantity + feeInQuote).Div(p.Base + quantity)
p.AverageCost = (p.AverageCost.Mul(p.Base) + quoteQuantity).Div(p.Base + quantity)
p.Base += quantity
p.Quote -= quoteQuantity
@ -186,22 +192,24 @@ func (p *Position) AddTrade(t types.Trade) (profit fixedpoint.Value, netProfit f
// convert long position to short position
if p.Base-quantity < 0 {
profit = (price - p.AverageCost).Mul(p.Base)
netProfit = profit - quoteFee
netProfit = (price - p.ApproximateAverageCost).Mul(p.Base) - feeInQuote
p.Base -= quantity
p.Quote += quoteQuantity
p.AverageCost = price
p.ApproximateAverageCost = price
return profit, netProfit, true
} else {
p.Base -= quantity
p.Quote += quoteQuantity
profit = (price - p.AverageCost).Mul(quantity)
netProfit = profit - quoteFee
netProfit = (price - p.ApproximateAverageCost).Mul(quantity) - feeInQuote
return profit, netProfit, true
}
}
// handling short position, since Base here is negative we need to reverse the sign
p.AverageCost = (p.AverageCost.Mul(-p.Base) + quoteQuantity - quoteFee).Div(-p.Base + quantity)
p.ApproximateAverageCost = (p.ApproximateAverageCost.Mul(-p.Base) + quoteQuantity - feeInQuote).Div(-p.Base + quantity)
p.AverageCost = (p.AverageCost.Mul(-p.Base) + quoteQuantity).Div(-p.Base + quantity)
p.Base -= quantity
p.Quote += quoteQuantity