add stock calculation

bbgo/pnl.go

@@ -44,23 +44,24 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
 
 	var askVolume = 0.0
 	var askFee = 0.0
-	var feeRate = 0.001
+	var feeRate = 0.0015
 
 	for _, trade := range trades {
 		if trade.Symbol == c.Symbol {
 			if trade.IsBuyer {
 				bidVolume += trade.Quantity
 				bidAmount += trade.Price * trade.Quantity
-
-				// since we use USDT as the quote currency, we simply check if it matches the currency symbol
-				if strings.HasPrefix(trade.Symbol, trade.FeeCurrency) {
-					bidVolume -= trade.Fee
-					bidFee += trade.Price * trade.Fee
-				} else if trade.FeeCurrency == "USDT" {
-					bidFee += trade.Fee
-				}
 			}
-		} else if strings.HasPrefix(c.Symbol, c.TradingFeeCurrency) && trade.FeeCurrency == c.TradingFeeCurrency {
+
+			// since we use USDT as the quote currency, we simply check if it matches the currency symbol
+			if strings.HasPrefix(trade.Symbol, trade.FeeCurrency) {
+				bidVolume -= trade.Fee
+				bidFee += trade.Price * trade.Fee
+			} else if trade.FeeCurrency == "USDT" {
+				bidFee += trade.Fee
+			}
+
+		} else if trade.FeeCurrency == c.TradingFeeCurrency {
 			bidVolume -= trade.Fee
 		}
 	}
@@ -74,16 +75,18 @@ func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
 			continue
 		}
 
-		if !t.IsBuyer {
-			profit += (t.Price - averageBidPrice) * t.Quantity
-			askVolume += t.Quantity
+		if t.IsBuyer {
+			continue
+		}
 
-			// 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
-			}
+		profit += (t.Price - averageBidPrice) * t.Quantity
+		askVolume += t.Quantity
+
+		// 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
 		}
 	}
 
@@ -135,8 +138,9 @@ func (report ProfitAndLossReport) Print() {
 	log.Infof("average bid price: %s", USD.FormatMoneyFloat64(report.AverageBidPrice))
 	log.Infof("total bid volume: %f", report.BidVolume)
 	log.Infof("total ask volume: %f", report.AskVolume)
+	log.Infof("stock: %f", report.Stock)
 	log.Infof("current price: %s", USD.FormatMoneyFloat64(report.CurrentPrice))
-	log.Infof("overall profit: %s", USD.FormatMoneyFloat64(report.Profit))
+	log.Infof("profit: %s", USD.FormatMoneyFloat64(report.Profit))
 }
 
 func (report ProfitAndLossReport) SlackAttachment() slack.Attachment {

bbgo/stock.go

@@ -0,0 +1,119 @@
+package bbgo
+
+import (
+	"fmt"
+	"github.com/c9s/bbgo/pkg/bbgo/types"
+	log "github.com/sirupsen/logrus"
+	"math"
+	"strings"
+)
+
+type Stock types.Trade
+
+func (stock *Stock) Consume(quantity float64) float64 {
+	delta := math.Min(stock.Quantity, quantity)
+	stock.Quantity -= delta
+	return delta
+}
+
+type StockManager struct {
+	Symbol string
+	TradingFeeCurrency string
+	Stocks []Stock
+}
+
+func (m *StockManager) Consume(sell Stock) error {
+	if len(m.Stocks) == 0 {
+		return fmt.Errorf("empty stock")
+	}
+
+	idx := len(m.Stocks) - 1
+	for ; idx >= 0; idx-- {
+		stock := m.Stocks[idx]
+
+		// find any stock price is lower than the sell trade
+		if stock.Price >= sell.Price {
+			continue
+		}
+
+		sell.Quantity -= stock.Consume(sell.Quantity)
+
+		if math.Round(stock.Quantity*1e8) < 0.0 {
+			return fmt.Errorf("over sell")
+		}
+
+		if math.Round(stock.Quantity*1e8) == 0.0 {
+			m.Stocks = m.Stocks[:idx]
+		}
+
+		if math.Round(sell.Quantity*1e8) == 0.0 {
+			break
+		}
+	}
+
+	idx = len(m.Stocks) - 1
+	for ; idx >= 0; idx-- {
+		stock := m.Stocks[idx]
+
+		sell.Quantity -= stock.Consume(sell.Quantity)
+		if math.Round(stock.Quantity*1e8) == 0.0 {
+			m.Stocks = m.Stocks[:idx]
+		}
+
+		if math.Round(sell.Quantity*1e8) == 0.0 {
+			break
+		}
+	}
+
+	if math.Round(sell.Quantity*1e8) > 0.0 {
+		return fmt.Errorf("over sell quantity %f at %s", sell.Quantity, sell.Time)
+	}
+
+
+	return nil
+}
+
+func (m *StockManager) LoadTrades(trades []types.Trade) (checkpoints []int, err error) {
+	feeSymbol := strings.HasPrefix(m.Symbol, m.TradingFeeCurrency)
+	for idx, trade := range trades {
+		log.Infof("%s %5s %f %f at %s", trade.Symbol, trade.Side, trade.Price, trade.Quantity, trade.Time)
+		// for other market trades
+		// convert trading fee trades to sell trade
+		if trade.Symbol != m.Symbol {
+			if feeSymbol && trade.FeeCurrency == m.TradingFeeCurrency {
+				trade.Symbol = m.Symbol
+				trade.IsBuyer = false
+				trade.Quantity = trade.Fee
+				trade.Fee = 0.0
+			}
+		}
+
+		if trade.Symbol == m.Symbol {
+			if trade.IsBuyer {
+				m.Stocks = append(m.Stocks, toStock(trade))
+			} else {
+				if err := m.Consume(toStock(trade)) ; err != nil {
+					return checkpoints, err
+				}
+			}
+
+			if len(m.Stocks) == 0 {
+				checkpoints = append(checkpoints, idx)
+			}
+		}
+	}
+
+	return checkpoints, nil
+}
+
+func toStock(trade types.Trade) Stock {
+	if strings.HasPrefix(trade.Symbol, trade.FeeCurrency) {
+		if trade.IsBuyer {
+			trade.Quantity -= trade.Fee
+		} else {
+			trade.Quantity += trade.Fee
+		}
+		trade.Fee = 0
+	}
+	return Stock(trade)
+}

service/trade.go

@@ -81,9 +81,10 @@ func (s *TradeService) QueryLast(symbol string) (*types.Trade, error) {
 	return nil, rows.Err()
 }
 
-func (s *TradeService) QueryForTradingFeeCurrency(symbol string) ([]types.Trade, error) {
-	rows, err := s.DB.NamedQuery(`SELECT * FROM trades WHERE symbol = :symbol OR fee_currency = :symbol ORDER BY traded_at ASC`, map[string]interface{}{
+func (s *TradeService) QueryForTradingFeeCurrency(symbol string, feeCurrency string) ([]types.Trade, error) {
+	rows, err := s.DB.NamedQuery(`SELECT * FROM trades WHERE symbol = :symbol OR fee_currency = :fee_currency ORDER BY traded_at ASC`, map[string]interface{}{
 		"symbol": symbol,
+		"fee_currency": feeCurrency,
 	})
 	if err != nil {
 		return nil, err