mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
rename ProfitAndLossCalculator to AverageCostCalculator
This commit is contained in:
parent
ee86a71ebb
commit
a6b99f6828
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@ -9,7 +9,7 @@ import (
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"github.com/spf13/cobra"
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"github.com/spf13/cobra"
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"github.com/c9s/bbgo/cmd/cmdutil"
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"github.com/c9s/bbgo/cmd/cmdutil"
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"github.com/c9s/bbgo/pkg/accounting"
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"github.com/c9s/bbgo/pkg/accounting/pnl"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/types"
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@ -110,7 +110,7 @@ var pnlCmd = &cobra.Command{
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currentPrice, err := exchange.QueryAveragePrice(ctx, symbol)
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currentPrice, err := exchange.QueryAveragePrice(ctx, symbol)
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calculator := &accounting.ProfitAndLossCalculator{
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calculator := &pnl.AverageCostCalculator{
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TradingFeeCurrency: tradingFeeCurrency,
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TradingFeeCurrency: tradingFeeCurrency,
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Symbol: symbol,
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Symbol: symbol,
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StartTime: startTime,
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StartTime: startTime,
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1
go.mod
1
go.mod
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@ -30,6 +30,7 @@ require (
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github.com/sirupsen/logrus v1.4.2
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github.com/sirupsen/logrus v1.4.2
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github.com/slack-go/slack v0.6.6-0.20200602212211-b04b8521281b
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github.com/slack-go/slack v0.6.6-0.20200602212211-b04b8521281b
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github.com/spf13/cobra v1.0.0
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github.com/spf13/cobra v1.0.0
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github.com/spf13/pflag v1.0.3
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github.com/spf13/viper v1.7.0
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github.com/spf13/viper v1.7.0
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github.com/stretchr/testify v1.6.1
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github.com/stretchr/testify v1.6.1
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github.com/tebeka/strftime v0.1.3 // indirect
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github.com/tebeka/strftime v0.1.3 // indirect
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@ -1,117 +1,2 @@
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package accounting
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package accounting
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import (
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"strings"
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"time"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/types"
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)
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type ProfitAndLossCalculator struct {
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Symbol string
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StartTime time.Time
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CurrentPrice float64
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Trades []types.Trade
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TradingFeeCurrency string
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}
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func (c *ProfitAndLossCalculator) AddTrade(trade types.Trade) {
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c.Trades = append(c.Trades, trade)
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}
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func (c *ProfitAndLossCalculator) SetCurrentPrice(price float64) {
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c.CurrentPrice = price
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}
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func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
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// copy trades, so that we can truncate it.
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var trades = c.Trades
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var bidVolume = 0.0
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var bidAmount = 0.0
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var askVolume = 0.0
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var feeUSD = 0.0
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var bidFeeUSD = 0.0
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var feeRate = 0.0015
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var currencyFees = map[string]float64{}
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for _, trade := range trades {
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if trade.Symbol == c.Symbol {
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if trade.IsBuyer {
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bidVolume += trade.Quantity
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bidAmount += trade.Price * trade.Quantity
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}
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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(trade.Symbol, trade.FeeCurrency) {
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bidVolume -= trade.Fee
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feeUSD += trade.Price * trade.Fee
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if trade.IsBuyer {
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bidFeeUSD += trade.Price * trade.Fee
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}
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} else if trade.FeeCurrency == "USDT" {
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feeUSD += trade.Fee
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if trade.IsBuyer {
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bidFeeUSD += trade.Fee
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}
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}
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} else {
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if trade.FeeCurrency == c.TradingFeeCurrency {
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bidVolume -= trade.Fee
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}
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}
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if _, ok := currencyFees[trade.FeeCurrency]; !ok {
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currencyFees[trade.FeeCurrency] = 0.0
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}
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currencyFees[trade.FeeCurrency] += trade.Fee
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}
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logrus.Infof("average bid price = (total amount %f + total feeUSD %f) / volume %f", bidAmount, bidFeeUSD, bidVolume)
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profit := 0.0
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averageCost := (bidAmount + bidFeeUSD) / bidVolume
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for _, t := range trades {
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if t.Symbol != c.Symbol {
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continue
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}
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if t.IsBuyer {
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continue
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}
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profit += (t.Price - averageCost) * t.Quantity
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askVolume += t.Quantity
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}
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profit -= feeUSD
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unrealizedProfit := profit
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stock := bidVolume - askVolume
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if stock > 0 {
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stockFee := c.CurrentPrice * stock * feeRate
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unrealizedProfit += (c.CurrentPrice-averageCost)*stock - stockFee
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}
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return &ProfitAndLossReport{
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Symbol: c.Symbol,
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StartTime: c.StartTime,
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CurrentPrice: c.CurrentPrice,
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NumTrades: len(trades),
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BidVolume: bidVolume,
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AskVolume: askVolume,
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Stock: stock,
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Profit: profit,
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UnrealizedProfit: unrealizedProfit,
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AverageBidCost: averageCost,
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FeeUSD: feeUSD,
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CurrencyFees: currencyFees,
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}
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}
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118
pkg/accounting/pnl/avg_cost.go
Normal file
118
pkg/accounting/pnl/avg_cost.go
Normal file
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@ -0,0 +1,118 @@
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package pnl
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import (
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"strings"
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"time"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/accounting"
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"github.com/c9s/bbgo/pkg/types"
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)
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type AverageCostCalculator struct {
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Symbol string
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StartTime time.Time
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CurrentPrice float64
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Trades []types.Trade
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TradingFeeCurrency string
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}
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func (c *AverageCostCalculator) AddTrade(trade types.Trade) {
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c.Trades = append(c.Trades, trade)
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}
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func (c *AverageCostCalculator) SetCurrentPrice(price float64) {
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c.CurrentPrice = price
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}
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func (c *AverageCostCalculator) Calculate() *accounting.ProfitAndLossReport {
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// copy trades, so that we can truncate it.
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var trades = c.Trades
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var bidVolume = 0.0
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var bidAmount = 0.0
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var askVolume = 0.0
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var feeUSD = 0.0
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var bidFeeUSD = 0.0
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var feeRate = 0.0015
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var currencyFees = map[string]float64{}
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for _, trade := range trades {
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if trade.Symbol == c.Symbol {
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if trade.IsBuyer {
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bidVolume += trade.Quantity
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bidAmount += trade.Price * trade.Quantity
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}
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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(trade.Symbol, trade.FeeCurrency) {
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bidVolume -= trade.Fee
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feeUSD += trade.Price * trade.Fee
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if trade.IsBuyer {
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bidFeeUSD += trade.Price * trade.Fee
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}
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} else if trade.FeeCurrency == "USDT" {
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feeUSD += trade.Fee
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if trade.IsBuyer {
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bidFeeUSD += trade.Fee
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}
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}
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} else {
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if trade.FeeCurrency == c.TradingFeeCurrency {
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bidVolume -= trade.Fee
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}
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}
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if _, ok := currencyFees[trade.FeeCurrency]; !ok {
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currencyFees[trade.FeeCurrency] = 0.0
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}
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currencyFees[trade.FeeCurrency] += trade.Fee
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}
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logrus.Infof("average bid price = (total amount %f + total feeUSD %f) / volume %f", bidAmount, bidFeeUSD, bidVolume)
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profit := 0.0
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averageCost := (bidAmount + bidFeeUSD) / bidVolume
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for _, t := range trades {
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if t.Symbol != c.Symbol {
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continue
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}
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if t.IsBuyer {
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continue
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}
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profit += (t.Price - averageCost) * t.Quantity
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askVolume += t.Quantity
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}
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profit -= feeUSD
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unrealizedProfit := profit
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stock := bidVolume - askVolume
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if stock > 0 {
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stockFee := c.CurrentPrice * stock * feeRate
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unrealizedProfit += (c.CurrentPrice-averageCost)*stock - stockFee
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}
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return &accounting.ProfitAndLossReport{
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Symbol: c.Symbol,
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StartTime: c.StartTime,
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CurrentPrice: c.CurrentPrice,
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NumTrades: len(trades),
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BidVolume: bidVolume,
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AskVolume: askVolume,
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Stock: stock,
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Profit: profit,
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UnrealizedProfit: unrealizedProfit,
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AverageBidCost: averageCost,
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FeeUSD: feeUSD,
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CurrencyFees: currencyFees,
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}
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}
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@ -3,7 +3,7 @@ package bbgo
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import (
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import (
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"context"
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"context"
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"github.com/c9s/bbgo/pkg/accounting"
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"github.com/c9s/bbgo/pkg/accounting/pnl"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/types"
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)
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)
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@ -23,7 +23,7 @@ type BackTestTrader struct {
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// Context is trading Context
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// Context is trading Context
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Context *Context
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Context *Context
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SourceKLines []types.KLine
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SourceKLines []types.KLine
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ProfitAndLossCalculator *accounting.ProfitAndLossCalculator
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ProfitAndLossCalculator *pnl.AverageCostCalculator
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doneOrders []types.SubmitOrder
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doneOrders []types.SubmitOrder
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pendingOrders []types.SubmitOrder
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pendingOrders []types.SubmitOrder
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@ -125,7 +125,7 @@ func (trader *BackTestTrader) RunStrategy(ctx context.Context, strategy SingleEx
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}
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}
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tradeID++
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tradeID++
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trader.ProfitAndLossCalculator.AddTrade(trade)
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trader.AverageCostCalculator.AddTrade(trade)
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trader.doneOrders = append(trader.doneOrders, order)
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trader.doneOrders = append(trader.doneOrders, order)
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}
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}
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@ -135,7 +135,7 @@ func (trader *BackTestTrader) RunStrategy(ctx context.Context, strategy SingleEx
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}
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}
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fmt.Print("\n")
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fmt.Print("\n")
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report := trader.ProfitAndLossCalculator.Calculate()
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report := trader.AverageCostCalculator.Calculate()
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report.Print()
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report.Print()
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logrus.Infof("wallet balance:")
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logrus.Infof("wallet balance:")
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@ -3,7 +3,7 @@ package bbgo
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import (
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import (
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"sync"
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"sync"
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"github.com/c9s/bbgo/pkg/accounting"
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"github.com/c9s/bbgo/pkg/accounting/pnl"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/types"
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)
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)
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@ -19,7 +19,7 @@ type Context struct {
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CurrentPrice float64
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CurrentPrice float64
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Balances map[string]types.Balance
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Balances map[string]types.Balance
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ProfitAndLossCalculator *accounting.ProfitAndLossCalculator
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ProfitAndLossCalculator *pnl.AverageCostCalculator
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StockManager *StockDistribution
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StockManager *StockDistribution
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}
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}
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Loading…
Reference in New Issue
Block a user