rename ProfitAndLossCalculator to AverageCostCalculator

cmd/pnl.go

@@ -9,7 +9,7 @@ import (
 	"github.com/spf13/cobra"
 
 	"github.com/c9s/bbgo/cmd/cmdutil"
-	"github.com/c9s/bbgo/pkg/accounting"
+	"github.com/c9s/bbgo/pkg/accounting/pnl"
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/service"
 	"github.com/c9s/bbgo/pkg/types"
@@ -110,7 +110,7 @@ var pnlCmd = &cobra.Command{
 
 		currentPrice, err := exchange.QueryAveragePrice(ctx, symbol)
 
-		calculator := &accounting.ProfitAndLossCalculator{
+		calculator := &pnl.AverageCostCalculator{
 			TradingFeeCurrency: tradingFeeCurrency,
 			Symbol:             symbol,
 			StartTime:          startTime,

go.mod

@@ -30,6 +30,7 @@ require (
 	github.com/sirupsen/logrus v1.4.2
 	github.com/slack-go/slack v0.6.6-0.20200602212211-b04b8521281b
 	github.com/spf13/cobra v1.0.0
+	github.com/spf13/pflag v1.0.3
 	github.com/spf13/viper v1.7.0
 	github.com/stretchr/testify v1.6.1
 	github.com/tebeka/strftime v0.1.3 // indirect

pkg/accounting/pnl.go

@@ -1,117 +1,2 @@
 package accounting
 
-import (
-	"strings"
-	"time"
-
-	"github.com/sirupsen/logrus"
-
-	"github.com/c9s/bbgo/pkg/types"
-)
-
-type ProfitAndLossCalculator struct {
-	Symbol             string
-	StartTime          time.Time
-	CurrentPrice       float64
-	Trades             []types.Trade
-	TradingFeeCurrency string
-}
-
-func (c *ProfitAndLossCalculator) AddTrade(trade types.Trade) {
-	c.Trades = append(c.Trades, trade)
-}
-
-func (c *ProfitAndLossCalculator) SetCurrentPrice(price float64) {
-	c.CurrentPrice = price
-}
-
-func (c *ProfitAndLossCalculator) Calculate() *ProfitAndLossReport {
-	// copy trades, so that we can truncate it.
-	var trades = c.Trades
-	var bidVolume = 0.0
-	var bidAmount = 0.0
-
-	var askVolume = 0.0
-
-	var feeUSD = 0.0
-	var bidFeeUSD = 0.0
-	var feeRate = 0.0015
-
-	var currencyFees = map[string]float64{}
-
-	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
-				feeUSD += trade.Price * trade.Fee
-				if trade.IsBuyer {
-					bidFeeUSD += trade.Price * trade.Fee
-				}
-			} else if trade.FeeCurrency == "USDT" {
-				feeUSD += trade.Fee
-				if trade.IsBuyer {
-					bidFeeUSD += trade.Fee
-				}
-			}
-
-		} else {
-			if trade.FeeCurrency == c.TradingFeeCurrency {
-				bidVolume -= trade.Fee
-			}
-		}
-
-		if _, ok := currencyFees[trade.FeeCurrency]; !ok {
-			currencyFees[trade.FeeCurrency] = 0.0
-		}
-		currencyFees[trade.FeeCurrency] += trade.Fee
-	}
-
-	logrus.Infof("average bid price = (total amount %f + total feeUSD %f) / volume %f", bidAmount, bidFeeUSD, bidVolume)
-	profit := 0.0
-	averageCost := (bidAmount + bidFeeUSD) / bidVolume
-
-	for _, t := range trades {
-		if t.Symbol != c.Symbol {
-			continue
-		}
-
-		if t.IsBuyer {
-			continue
-		}
-
-		profit += (t.Price - averageCost) * t.Quantity
-		askVolume += t.Quantity
-	}
-
-	profit -= feeUSD
-	unrealizedProfit := profit
-
-	stock := bidVolume - askVolume
-	if stock > 0 {
-		stockFee := c.CurrentPrice * stock * feeRate
-		unrealizedProfit += (c.CurrentPrice-averageCost)*stock - stockFee
-	}
-
-	return &ProfitAndLossReport{
-		Symbol:       c.Symbol,
-		StartTime:    c.StartTime,
-		CurrentPrice: c.CurrentPrice,
-		NumTrades:    len(trades),
-
-		BidVolume: bidVolume,
-		AskVolume: askVolume,
-
-		Stock:            stock,
-		Profit:           profit,
-		UnrealizedProfit: unrealizedProfit,
-		AverageBidCost:   averageCost,
-		FeeUSD:           feeUSD,
-		CurrencyFees:     currencyFees,
-	}
-}

pkg/accounting/pnl/avg_cost.go

@@ -0,0 +1,118 @@
+package pnl
+
+import (
+	"strings"
+	"time"
+
+	"github.com/sirupsen/logrus"
+
+	"github.com/c9s/bbgo/pkg/accounting"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type AverageCostCalculator struct {
+	Symbol             string
+	StartTime          time.Time
+	CurrentPrice       float64
+	Trades             []types.Trade
+	TradingFeeCurrency string
+}
+
+func (c *AverageCostCalculator) AddTrade(trade types.Trade) {
+	c.Trades = append(c.Trades, trade)
+}
+
+func (c *AverageCostCalculator) SetCurrentPrice(price float64) {
+	c.CurrentPrice = price
+}
+
+func (c *AverageCostCalculator) Calculate() *accounting.ProfitAndLossReport {
+	// copy trades, so that we can truncate it.
+	var trades = c.Trades
+	var bidVolume = 0.0
+	var bidAmount = 0.0
+
+	var askVolume = 0.0
+
+	var feeUSD = 0.0
+	var bidFeeUSD = 0.0
+	var feeRate = 0.0015
+
+	var currencyFees = map[string]float64{}
+
+	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
+				feeUSD += trade.Price * trade.Fee
+				if trade.IsBuyer {
+					bidFeeUSD += trade.Price * trade.Fee
+				}
+			} else if trade.FeeCurrency == "USDT" {
+				feeUSD += trade.Fee
+				if trade.IsBuyer {
+					bidFeeUSD += trade.Fee
+				}
+			}
+
+		} else {
+			if trade.FeeCurrency == c.TradingFeeCurrency {
+				bidVolume -= trade.Fee
+			}
+		}
+
+		if _, ok := currencyFees[trade.FeeCurrency]; !ok {
+			currencyFees[trade.FeeCurrency] = 0.0
+		}
+		currencyFees[trade.FeeCurrency] += trade.Fee
+	}
+
+	logrus.Infof("average bid price = (total amount %f + total feeUSD %f) / volume %f", bidAmount, bidFeeUSD, bidVolume)
+	profit := 0.0
+	averageCost := (bidAmount + bidFeeUSD) / bidVolume
+
+	for _, t := range trades {
+		if t.Symbol != c.Symbol {
+			continue
+		}
+
+		if t.IsBuyer {
+			continue
+		}
+
+		profit += (t.Price - averageCost) * t.Quantity
+		askVolume += t.Quantity
+	}
+
+	profit -= feeUSD
+	unrealizedProfit := profit
+
+	stock := bidVolume - askVolume
+	if stock > 0 {
+		stockFee := c.CurrentPrice * stock * feeRate
+		unrealizedProfit += (c.CurrentPrice-averageCost)*stock - stockFee
+	}
+
+	return &accounting.ProfitAndLossReport{
+		Symbol:       c.Symbol,
+		StartTime:    c.StartTime,
+		CurrentPrice: c.CurrentPrice,
+		NumTrades:    len(trades),
+
+		BidVolume: bidVolume,
+		AskVolume: askVolume,
+
+		Stock:            stock,
+		Profit:           profit,
+		UnrealizedProfit: unrealizedProfit,
+		AverageBidCost:   averageCost,
+		FeeUSD:           feeUSD,
+		CurrencyFees:     currencyFees,
+	}
+}

pkg/bbgo/backtest.go

@@ -3,7 +3,7 @@ package bbgo
 import (
 	"context"
 
-	"github.com/c9s/bbgo/pkg/accounting"
+	"github.com/c9s/bbgo/pkg/accounting/pnl"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -23,7 +23,7 @@ type BackTestTrader struct {
 	// Context is trading Context
 	Context                 *Context
 	SourceKLines            []types.KLine
-	ProfitAndLossCalculator *accounting.ProfitAndLossCalculator
+	ProfitAndLossCalculator *pnl.AverageCostCalculator
 
 	doneOrders    []types.SubmitOrder
 	pendingOrders []types.SubmitOrder
@@ -125,7 +125,7 @@ func (trader *BackTestTrader) RunStrategy(ctx context.Context, strategy SingleEx
 			}
 
 			tradeID++
-			trader.ProfitAndLossCalculator.AddTrade(trade)
+			trader.AverageCostCalculator.AddTrade(trade)
 
 			trader.doneOrders = append(trader.doneOrders, order)
 		}
@@ -135,7 +135,7 @@ func (trader *BackTestTrader) RunStrategy(ctx context.Context, strategy SingleEx
 	}
 
 	fmt.Print("\n")
-	report := trader.ProfitAndLossCalculator.Calculate()
+	report := trader.AverageCostCalculator.Calculate()
 	report.Print()
 
 	logrus.Infof("wallet balance:")

pkg/bbgo/context.go

@@ -3,7 +3,7 @@ package bbgo
 import (
 	"sync"
 
-	"github.com/c9s/bbgo/pkg/accounting"
+	"github.com/c9s/bbgo/pkg/accounting/pnl"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -19,7 +19,7 @@ type Context struct {
 	CurrentPrice    float64
 
 	Balances                map[string]types.Balance
-	ProfitAndLossCalculator *accounting.ProfitAndLossCalculator
+	ProfitAndLossCalculator *pnl.AverageCostCalculator
 	StockManager            *StockDistribution
 }